Narrow search
Showing 1 - 10 of 70,650
Cover Image
Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis
Eraslan, Sercan; Ali, Faek Menla - 2018
We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the … persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and …
Persistent link: https://www.econbiz.de/10011903691
Cover Image
Impacts of oil price shock on sector returns with regime-switching approach : new evidence from Indonesian stock market
Dharmawan, Mohammad A.; Priyarsono, Dominicus S.; … - In: International Journal of Energy Economics and Policy : IJEEP 7 (2017) 5, pp. 44-59
Persistent link: https://www.econbiz.de/10011750657
Cover Image
The influence of oil price shocks on stock market returns : fresh evidence from Malaysia
Al-hajj, Ekhlas; Al-Mulali, Usama; Solarin Sakiru Adebola - In: International Journal of Energy Economics and Policy : IJEEP 7 (2017) 5, pp. 235-244
Persistent link: https://www.econbiz.de/10011750909
Cover Image
Time-varying effect of oil price shocks on the stock market returns : evidence from oil-importing and oil-exporting countries
Mokni, Khaled - In: Energy reports 6 (2020), pp. 605-619
This paper performs a two-stage methodology based on the Structural VAR and time-varying parameter regression models to examine the dynamic reaction of a set of oil-related countries' stock markets to oil price shocks. Oil prices are studied by disentangling demand and supply shocks. Based on...
Persistent link: https://www.econbiz.de/10012195667
Cover Image
The impact of oil price shocks on the stock market return and volatility relationship
Kang, Wensheng; Ratti, Ronald A.; Yoon, Kyung Hwan - 2014
Persistent link: https://www.econbiz.de/10011341968
Cover Image
Oil price shocks and stock returns nexus for Malaysia : fresh evidence from nonlinear ARDL test
Al-hajj, Ekhlas; Al-Mulali, Usama; Solarin Sakiru Adebola - In: Energy reports 4 (2018), pp. 624-637
In this research, we examined whether appreciation and depreciation in oil price, interest rate, exchange rate, industrial production, and inflation have the same effects on the stock market returns by using nonlinear autoregressive distributed lag (nonlinear ARDL). All nine economic sectors and...
Persistent link: https://www.econbiz.de/10011959478
Cover Image
Oil price changes and stock returns : fresh evidence from oil exporting and oil importing countries
Atif, Mohd; Rabbani, Mustafa Raza; Bawazir, Hana; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14
The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel...
Persistent link: https://www.econbiz.de/10013464376
Cover Image
Volatility spillovers between oil prices and stock returns in developing countries
Massadikov, Khairulla - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 4, pp. 121-126
Persistent link: https://www.econbiz.de/10012623402
Cover Image
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016
Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …
Persistent link: https://www.econbiz.de/10011556166
Cover Image
Oil Price Implied Structural Shocks and Cross-sectional Stock Returns
Huang, Dayong - 2019
oil price changes and the aggregate market return, or following periods of favorable aggregate demand shock for industry … momentum by incorporating the signs of the aggregate demand shock for industry commodity, the magnitude of the anomalous …
Persistent link: https://www.econbiz.de/10012902822