International oil prices and sectoral stock prices: An asymmetric kernel and nonlinear autoregressive distributed lag analysis
Keywords:
Oil price, Share prices, Associated kernel, NARDLAbstract
In this work, we test, using the method of asymmetric kernels, the sensitivity of the sectoral indices of the WAMU zone to variations in the international price of oil between 2001 and 2021. The results of our analysis show that the indices linked to the financial, industrial, utilities, distribution, transportation and other sectors are very insensitive to oil prices. Moreover, according to our results, only the agricultural sector remains highly sensitive to variations in the price of oil. These results are reflected on the one hand by the fact that oil is not the main source of energy in the productive sphere of the secondary and tertiary sectors of the WAMU zone. On the other hand, these results highlight the interconnectivity that exists between the indices of the same sector of activity; as in the present case, those of raw materials, whether on a sub-regional and/or international scale. These results are robust and enrich the decision-making tools of financial market players in their investment strategy.
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