Return and Volatility of International Oil Price and Stock Index in OPEC Member Countries

This study intended to examine the correlation between the stock market return and the oil price return within a multivariate GARCH model. To this end, the correlation of these two variables with the spillover rate, conditional mean, oil price fluctuations, and the stock market indexes of 10 OPEC members, i.e. Algeria, Iran, Iraq, Kuwait, Nigeria, Qatar, Venezuela, Saudi Arabia, the UAE, and Ecuador, were examined in the form of monthly times series for the 2014–2019 time span. The results showed that there is a positive correlation between the oil price volatility and the stock market return in OPEC member countries. In addition, there is a greater correlation between the oil price fluctuations and the stock return in countries where oil revenues make a bigger contribution to GDP. It was also concluded that the oil price volatility spreads to that of the stock returns.