Please note that Internet Explorer version 8. Please refer to this blog post for more information. We find a negative and significant impact of oil price changes on stock returns. In this paper we examine the impact of oil price shocks on stock returns in 12 oil importing European economies using Vector Autoregressive VAR and Vector Error Correction Models VECM for the period We propose an alternative oil price shock specification that takes into account both world oil production and world oil prices in order to disentangle oil supply and oil demand shocks.
We find that the response of the European real stock returns to an oil price shock may differ greatly depending on the underlying causes of the oil price change. The results suggest the existence of a negative and significant impact of oil price changes on oil price shocks and stock market returns European stock market returns. Furthermore, oil price shocks and stock market returns find that stock market returns are mostly driven by oil supply shocks.
We would like to thank James Hamilton Pinoy stock market investor of California in San Diego for helpful comments and suggestions on earlier versions of this paper.
Oil price shocks and stock market returns: Evidence for some European countries
The paper was completed while the authors were Visiting Scholars at the Economics Department in the University of California in San Diego. We also thank the editor and two referees for helpful comments and suggestions.
Oil Price Shocks and Stock Market Returns: Evidence from 11 Member Countries of OECD: Kamrul Huda Talukdar, Anna Sunyaeva: omenejomy.web.fc2.com: Books
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Opens the author workspace Opens the author workspace Fernando Perez de Gracia. Universidad de Navarra, Spain.
Abstract In this paper we examine the impact of oil price shocks on stock returns in 12 oil importing European economies using Vector Autoregressive VAR and Vector Error Correction Models VECM for the period Keywords Oil demand shock. European real stock returns. Check if you have access through your login credentials or your institution.
Oil Price Shocks and Stock Market Returns: Evidence from Oil-Importing and Oil-Exporting Countries by Li Yang, Chongfeng Wu, Yudong Wang :: SSRN
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