" The impact of oil price shocks on stock market returns: Comparing GCC countries with the UK and USA ," Emerging Markets Review , Elsevier, vol. 12(1), pages 61-78, March.Fayyad, A., & Daly, K., 2011. The impact of oil price shocks on stock market returns: Comparing GCC ...
In this subsection we present the international evidence that an oil price shock has a significant contribution to the real stock return variation in Europe, a net importer of crude oil, and in Canada, an energy-exporting country. In the analysis the price of Brent crude oil is a proxy of...
Spillover Effects of Oil Price Shocks Across Stock Markets.doi:10.1063/1.4903607oilpriceshockspillovereffectsstockmarketvolatilityOil price shock can impose detrimental effects to an economy. In this study, we empirically study the spillover effects of oil price shock on determining volatilities of ...
Adenikinju. 2013. Oil price shocks and stock market behaviour in Nigeria. Journal of Economic Studies. Vol. 40, No. 2, pp. 180-202.Babatunde, Musibau Adetunji et al., 2013. Oil Price Shock and Stock Market Behaviour In Nigeria. Journal of Economic Studies 40 (1): 1-24....
real stock returns to an oil price shock differs greatly depending on whether the change in the price of oil is driven by demand or supply shocks in the oil market. The demand and supply shocks driving the global crude oil market jointly account for 22% of the long-run variation in U.S...
fewstudiesonthestockmarket.JonesandKaul(1996)testedtherationalityofstockspricesbyconstructingcash-flowdividendvaluationmodelfortheperiodof1947-1991andfoundanegativesignificanteffectofoilshocksonthestockmarket.Huanget.al(1996)appliedavectorautoregression(VAR)approachtodailyoilfuturepricesanddailyUSstockreturnsfromthe...
(2003) What Is an Oil Shock? Journal of Econometrics, 113, 363-398. http://dx.doi.org/10.1016/S0304-4076(02)00207-5 [26] Kilian, L. and Park, C. (2009) The Impact of Oil Price Shocks on the US Stock Market. International Economic Review, 50, 1267-1287. http://dx.doi.org/...
Our findings are as follows: (i) the correlation between oil price shocks and index returns are showing some differences depending on whether a country is oil-importer or oil-exporter, (ii) the correlations are industry-specific and shock-specific, (iii) the aggregate demand shocks generate ...
The second oil price shock in 1979 led to global recession and imposed even more hardship on the prosperity of developing countries as the price for their oil imports rose and the price for their other export products fell. By 1985 Third World Debt exceeded $1 trillion dollars. The problem ...
Based on a sample of 29 NYSE-listed oil companies covering the period 1970–1978, they found that the oil price risk premium was highly unstable. Specifically, in the period immediately following the OPEC oil price shock of 1973, equity returns of domestic oil producers and large multinationals...