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Explaining the Nonlinear Response of Stock Markets to Oil Price Shocks

Escobari, Diego; Sharma, Shahil - 2020

This paper is set to reconcile the existent conflicting empirical evidence on the effect of oil prices on stock prices. We estimate various nonlinear models where the response changes according to a first-order Markov switching process. More importantly, we model the transition probabilities...

Persistent link: https://www.econbiz.de/10014352223

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 … stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous …

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

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 … oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply …

Persistent link: https://www.econbiz.de/10011438638

The impact of changes in oil price on stock market : evidence from Africa

Kelikume, Ikechukwu; Muritala, Omotayo - In: International journal of management, economics and … 8 (2019) 3, pp. 169-194

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...

Persistent link: https://www.econbiz.de/10012104634

Impact of Crude Oil Price and Exchange Rate on Performance of Indian Stock Market

Singh, Saurabh - 2016

This paper attempts to investigate empirically the dynamic relationship among crude oil price, exchange rate and Indian stock market. Using daily data of Crude oil price, Dollar-Rupee value and Nifty returns from April 2010 to March 2015, correlation, regression and Granger-causality approach in...

Persistent link: https://www.econbiz.de/10012999793

Time-Varying Correlation Between Oil and Stock Market Volatilities : Evidence From Oil-Importing and Oil-Exporting Countries

Boldanov, Rustam - 2018

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six …

Persistent link: https://www.econbiz.de/10012910118

'Crude Oil Price Velocity & Stock Market Ripple' - A Comparative Study of BSE with NYSE & LSE

Khanna, Kirti - 2012

In this new era of economic growth, the exceptional increase in the crude oil prices is one of the significant developments that affecting the global economy. Crude oil is an important raw material used for manufacturing many goods, so that an extraordinary increase in the price of oil is bound...

Persistent link: https://www.econbiz.de/10013102794

Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty

Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - In: Economies : open access journal 13 (2025) 2, pp. 1-25

While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...

Persistent link: https://www.econbiz.de/10015210403

Spillover and quantile linkage between oil price shocks and stock returns : new evidence from G7 countries

Jiang, Yonghong; Tian, Gengyu; Mo, Bin - In: Financial innovation : FIN 6 (2020) 42, pp. 1-26

The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March 2020. We adopt a similar approach to Kilian (Am Econ...

Persistent link: https://www.econbiz.de/10012418406

Volatility Contagion between Crude Oil and G7 Stock Markets in the Light of Trade Wars and COVID-19 : An Application Based on the TVP-VAR Extended Joint Connectedness Approach

Chatziantoniou, Ioannis; Floros, Christos; Gabauer, David - 2021

We investigate volatility contagion across G7 stock markets and the market for crude oil for the period between 2007 … sample period. Prominent among our results is that the crude oil market is an important net transmitter of volatility shocks … for crude oil. Finally, we show that the Canadian stock market is a persistent net transmitter of volatility in recent …

Persistent link: https://www.econbiz.de/10013211886