Oil sensitivity and its asymmetric impact on the stock market
Author
Abstract
Suggested Citation
DOI: 10.1016/j.energy.2010.10.057
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Balke, Nathan S & Fomby, Thomas B, 1997.
"Threshold Cointegration,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 38(3), pages 627-645, August.
- Nathan S. Balke & Thomas B. Fomby, 1992. "Threshold cointegration," Working Papers 9209, Federal Reserve Bank of Dallas.
- Basher, Syed A. & Sadorsky, Perry, 2006.
"Oil price risk and emerging stock markets,"
Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
- Syed A. Basher & Perry Sadorsky, 2004. "Oil price risk and emerging stock markets," International Finance 0410003, University Library of Munich, Germany.
- Chan, Wing H & Maheu, John M, 2002. "Conditional Jump Dynamics in Stock Market Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 377-389, July.
- Papapetrou, Evangelia, 2001. "Oil price shocks, stock market, economic activity and employment in Greece," Energy Economics, Elsevier, vol. 23(5), pages 511-532, September.
- Kiseok Lee & Shawn Ni & Ronald A. Ratti, 1995. "Oil Shocks and the Macroeconomy: The Role of Price Variability," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 39-56.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Lee, Chien-Chiang & Chang, Chun-Ping, 2007. "The impact of energy consumption on economic growth: Evidence from linear and nonlinear models in Taiwan," Energy, Elsevier, vol. 32(12), pages 2282-2294.
- repec:bla:jfinan:v:59:y:2004:i:2:p:755-793 is not listed on IDEAS
- Robert S. Pindyck, 2004. "Volatility and commodity price dynamics," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 24(11), pages 1029-1047, November.
- Hammoudeh, Shawkat & Li, Huimin, 2005. "Oil sensitivity and systematic risk in oil-sensitive stock indices," Journal of Economics and Business, Elsevier, vol. 57(1), pages 1-21.
- Mork, Knut Anton, 1989. "Oil and Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 740-744, June.
- Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-248, April.
- Enders, Walter & Granger, Clive W J, 1998.
"Unit-Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 304-311, July.
- Enders, Walter & Granger, C. W. J., 1998. "Unit Root Tests and Asymmetric Adjustment with an Example Using the Term Structure of Interest Rates," Staff General Research Papers Archive 1388, Iowa State University, Department of Economics.
- Tom Doan, "undated". "RATS programs to replicate Enders/Granger JBES(1998)on threshold unit roots," Statistical Software Components RTZ00054, Boston College Department of Economics.
- Enders, Walter & Siklos, Pierre L, 2001.
"Cointegration and Threshold Adjustment,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 19(2), pages 166-176, April.
- Enders, Walter & Siklos, Pierre L., 1998. "Cointegration and Threshold Adjustment," ISU General Staff Papers 199810010700001306, Iowa State University, Department of Economics.
- Loungani, Prakash, 1986. "Oil Price Shocks and the Dispersion Hypothesis," The Review of Economics and Statistics, MIT Press, vol. 68(3), pages 536-539, August.
- Sadorsky, Perry, 2008. "Assessing the impact of oil prices on firms of different sizes: Its tough being in the middle," Energy Policy, Elsevier, vol. 36(10), pages 3854-3861, October.
- Shawkat Hammoudeh & Eisa Aleisa, 2004. "Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures," Contemporary Economic Policy, Western Economic Association International, vol. 22(2), pages 250-269, April.
- Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
- Jones, Charles M & Kaul, Gautam, 1996. "Oil and the Stock Markets," Journal of Finance, American Finance Association, vol. 51(2), pages 463-491, June.
- Pippenger, Michael K & Goering, Gregory E, 1993. "A Note on the Empirical Power of Unit Root Tests under Threshold Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(4), pages 473-481, November.
- Krey, Volker & Martinsen, Dag & Wagner, Hermann-Josef, 2007. "Effects of stochastic energy prices on long-term energy-economic scenarios," Energy, Elsevier, vol. 32(12), pages 2340-2349.
- Faff, Robert W. & Brailsford, Timothy J., 1999. "Oil price risk and the Australian stock market," Journal of Energy Finance & Development, Elsevier, vol. 4(1), pages 69-87, June.
- Kaufmann, Robert K. & Laskowski, Cheryl, 2005. "Causes for an asymmetric relation between the price of crude oil and refined petroleum products," Energy Policy, Elsevier, vol. 33(12), pages 1587-1596, August.
- Nandha, Mohan & Faff, Robert, 2008. "Does oil move equity prices? A global view," Energy Economics, Elsevier, vol. 30(3), pages 986-997, May.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Chiou, Jer-Shiou & Lee, Yen-Hsien, 2009. "Jump dynamics and volatility: Oil and the stock markets," Energy, Elsevier, vol. 34(6), pages 788-796.
- Zhu, Hui-Ming & Li, Su-Fang & Yu, Keming, 2011. "Crude oil shocks and stock markets: A panel threshold cointegration approach," Energy Economics, Elsevier, vol. 33(5), pages 987-994, September.
