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How does stock market volatility react to oil price shocks?

Bastianin, Andrea; Manera, Matteo - In: Macroeconomic dynamics 22 (2018) 3, pp. 666-682

Persistent link: https://www.econbiz.de/10011916698

The effects of oil price shocks on U.S. stock order flow imbalances and stock returns

Lambertides, Neophytos; Savva, Christos S.; Tsouknidis, … - In: Journal of international money and finance 74 (2017), pp. 137-146

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Responses of macroeconomy and stock markets to structural oil price shocks : new evidence from Asian oil refinery

Thai Le; Disegna, Marta - In: International journal of monetary economics and finance … 14 (2021) 3, pp. 265-294

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Causality-in-quantiles between crude oil and stock markets : evidence from emerging economies

Bhatia, Vaneet; Basu, Sankarshan - In: Finance research letters 40 (2021), pp. 1-7

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The influence of oil price fluctuations on stock market of developing economies : a focus on Nigeria

Nwude, Chuke; Eluyela, Damilola Felix; Agbo, Elias Igwebuike - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 3, pp. 100-109

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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 shock. Identification is achieved by assuming that the price of crude oil reacts to …

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