Dynamic Correlations Between Oil Prices And The Stock Prices Of Food Sector Firms: Evidence From Oil Exporting-Importing Countries

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Ayesha Dildar , Dr. Nousheen Tariq Bhutta , Jawaria Kosar


The paper aims to investigate the dynamic correlations between oil prices and the stock prices of food sector firms among oil-importing - exporting countries. It employs the daily data of oil prices and food sector stock indexes of 6 countries, three from the oil-importing sector, namely China, India and United States and three from the oil-exporting sector, namely Saudi Arabia, Canada and Kuwait, for the period ranging from Jan 1, 2010 to December 31, 2019. DCC-ADCC models were applied to check the time-varying nature of oil and food sector indexes. The results reveal the time-varying nature of conditional correlation. Moreover, the presence of asymmetric behavior among different countries was also found.

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