Paper Title
Co-Movement between Oil and Stock Markets Of Oil-Importing and Oil-Exporting Countries

Abstract
This study investigates the co-movement between the oil and six stock markets (China, India, Japan, Saudi Arabia, Russia and Canada) by using two types of wavelet transforms (wavelet multi-scale decomposition and wavelet coherence). The main empirical results are as follows: (1) The maximal overlap discrete wavelet transform (MODWT) analysis shows that there are feedback relationships between prices of oil and stock markets in all six countries in the wavelet-based decomposition at longer than 16 weeks scales. (2) The pairs of oil and stock returns show higher overall co-movement at the 16-128weeks scale, but oil prices lead the oil-importing stock market from 2007 to 2012based on the continuous wavelet transform (CWT) analysis. (3) The stock prices of oil-exporting countries are more influenced by oil prices than those of oil-importing countries. This finding implies that the economic structure of oil-exporting countries depends strongly on oil price dynamics. Keywords - Co-Movement, Lead-lag Relationship, VAR Granger Causality Test, Wavelet Coherence; Wavelet Multi-Scale Decomposition JEL Classification - C58, G11, G15, Q43