We examine the interactive link between oil prices and the stock market in the 4 selected South Asian countries using a Nonlinear Autoregressive Distributed Lag (NARDL) model for 1997–2018. We find a positive relationship between the world oil price and stock market index, and the response of the stock market index to positive and negative oil price shocks is asymmetric. Our results further reveal that higher oil prices in the world market stimulate stock price, suggesting that the South Asian countries do not follow the Efficient Market Hypothesis (EMH). We recommend that the policymakers take initiatives to make the South Asian stock market more efficient by removing the barriers to stock market development, developing the country’s infrastructure, enhancing the stock market’s capacity, and restoring the confidence of the market participants within the region.

中文翻译：

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石油价格与股市之间的关系：来自南亚的证据

我们使用 1997 年至 2018 年的非线性自回归分布式滞后 (NARDL) 模型研究了 4 个选定的南亚国家的石油价格与股市之间的互动联系。我们发现世界油价与股市指数之间存在正相关关系，并且股市指数对正负油价冲击的反应是不对称的。我们的结果进一步表明，世界市场油价上涨刺激了股价，表明南亚国家不遵循有效市场假说（EMH）。我们建议政策制定者采取举措，通过消除股票市场发展障碍、发展国家基础设施、增强股票市场容量、恢复区域内市场参​​与者的信心等措施，提高南亚股票市场的效率。