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HOW DO INTERNATIONAL STOCK MARKETS RESPOND TO OIL DEMAND AND SUPPLY SHOCKS?
16 references·0 citing·36 second hop
HOW DO INTERNATIONAL STOCK MARKETS RESPOND TO OIL DEMAND AND SUPPLY SHOCKS? (2013)HOW DO INTERNATIONAL STOCK MARKETS RESPON…THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)THE ROLE OF INVENTORIES AND S…THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)THE IMPACT OF OIL PRICE SHOCK…Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Not All Oil Price Shocks Are …Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesThe 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…Oil and the Macroeconomy Since the 1970s (2004)Oil and the Macroeconomy Sinc…What is an Oil Shock? (2000)What is an Oil Shock?Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Systematic Monetary Policy an…Oil and the Stock Markets (1996)Oil and the Stock MarketsOil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results (1989)Oil and the Macroeconomy When…The Hubris Hypothesis of Corporate Takeovers (1986)The Hubris Hypothesis of Corp…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…Asset returns and inflation (1977)Asset returns and inflationStock Returns, Real Activity, Inflation, and Money (1981)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Oil prices, US stock return, and the dependence between their quantiles (2015)Output Fluctuations in the United States: What Has Changed since the Early 1980's?Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Facts and Fantasies about Commodity Futures (2006)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)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)Econometric policy evaluation: A critique (1976)Macroeconomics and Reality (1980)The federal funds rate and the channels of monetary transmission (1989)Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach (2005)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Comparing alternative tests of causality in temporal systems (1983)This is what happened to the oil price-macroeconomy relationship (1996)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)The market for corporate control (1983)A Survey of Corporate Governance (1997)CEO Overconfidence and Corporate Investment (2005)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)Atheoretical macroeconometrics: A critique (1985)Energy shocks and financial markets (1996)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2010)
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References

  • 1986Economic Forces and the Stock Market5,258 cited
  • 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1986The Hubris Hypothesis of Corporate Takeovers3,764 cited
  • 1977Asset returns and inflation2,701 cited
  • 2000What is an Oil Shock?2,194 cited
  • 2009THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET*1,837 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 1997Systematic Monetary Policy and the Effects of Oil Price Shocks1,594 cited
  • 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results1,557 cited
  • 2013THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL1,439 cited
  • 2008The Economic Effects of Energy Price Shocks1,299 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 2008Oil price shocks and stock markets in the U.S. and 13 European countries1,264 cited
  • 2004Oil and the Macroeconomy Since the 1970s

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