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Impact of Oil Price on Australian Stock Market Returns

Author

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  • Hui Li

    (La Trobe University, Australia)

  • Raul Paraco

    (La Trobe University, Australia)

Abstract

We observe a positive correlation between an oil price factor and the All Ordinaries Index of the Australian stock market. Furthermore, an asymmetrical effect is observed when the sample is divided into sub-periods. A more pervasive stock market response is observed when the price of oil displays a positive trend. We also study the influence of oil shocks on the stock returns of specific Australian industries. As expected, the energy and material sectors exhibit a positive response to oil disturbances, whereas the financial and industrial sectors show a negative relation to oil shocks. The utility and consumer discretionary sectors exhibit a lower sensitivity to oil shocks.

Suggested Citation

  • Hui Li & Raul Paraco, 2018. "Impact of Oil Price on Australian Stock Market Returns," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-27, September.
    • Handle: RePEc:wsi:rpbfmp:v:21:y:2018:i:03:n:s0219091518500182
    DOI: 10.1142/S0219091518500182
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    References listed on IDEAS

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    Cited by:

    1. Aleksandra Stankovska & Savica Dimitrieska & Vasko Stamevski, 2018. "Securities Market Regulation On Global Level," Economics and Management, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 14(1), pages 115-124.
    2. Konstantinos Gkillas & Rangan Gupta & Mark E. Wohar, 2020. "Oil shocks and volatility jumps," Review of Quantitative Finance and Accounting, Springer, vol. 54(1), pages 247-272, January.
    3. Zhuhua Jiang & Rim El Khoury & Muneer M. Alshater & Seong‐Min Yoon, 2024. "Impact of global macroeconomic factors on spillovers among Australian sector markets: Fresh findings from a wavelet‐based analysis," Australian Economic Papers, Wiley Blackwell, vol. 63(1), pages 78-105, March.
    4. Haylee Fox & Stephanie M. Topp & Daniel Lindsay & Emily Callander, 2021. "Ethnic, socio‐economic and geographic inequities in maternal health service coverage in Australia," International Journal of Health Planning and Management, Wiley Blackwell, vol. 36(6), pages 2182-2198, November.
    5. Lovell, Heather & Watson, Phillipa, 2019. "Scarce data: off‐grid households in Australia," Energy Policy, Elsevier, vol. 129(C), pages 502-510.

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