Abstract
This paper aims to study the oil price adjustment dynamics and to implicitly test the efficiency hypothesis for the oil market. Thus, we study the oil price evolution in a nonlinear framework and investigate the interdependence hypothesis between oil and stock markets for two countries: Mexico and the Philippines. On the one hand, we highlight significant linear linkage between stock markets and oil industry indicating the presence of significant long-run relationships between oil and stock markets, and rejecting efficient capital market hypothesis. On the other hand, we propose a new nonlinear modeling to reproduce the oil price adjustment dynamics. It takes into account both stock and oil market variations.
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