Abstract
<p>The paper investigates the time-varying correlations between stock market returns and oil prices in oil-exporting countries. A multivariate GARCH-DCC process is employed to evaluate this relationship based on data from Venezuela, the United Arab Emirates, Saudi Arabia and Kuwait. The results show that there are time-varying correlations between the oil and stock markets in emerging, oil-producing countries, indicating that they are affected by conditions in world markets. In addition, the relationship between oil prices and stock returns is found to be influenced by the origin of shocks to oil prices, with stock market responses being stronger to demand-side shocks caused by political turmoil or fluctuations in the global business cycle than to supply-side shocks caused by cuts in oil production. The results also provide evidence of volatility spillovers between the oil and stock markets.</p>
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