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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

Crude oil price shocks and stock returns : evidences from Turkish stock market under global liquidity conditions

Aydogan, Berna; Berk, Istemi - In: International Journal of Energy Economics and Policy : IJEEP 5 (2015) 1, pp. 54-68

Persistent link: https://www.econbiz.de/10011287185

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

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

Do different types of oil price shocks affect the Indian stock returns differently at firm-level? : a panel structural vector autoregression approach

Aruna, Bhagavatula; Acharya, H. Rajesh - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 2, pp. 238-249

Persistent link: https://www.econbiz.de/10012485433

Shock and Volatility Spillovers between Crude Oil Price and Stock Returns : Evidence for Thailand

Theplib, Krit - 2020

This paper employs a bivariate BEKK-GARCH(1,1) model to examine shock and volatility spillovers between crude oil and … equity sector returns. In the market level, there are unilateral spillovers of shock and volatility from oil price to stock … market return. The findings in this paper are crucial for financial market participation to understand shock and volatility …

Persistent link: https://www.econbiz.de/10012840698

The impact of oil price uncertainty on stock returns in Gulf Countries

Ahmad, Shabbir - In: International Journal of Energy Economics and Policy : IJEEP 9 (2019) 6, pp. 447-452

Persistent link: https://www.econbiz.de/10012427761

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

Impact of oil price shocks on sectoral returns in Nigeria stock market

Onyeke, Chibueze E.; Nwakoby, Ifeoma; Onwumere, … - In: International Journal of Energy Economics and Policy : IJEEP 10 (2020) 6, pp. 208-215

Persistent link: https://www.econbiz.de/10012522545

The impacts of oil price shocks on stock market volatility : evidence from the G7 countries

Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a … oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …

Persistent link: https://www.econbiz.de/10011438638