Financial Integration and Comovements Between Capital Markets and Oil Markets

Abstract

This chapter aims to test the financial integration and movements in the capital markets of Germany (DAX), USA (Dow Jones), France (CAC 40), UK (FTSE 100), Italy (FTSE MIB), Russia (MOEX), Japan (NIKKEI 225), and Canada (S&P TSX), China (SHANGHAI and SHENZHEN); as well as the oil markets of the US (AMERICAS-DS OIL), Asia (ASIA-DS OIL), Canada (CANADA-DS OIL), the Emirates (EMU-DS OIL), China (CHINA-DS OIL), Nigeria (NIGERIA-DS OIL), and the United Kingdom (UK-DS OIL) over the period January 1, 2020 to May 6, 2022. The results suggest that long-term relationships between capital markets and oil markets do not help explain short-term moves. The authors consider the results achieved to be of interest to investors seeking opportunities in these financial markets, and also to policymakers to undertake institutional reforms to increase market efficiency and promote sustainable growth in financial markets.