- Chang, Chia-Lin & McAleer, Michael & Tansuchat, Roengchai, 2013.
"Conditional correlations and volatility spillovers between crude oil and stock index returns,"
The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 116-138.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CARF F-Series CARF-F-202, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," KIER Working Papers 715, Kyoto University, Institute of Economic Research.
- Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Econometric Institute Research Papers EI 2010-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2011. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Documentos de Trabajo del ICAE 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," CIRJE F-Series CIRJE-F-706, CIRJE, Faculty of Economics, University of Tokyo.
- Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Working Papers in Economics 10/04, University of Canterbury, Department of Economics and Finance.
- Ramos, Sofia B. & Veiga, Helena, 2011.
"Risk factors in oil and gas industry returns: International evidence,"
Energy Economics, Elsevier, vol. 33(3), pages 525-542, May.
- Ramos, Sofia B. & Veiga, Helena, 2009. "Risk factors in oil and gas industry returns: international evidence," DES - Working Papers. Statistics and Econometrics. WS ws096920, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Stavros Degiannakis & George Filis & Vipin Arora, 2018.
"Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence,"
The Energy Journal, , vol. 39(5), pages 85-130, September.
- Stavros Degiannakis, George Filis, and Vipin Arora, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
- Degiannakis, Stavros & Filis, George & Arora, Vipin, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," MPRA Paper 96270, University Library of Munich, Germany.
- Stavros Degiannakis & George Filis & Vipin Arora, 2018. "Oil prices and stock markets: A review of the theory and empirical evidence," BAFES Working Papers BAFES22, Department of Accounting, Finance & Economic, Bournemouth University.
- Rui F. Teixeira & Mara Madaleno & Elisabete S. Vieira, 2017. "Oil price effects over individual Portuguese stock returns," Empirical Economics, Springer, vol. 53(3), pages 891-926, November.
- Shu-Yi Liao & Sheng-Tung Chen & Mao-Lung Huang, 2016. "Will the oil price change damage the stock market in a bull market? A re-examination of their conditional relationships," Empirical Economics, Springer, vol. 50(3), pages 1135-1169, May.
- Sukcharoen, Kunlapath & Zohrabyan, Tatevik & Leatham, David & Wu, Ximing, 2014. "Interdependence of oil prices and stock market indices: A copula approach," Energy Economics, Elsevier, vol. 44(C), pages 331-339.
- repec:ipg:wpaper:2014-080 is not listed on IDEAS
- Ferreira, Paulo & Pereira, Éder Johson de Area Leão & Silva, Marcus Fernandes da & Pereira, Hernane Borges, 2019. "Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 86-96.
- Sunil K. Mohanty & Joseph Onochie & Abdulrahman F. Alshehri, 2018. "Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 595-619, October.
- Rania Jammazi & Duc Khuong Nguyen, 2015.
"Responses of international stock markets to oil price surges: a regime-switching perspective,"
Applied Economics, Taylor & Francis Journals, vol. 47(41), pages 4408-4422, September.
- Rania Jammazi & Duc Khuong Nguyen, 2014. "Responses of international stock markets to oil price surges: a regimeswitching perspective," Working Papers 2014-80, Department of Research, Ipag Business School.
- repec:ipg:wpaper:2014-085 is not listed on IDEAS
- Mohanty, Sunil K. & Nandha, Mohan & Turkistani, Abdullah Q. & Alaitani, Muhammed Y., 2011. "Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries," Global Finance Journal, Elsevier, vol. 22(1), pages 42-55.
- Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Degiannakis, Stavros & Filis, George & Floros, Christos, 2013.
"Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 175-191.
- Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," MPRA Paper 96298, University Library of Munich, Germany.
- Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
- Saleh Mothana Obadi & Matej Korcek, 2015. "Investigation of Driving Forces of Energy Consumption in European Union 28 Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 422-432.
- Berna Aydogan & Istemi Berk, 2015. "Crude Oil Price Shocks and Stock Returns: Evidences from Turkish Stock Market under Global Liquidity Conditions," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 54-68.
- Henriques, Irene & Sadorsky, Perry, 2010. "Can environmental sustainability be used to manage energy price risk?," Energy Economics, Elsevier, vol. 32(5), pages 1131-1138, September.
- Sadorsky, Perry, 2008. "Assessing the impact of oil prices on firms of different sizes: Its tough being in the middle," Energy Policy, Elsevier, vol. 36(10), pages 3854-3861, October.
- Dagher, Leila & El Hariri, Sadika, 2013.
"The impact of global oil price shocks on the Lebanese stock market,"
Energy, Elsevier, vol. 63(C), pages 366-374.
- Dagher, Leila & El Hariri, Sadika, 2012. "The impact of global oil price shocks on the Lebanese stock market," MPRA Paper 116123, University Library of Munich, Germany.
More about this item
Keywords
Asymmetric effects; ARJI model; Regime-switching;All these keywords.
JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G1 - Financial Economics - - General Financial Markets
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:energy:v:36:y:2011:i:1:p:168-174. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/energy .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.