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Co-movement of oil and stock prices in the GCC region: A wavelet analysis
16 references·16 citing·31 second hopsampled
Co-movement of oil and stock prices in the GCC region: A wavelet analysis (2012)Co-movement of oil and stock prices in th…International comovement of stock market returns: A wavelet analysis (2009)International comovement of s…The Economic Effects of Energy Price Shocks (2008)The Economic Effects of Energ…Oil price shocks and stock markets in the U.S. and 13 European countries (2008)Oil price shocks and stock ma…The Macroeconomic Effects of Oil Shocks: Why are the 2000s So Different from the 1970s? (2007)The Macroeconomic Effects of …The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…Oil price risk and emerging stock markets (2006)Oil price risk and emerging s…Oil and the Macroeconomy Since the 1970s (2004)Oil and the Macroeconomy Sinc…Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime (2002)Are Oil Shocks Inflationary?:…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…This is what happened to the oil price-macroeconomy relationship (1996)This is what happened to the …Oil price volatility and the macroeconomy (1996)Oil price volatility and the …Oil and the Stock Markets (1996)Oil and the Stock MarketsEnergy shocks and financial markets (1996)Energy shocks and financial m…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Oil and the Macroeconomy since World War II (1983)Oil and the Macroeconomy sinc…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Oil price and inflation dynamics in the Gulf Cooperation Council countries (2019)Oil price and inflation dynam…Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach (2019)Measuring persistence of depe…Causal structure among US corn futures and regional cash prices in the time and frequency domain (2018)Causal structure among US cor…A Multiple and Partial Wavelet Analysis of the Oil Price, Inflation, Exchange Rate, and Economic Growth Nexus in Saudi Arabia (2018)A Multiple and Partial Wavele…Oil price shocks and stock market returns of the GCC countries: empirical evidence from quantile regression analysis (2017)Oil price shocks and stock ma…Global financial crisis and co-movements between oil prices and sector stock markets in Saudi Arabia: A VaR based wavelet (2017)Global financial crisis and c…Extreme dependence and risk spillovers between oil and Islamic stock markets (2017)Extreme dependence and risk s…Does speculation in the oil market drive investor herding in emerging stock markets? (2017)Does speculation in the oil m…Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach (2017)Diversification potential of …Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries (2015)Oil price risk exposure and t…Oil price and stock market co-movement: What can we learn from time-scale approaches? (2015)Oil price and stock market co…Investment horizon heterogeneity and wavelet: Overview and further research directions (2015)Investment horizon heterogene…Wavelet dynamics for oil-stock world interactions (2014)Wavelet dynamics for oil-stoc…The relationship between energy and equity markets: Evidence from volatility impulse response functions (2014)The relationship between ener…The impact of global oil price shocks on the Lebanese stock market (2013)The impact of global oil pric…Global and regional co-movement of the MENA stock markets (2012)Global and regional co-moveme…An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Testing for a Unit Root in Time Series Regression (1988)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Oil prices, US stock return, and the dependence between their quantiles (2015)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)What is an Oil Shock? (2000)Causes and Consequences of the Oil Shock of 2007-08 (2009)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)What do we learn from the price of crude oil futures? (2010)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Renewable energy consumption, CO2 emissions and oil prices in the G7 countries (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Oil prices, exchange rates and emerging stock markets (2011)The Role of Monetary Policy (1995)Postwar U.S. Business Cycles: An Empirical Investigation (1997)MONEY, INCOME, AND CAUSALITY (1972)Oil price shocks, stock market, economic activity and employment in Greece (2001)Oil prices and the stock prices of alternative energy companies (2007)Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
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References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1996This is what happened to the oil price-macroeconomy relationship1,684 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 2008The Economic Effects of Energy Price Shocks1,299 cited
  • 2008Oil price shocks and stock markets in the U.S. and 13 European countries1,264 cited
  • 2004Oil and the Macroeconomy Since the 1970s1,137 cited
  • 1996Energy shocks and financial markets1,099 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 2006Oil price risk and emerging stock markets932 cited
  • 2007The Macroeconomic Effects of Oil Shocks: Why are the 2000s So Different from the 1970s?866 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 1996Oil price volatility and the macroeconomy765 cited
  • 2002Are Oil Shocks Inflationary?: Asymmetric and Nonlinear Specifications versus Changes in Regime

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Cited by

  • 2017Extreme dependence and risk spillovers between oil and Islamic stock markets128 cited
  • 2018A Multiple and Partial Wavelet Analysis of the Oil Price, Inflation, Exchange Rate, and Economic Growth Nexus in Saudi Arabia124 cited
  • 2014The relationship between energy and equity markets: Evidence from volatility impulse response functions111 cited
  • 2018Causal structure among US corn futures and regional cash prices in the time and frequency domain102 cited
  • 2015Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries94 cited
  • 2015Oil price and stock market co-movement: What can we learn from time-scale approaches?84 cited
  • 2015Investment horizon heterogeneity and wavelet: Overview and further research directions84 cited
  • 2019Oil price and inflation dynamics in the Gulf Cooperation Council countries75 cited
  • 2017Does speculation in the oil market drive investor herding in emerging stock markets?75 cited
  • 2017Oil price shocks and stock market returns of the GCC countries: empirical evidence from quantile regression analysis74 cited
  • 2017Global financial crisis and co-movements between oil prices and sector stock markets in Saudi Arabia: A VaR based wavelet73 cited
  • 2013The impact of global oil price shocks on the Lebanese stock market71 cited
  • 2019Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach69 cited
  • 2014Wavelet dynamics for oil-stock world interactions67 cited
  • 2012Global and regional co-movement of the MENA stock markets63 cited
  • 2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach55 cited