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International Oil Price and Sectoral Stock Prices : An Asymmetric Kernel and Nonlinear Autoregressive Distributed Lag Analysis

Banto, Jean Michel; Doho, Libaud Rudy Aurelien; Somé, … - 2023

In this work, we test the price sensitivity of sector indices to changes in the oil price over the period 2001 to 2021 using the kernel method and the non-linear autoregressive method with distributed lags (NARDL) proposed by Shin et al., (2014). We capture both short-term and long-term...

Persistent link: https://www.econbiz.de/10014348440

The present value model of U.S. stock prices revisited : long-run evidence with structural breaks, 1871-2012

Esteve García, Vicente; Navarro Ibáñez, Manuel; … - 2017

regression models, 2010) as well as the cointegration tests developed in Arai and Kurozumi (Testing for the null hypothesis of … cointegration with a structural break, 2007) and Kejriwal (Cointegration with structural breaks: an application to the Feldstein …- Horioka Puzzle, 2008). The results obtained are consistent with the existence of linear cointegration between the log stock …

Persistent link: https://www.econbiz.de/10011745419

Stock prices, dividends, and structural changes in the long-term : the case of U.S.

Esteve García, Vicente; Navarro Ibáñez, Manuel; … - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012656930

Oil Price Uncertainty and Sectoral Stock Returns in China : A Time-Varying Approach

Caporale, Guglielmo Maria - 2014

This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997-Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns...

Persistent link: https://www.econbiz.de/10013050468

Oil Price Uncertainty and Sectoral Stock Returns in China : A Time-Varying Approach

Caporale, Guglielmo Maria - 2014

This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997-February 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns...

Persistent link: https://www.econbiz.de/10013051846

Oil Price Shocks and Stock Return Volatility : New Evidence Based on Volatility Impulse Response Analysis

Eraslan, Sercan - 2019

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 stock returns for a wide range of net...

Persistent link: https://www.econbiz.de/10012897925

Oil price uncertainty and sectoral stock returns in China : a time-varying approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2014

Persistent link: https://www.econbiz.de/10010367161

Oil price uncertainty and sectoral stock returns in China : a time-varying approach

Caporale, Guglielmo Maria; Ali, Faek Menla; Spagnolo, Nicola - 2014

This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997 - Febraury 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil price volatility affects stock returns...

Persistent link: https://www.econbiz.de/10010375190

On the macroeconomic determinants of the long-term oil-stock correlation

Conrad, Christian; Stürmer, Karin; Rittler, Daniel - 2012

Using a modified DCC-MIDAS specification, we endogenize the long-term correlation between crude oil and stock price returns with respect to the stance of the U.S. macroeconomy. We find that variables which contain information on current and future economic activity are helpful predictors for...

Persistent link: https://www.econbiz.de/10009526194

How does stock market volatility react to oil shocks?

Bastianin, Andrea; Manera, Matteo - 2014

We study the impact of oil price shocks on US stock market volatility. We derive three different structural oil shock variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate structural VAR models, one for each oil price...

Persistent link: https://www.econbiz.de/10010476423