Precedence and Exogeneity of Oil to the Stock Markets

This study investigates whether changes of oil price would have precedence, exogeneity and causal prediction to the stock markets. The result shows that changes of oil price have precedence over the stock returns in the United States, Japan and Korea markets. And the evidence suggests that there be exogeneity of oil to the stock markets because the stock returns can be causally interpreted by the current or past changes of oil price during the past two decades. Thus changes of oil price would contain any information exploitable in forecasting the stock markets and have the predictive value of leading indicators