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...

The impact that oil market shocks have on stock markets of oil-related economies has several implications for both domestic and foreign investors. Thus, we investigate the role of the oil market in deriving the dynamic linkage between stock markets of oil-exporting and oil-importing countries....