Oil price shocks and stock market returns: New evidence from the United States and China
作者： David C. Broadstock , George Filis
DOI: 10.1016/J.INTFIN.2014.09.007
关键词: Stock (geology) 、 Financial economics 、 Stock market index 、 Economics 、 Financial market 、 Aggregate demand 、 Cost price 、 Market depth 、 Stock market 、 China
摘要: This study examines the time-varying correlations between oil prices shocks of different types (supply-side, aggregate demand and oil-market specific demand as per Kilian (2009) who …
core.ac.uk
bournemouth.ac.uk
elsevier.com参考文章(107)
Knut Anton Mork, Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results Journal of Political Economy. ,vol. 97, pp. 740- 744 ,(1989) , 10.1086/261625
Aktham Maghyereh, Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach Global Stock Markets and Portfolio Management. ,vol. 1, pp. 55- 68 ,(2006) , 10.1057/9780230599338_5
Perry Sadorsky, Risk factors in stock returns of Canadian oil and gas companies Energy Economics. ,vol. 23, pp. 17- 28 ,(2001) , 10.1016/S0140-9883(00)00072-4
Lutz Kilian, Logan T. Lewis, Does the Fed Respond to Oil Price Shocks The Economic Journal. ,vol. 121, pp. 1047- 1072 ,(2011) , 10.1111/J.1468-0297.2011.02437.X
Ke Tang, Wei Xiong, Index Investment and the Financialization of Commodities Financial Analysts Journal. ,(2012) , 10.2469/FAJ.V68.N6.5
Lutz Kilian, Daniel P. Murphy, THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL Journal of Applied Econometrics. ,vol. 29, pp. 454- 478 ,(2014) , 10.1002/JAE.2322
Cetin Ciner, Energy Shocks and Financial Markets: Nonlinear Linkages Studies in Nonlinear Dynamics and Econometrics. ,vol. 5, pp. 203- 212 ,(2001) , 10.2202/1558-3708.1079
Sridhar Gogineni, Oil and the Stock Market: An Industry Level Analysis The Financial Review. ,vol. 45, pp. 995- 1010 ,(2010) , 10.1111/J.1540-6288.2010.00282.X
James Hamilton, Causes and Consequences of the Oil Shock of 2007–08 National Bureau of Economic Research. ,vol. 2009, pp. 215- 261 ,(2009) , 10.3386/W15002
Roengchai Tansuchat, Chia-Lin Chang, Michael McAleer, Conditional Correlations and Volatility Spillovers between Crude Oil and Stock Index Returns Social Science Research Network. ,(2010) , 10.2139/SSRN.1534043