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Wavelet-based evidence of the impact of oil prices on stock returns · Study

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Wavelet-based evidence of the impact of oil prices on stock returns

Juan C. Reboredo, Miguel Angel Rivera Castro

2013-05-23articleInternational Review of Economics & Finance271 citationsclosed

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Market Dynamics and Volatility Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1998Investor Psychology and Security Market Under‐ and Overreactions

1986Economic Forces and the Stock Market

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1999A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets

1983Oil and the Macroeconomy since World War II

1998A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler, an anonymous referee, and the editor, Bill Schwert, for comments.1

2000What is an Oil Shock?

Cited by

2018What do we know about oil prices and stock returns?

2019The asymmetric effects of oil price on sectoral Islamic stocks: New evidence from quantile-on-quantile regression approach

2015Quantile dependence of oil price movements and stock returns

2020Dynamic co-movement between oil and stock markets in oil-importing and oil-exporting countries: Two types of wavelet analysis

2017Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach

2014Oil price uncertainty and sectoral stock returns in China: A time-varying approach

2016The impact of crude oil prices on financial market indicators: copula approach

2019Asymmetric impact of oil prices on exchange rate and stock prices

Details

Year2013

Typearticle

VenueInternational Review of Economics & Finance

Languageen

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Identifiers

doi10.1016/j.iref.2013.05.014

openalex_workW1998289244

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