Narrow search
Showing 1 - 10 of 393,637
Cover Image
Betting on War? Oil Prices, Stock Returns and Extreme Geopolitical Events
Nygaard, Knut; Sørensen, Lars Qvigstad - 2023
events: the 2022 invasion of Ukraine, the 2003 invasion of Iraq, the 1990/91 Persian gulf war, the 1986 OPEC collapse, and … the 1973 Arab-Israel war. In the counterfactual scenario where these events did not occur, the t-statistics are reduced on …
Persistent link: https://www.econbiz.de/10014346999
Cover Image
The Impact of the Ukraine-Russia War on World Stock Market Returns
Boungou, Whelsy; YATIE, Alhonita - 2022
As a topical issue, this paper studies the responses of world stock market indices to the ongoing war between Ukraine … March 2022, we consistently document a negative relationship between the Ukraine-Russia war and world stock market returns … the Ukraine-Russia war on world stock market returns …
Persistent link: https://www.econbiz.de/10013289811
Cover Image
When Bad News is Good News : Geopolitical Risk and the Cross-Section of Emerging Market Stock Returns
Zaremba, Adam; Cakici, Nusret; Demir, Ender - 2020
Using a news-based gauge of geopolitical risk, we study its role for asset pricing in global emerging markets. We find that changes in risk positively predict future stock returns. The countries with the highest increase in geopolitical uncertainty outperform their counterparts with the lowest...
Persistent link: https://www.econbiz.de/10014352071
Cover Image
COVID-19 Pandemic, Oil Prices, Stock Market, Geopolitical Risk and Policy Uncertainty Nexus in the US Economy : Fresh Evidence from the Wavelet-Based Approach
Sharif, Arshian - 2020
In this paper, we analyze the connectedness between the recent spread of COVID-19, oil price volatility shock, the stock market, geopolitical risk and economic policy uncertainty in the US within a time-frequency framework. The coherence wavelet method and the wavelet-based Granger causality...
Persistent link: https://www.econbiz.de/10012837151
Cover Image
Gold, oil, and stocks
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010407524
Cover Image
The World Oil Price Movements and Stock Returns in Several Southeast Asia’s Capital Markets
Hersugondo, SE - 2015
This study was conducted on the basis that there is an inconsistency in the study results on the effects of world oil … price change on stock market return. This study, therefore, examined the effects of world oil price changes on the stock … world oil price changes only give significant effects on the Malaysian capital market as represented by the Kuala Lumpur …
Persistent link: https://www.econbiz.de/10013015147
Cover Image
Futures Markets Reaction to Crude Oil Inventory News Announcements : Asymmetric Return Response Patterns
Bu, Hui - 2022
This study investigates how prices respond to unanticipated crude oil inventory shocks and how quickly the markets incorporate news in crude oil, gasoline, and heating oil futures markets by using structured vector autoregression (SVAR) models based on EIA inventory report announcement and news...
Persistent link: https://www.econbiz.de/10013307507
Cover Image
Futures Markets Reaction to Crude Oil Inventory News Announcements : Asymmetric Return Response Patterns
Bu, Hui - 2021
This study investigates how prices respond to unanticipated crude oil inventory shocks and how quickly the markets incorporate news in crude oil, gasoline, and heating oil futures markets by using structured vector autoregression (SVAR) models based on EIA inventory report announcement and news...
Persistent link: https://www.econbiz.de/10013311571
Cover Image
Oil Price Risk Exposure and the Cross-Section of Stock Returns : The Case of Net Exporting Countries
Demirer, Riza - 2015
The main goal of this paper is to examine whether oil price risk is systematically priced in the cross-section of stock returns in net oil-exporting countries even after controlling for market and firm-level risk factors. Using firm-level data from the Gulf Arab stock markets, we find that...
Persistent link: https://www.econbiz.de/10013023626
Cover Image
The Promises and Pitfalls of Machine Learning for Predicting Stock Returns
Leung, Edward - 2020
Recent research suggests that machine learning models dominate traditional linear models in predicting cross-sectional stock returns. We confirm this finding when predicting one-month forward-looking returns based on a set of common stock characteristics, including predictors such as short-term...
Persistent link: https://www.econbiz.de/10012840386