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The impact of oil price shocks on the stock market return and volatility relationship

Kang, Wensheng; Ratti, Ronald A.; Yoon, Kyung Hwan - 2014

Persistent link: https://www.econbiz.de/10011341968

The impact of oil price shocks on the stock market return and volatility relationship

Kang, Wensheng; Ratti, Ronald A.; Yoon, Kyung Hwan - In: Journal of international financial markets, … 34 (2015), pp. 41-54

Persistent link: https://www.econbiz.de/10011474450

Oil price shocks and stock returns nexus for Malaysia : fresh evidence from nonlinear ARDL test

Al-hajj, Ekhlas; Al-Mulali, Usama; Solarin Sakiru Adebola - In: Energy reports 4 (2018), pp. 624-637

In this research, we examined whether appreciation and depreciation in oil price, interest rate, exchange rate, industrial production, and inflation have the same effects on the stock market returns by using nonlinear autoregressive distributed lag (nonlinear ARDL). All nine economic sectors and...

Persistent link: https://www.econbiz.de/10011959478

Oil price changes and stock returns : fresh evidence from oil exporting and oil importing countries

Atif, Mohd; Rabbani, Mustafa Raza; Bawazir, Hana; … - In: Cogent economics & finance 10 (2022) 1, pp. 1-14

The study examines the vital connection between stock returns and oil price changes for oil exporting/importing countries separately. We present evidence employing granger causality, impulse response and error variance decomposition based on panel vector autoregression. The results of panel...

Persistent link: https://www.econbiz.de/10013464376

Correlations between oil and stock markets : a wavelet-based approach

Martín-Barragán, Belén; Ramos, Sofia B.; Veiga, Helena - In: Economic modelling 50 (2015), pp. 212-227

Persistent link: https://www.econbiz.de/10011440530

Volatility spillovers between oil prices and stock returns : a focus on frontier markets

Gomes, Mathieu; Chaibi, Anissa - In: The journal of applied business research 30 (2014) 2, pp. 509-525

Persistent link: https://www.econbiz.de/10010353528

Volatility spillovers between oil prices and stock returns in developing countries

Massadikov, Khairulla - In: International Journal of Energy Economics and Policy : IJEEP 11 (2021) 4, pp. 121-126

Persistent link: https://www.econbiz.de/10012623402

Oil price uncertainty and Chinese stock returns : new evidence from the oil volatility index

Luo, Xingguo; Qin, Shihua - In: Finance research letters 20 (2017), pp. 29-34

Persistent link: https://www.econbiz.de/10011806739

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016

Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets … of data, daily realized volatility estimates taken from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

Persistent link: https://www.econbiz.de/10011556166

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Applied economics 49 (2017) 31/33, pp. 3246-3262

Persistent link: https://www.econbiz.de/10011774739