This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We...

This study examined the impact of oil price on African stock markets. Using quarterly data from five selected oil producing countries with stock market presence, from Q1:2010 to Q4:2018, the study deployed dynamic panel analysis technique for a model comprising stock returns, real gross domestic...

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a negative predictive slope. Extending the sample to 2015, we document that this relationship has been reversed over the last ten years and therefore has not been stable over time....

Kilian and Park (IER 50 (2009), 1267-287) find shocks to oil supply are relatively unimportant to understanding changes in U.S. stock returns. We examine the impact of both U.S. and non-U.S. oil supply shocks on U.S. stock returns in light of the unprecedented expansion in U.S. oil production...

We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Across most sectors, equity prices decrease in response to higher oil prices before the 2007/08 crisis but increase after it. Positive oil price shocks cause a...

COVID-19 poses an unprecedented threat to components of global business cycles including stock markets, industrial production and employment. This study investigated its impact on stock markets of 24 oil producing COVID-19-hit economies in North America, South America, Europe, Asia, Oceania and...

We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...

This paper explores stock return predictability by exploiting the cross-section of oil futures prices. Motivated by the principal component analysis, we find the curvature factor of the oil futures curve predicts monthly stock returns: a 1% per month increase in the curvature factor predicts...

We study the impact of analyst forecasts on prices to determine whether investors learn about analyst accuracy. The straight-forward relationship between supply and price, the economic importance of the market, the predictable timing of forecast error realizations, and the high frequency of the...