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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
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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
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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
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On the macroeconomic determinants of the long-term oil-stock correlation
Conrad, Christian; Loch, 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
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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
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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/10010367161
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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 structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....
Persistent link: https://www.econbiz.de/10011438638
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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
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The Impacts of Oil Price Shocks on Stock Market Volatility : Evidence from the G7 Countries
Bastianin, Andrea - 2016
We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....
Persistent link: https://www.econbiz.de/10013001030
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Volatility Spillovers between Returns on Crude Oil Futures and Oil Company Stocks
Chang, Chia-Lin - 2009
The purpose of this paper is to investigate the volatility spillovers between the returns on crude oil futures and oil company stocks using alternative multivariate GARCH models, namely the CCC model of Bollerslev (1990), VARMA-GARCH model of Ling and McAleer (2003), and VARMA-AGARCH model of...
Persistent link: https://www.econbiz.de/10013159693