The 2020 Oil Price War Has Increased Integration Between G7 Stock Markets and Crude Oil WTI


Rui Dias – Escola Superior de Ciências Empresarias at Instituto Politécnico de Setúbal, Portugal and CEFAGE-UE, IIFA, University of Évora, Portugal

Paulo Alexandre – Escola Superior de Ciências Empresarias at Instituto Politécnico de Setúbal, Portugal

Paula Heliodoro – Escola Superior de Ciências Empresarias at Instituto Politécnico de Setúbal, Portugal

Hortense Santos – Escola Superior de Ciências Empresarias at Instituto Politécnico de Setúbal, Portugal

Ana Rita Farinha – Escola Superior de Ciências Empresarias at Instituto Politécnico de Setúbal, Portugal

Márcia C. Santos – Escola Superior de Ciências Empresarias at Instituto Politécnico de Setúbal, Portugal and Information Sciences and Technologies and Architecture Research Center (ISTAR-IUL) at Instituto Universitário de Lisboa (ISCTE-IUL), Portugal



7th International Scientific ERAZ Conference – ERAZ 2021 – Selected Papers: KNOWLEDGE BASED SUSTAINABLE DEVELOPMENT,  Online/virtual, May 27, 2021

ERAZ Conference Selected Papers are published by: Association of Economists and Managers of the Balkans – Belgrade, Serbia

ERAZ conference partners: Faculty of Economics and Business, Mediterranean University, Montenegro; University of National and World Economy – Sofia, Bulgaria; Faculty of Commercial and Business Studies – Celje, Slovenia; AMBIS University, Prague – Czech Republic; Faculty of Applied Management, Economics and Finance – Belgrade, Serbia

ERAZ Conference 2021 Selected Papers ISBN 978-86-80194-47-9, ISSN 2683-5568, DOI:

Crude Oil WTI Spot;
G7 markets;
Diversification of portfolios


Abstract: This paper aims to examine whether the oil price war between Saudi Arabia and Russia has increased integration between the Crude Oil WTI Spot oil index and the G7 stock markets, namely France (CAC 40), Germany (DAX 30), USA (DOW JONES), UK (FTSE 100), Italy (FTSE MID), Japan (Nikkei 225), Canada
(S&P TSX), from January 2018 to January 2021. The results show that in the period before the oil price war, the G7 stock markets and the WTI index had 29 integrations (out of 56 possible). The WTI index is integrated with the UK stock markets (FTSE 100), and Japan (NIKKEI 225), and is integrated into the Japanese market. In the period of the oil price war, the G7’s stock markets and the Crude Oil WTI Spot index had 43 integrations (out of 56 possible), namely the WTI, Dow Jones, and Nikkei 225 indexes, with all their peers (7 out of 7 possible). When comparing the period before and during the 2020 oil crash, we found that integrations increased significantly from 29 to 43 (out of 56 possible); we also found that the Crude Oil WTI Spot index is no longer a safe haven for portfolio diversification in G7 stock markets. These findings validate our research
issue, i.e., the oil price war between Saudi Arabia and Russia had increased integrations, and this evidence could question portfolio diversification.

ERAZ Conference

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-Non-Commercial 4.0 License ( which permits non-commercial use, reproduction and distribution of the work without further permission. 

ERAZ Conference Open Access


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