IDEAS home Printed from https://ideas.repec.org/a/eee/riibaf/v72y2024ipbs0275531924003386.html
   My bibliography  Save this article

Interplay between oil prices, country risks, and stock returns in the context of global conflict: A PVAR approach

Author

Listed:
  • Dong, Qingyuan
  • Du, Qunyang
  • Min Du, Anna

Abstract

Employing the panel vector autoregressive (PVAR) modeling, we analyze the interplay among oil prices, country risks, and stock returns across twenty-nine economies from February 2005 to August 2020. We find that, in the short run, rising oil prices temporarily boost stock prices by reducing country risk. However, over longer horizons, reductions in country risk are linked to lower stock returns. Moreover, in the interaction between stock and oil markets we identify the heterogeneity of three forms of country risk: economic, financial, and political, particularly when comparing developed and developing economies. Findings, offering new insights into the linkages between oil and stock markets, especially in the context of increased global conflict context, are of much value for investment strategies and policy formulations aimed at mitigating risk.

Suggested Citation

  • Dong, Qingyuan & Du, Qunyang & Min Du, Anna, 2024. "Interplay between oil prices, country risks, and stock returns in the context of global conflict: A PVAR approach," Research in International Business and Finance, Elsevier, vol. 72(PB).
    • Handle: RePEc:eee:riibaf:v:72:y:2024:i:pb:s0275531924003386
    DOI: 10.1016/j.ribaf.2024.102545
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0275531924003386
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.ribaf.2024.102545?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    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:riibaf:v:72:y:2024:i:pb:s0275531924003386. 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.

    We have no bibliographic references for this item. You can help adding them by using 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.elsevier.com/locate/ribaf .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.