Omay, TolgaCeylan, ResatIvrendi, MehmetShahbaz, MuhammedOmay, TolgaEconomics2024-07-052024-07-05202241076-93071099-115810.1002/ijfe.22022-s2.0-85092104823https://doi.org/10.1002/ijfe.2202https://hdl.handle.net/20.500.14411/3179This paper investigates the relationship between international oil price and stock prices applying the time varying causality testing over the period of 2000(M1)-2017(M3). The panel unit root and panel cointegration tests considering cross-section dependence are also employed. A time varying panel smooth transition vector error correction (TV-PSTRVEC) model is a developed and estimated for testing the presence of non-linear short-run and long-run causality, and cointegrating relationship between stock and oil prices. The empirical findings indicate that short and long-run causalities between oil price and stock prices are time-dependent. Moreover, oil price cause stock prices in the long-run. In the short-run, neutral effect exists between oil price and stock prices. These two findings are evidence of a strong exogeneity of oil price in time-dependent regimes which is also supporting the recent arguments and empirical findings.eninfo:eu-repo/semantics/closedAccesscausalityoil pricestock pricestime-varying nonlinearityArticleQ2Q127110851100WOS:000574948700001