Using a seven-variable Vector Autoregressive (VAR) model and a rolling window approach,
this paper investigates causality between oil price changes and the aggregate stock market
returns of France, Italy, Saudi Arabia and the United Arab Emirates. We provide strong
empirical evidence that oil price changes cause aggregate stock returns for the two oil-exporting
Arab countries starting in 2014. Since the post-2014 period is one of declining oil prices, our
findings may suggest that causality depends on the prevailing oil price regime. Our findings
also suggest that copper price changes are, to a lesser extent, useful predictors of the equity
returns of Saudi Arabia and the United Arab Emirates
