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Oil Prices and the Stock Markets: Evidence from High Frequency Data

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  • Sajjadur Rahman and Apostolos Serletis

Abstract

We use the highest frequency data that have ever been studied before to investigate the relationship between the price of oil and stock market returns. In the context of a bivariate (identified using heteroscedasticity in daily data) structural VAR in stock market returns and the change in the price of oil, we find evidence that positive oil price shocks have negative and statistically significant effects on stock market returns. Our results are robust to the use of different types of market returns, including aggregate and disaggregate U.S. market returns, aggregate and disaggregate U.S. excess returns, returns of the energy sector, returns of the major oil and gas companies, and global, eurozone, and some country specific stock market returns. They are also robust to the use of weekly data.

Suggested Citation

  • Sajjadur Rahman and Apostolos Serletis, 2019. "Oil Prices and the Stock Markets: Evidence from High Frequency Data," The Energy Journal, International Association for Energy Economics, vol. 0(Special I).
    • Handle: RePEc:aen:journl:ej40-si2-serletis
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    Cited by:

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    2. Moussa, Richard K. & Ousseini, Bouba & Taha, Cyrille K., 2024. "Asymmetric effects of oil prices on inflation in Côte d’Ivoire," Resources Policy, Elsevier, vol. 90(C).
    3. Rizvi, Syed Kumail Abbas & Naqvi, Bushra & Boubaker, Sabri & Mirza, Nawazish, 2022. "The power play of natural gas and crude oil in the move towards the financialization of the energy market," Energy Economics, Elsevier, vol. 112(C).
    4. Imane El Ouadghiri & Mathieu Gomes & Jonathan Peillex & Guillaume Pijourlet, 2022. "Investor Attention to the Fossil Fuel Divestment Movement and Stock Returns," Post-Print hal-03549713, HAL.
    5. Ahmed Alhodiry & Husam Rjoub & Ahmed Samour, 2021. "Impact of oil prices, the U.S interest rates on Turkey’s real estate market. New evidence from combined co-integration and bootstrap ARDL tests," PLOS ONE, Public Library of Science, vol. 16(1), pages 1-16, January.

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