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Do oil price asymmetric effects on the stock market persist in multiple time horizons?
16 references·5 citing·40 second hop
Do oil price asymmetric effects on the stock market persist in multiple time horizons? (2016)Do oil price asymmetric effects on the st…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…Relationships between oil price shocks and stock market: An empirical analysis from China (2008)Relationships between oil pri…Does oil move equity prices? A global view (2007)Does oil move equity prices? …Oil price risk and emerging stock markets (2006)Oil price risk and emerging s…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)An Introduction to Wavelets a…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 …Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries (1994)Macroeconomic Responses to Oi…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…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…Stock Returns, Real Activity, Inflation, and Money (1981)Stock Returns, Real Activity,…Macroeconomics and Reality (1980)Macroeconomics and RealityAsymmetric between oil prices and renewable energy consumption in the G7 countries (2021)Asymmetric between oil prices…Impact of the global financial crisis on the crude oil market (2020)Impact of the global financia…A sectoral analysis of asymmetric nexus between oil price and stock returns (2019)A sectoral analysis of asymme…Oil Prices and Chinese Stock Market: Nonlinear Causality and Volatility Persistence (2018)Oil Prices and Chinese Stock …Financial risk network architecture of energy firms (2018)Financial risk network archit…MONEY, INCOME, AND CAUSALITY (1972)Efficient Capital Markets: II (1991)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)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)Pitfalls in Financial Model-Building (1968)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Time to Build and Aggregate Fluctuations (1982)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Comparing alternative tests of causality in temporal systems (1983)Generalized autoregressive conditional heteroskedasticity (1986)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Trends and random walks in macroeconmic time series (1982)Unit root tests in panel data: asymptotic and finite-sample properties (2002)A simple panel unit root test in the presence of cross‐section dependence (2007)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)Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)
this work references cited by second hop

References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1983Oil and the Macroeconomy since World War II3,823 cited
  • 1981Stock Returns, Real Activity, Inflation, and Money2,632 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 1996This is what happened to the oil price-macroeconomy relationship1,684 cited
  • 2008The Economic Effects of Energy Price Shocks1,299 cited
  • 2002An Introduction to Wavelets and Other Filtering Methods in Finance and Economics1,072 cited
  • 2006Oil price risk and emerging stock markets932 cited
  • 2009International comovement of stock market returns: A wavelet analysis843 cited
  • 2008Relationships between oil price shocks and stock market: An empirical analysis from China665 cited
  • 2007Does oil move equity prices? A global view645 cited

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  • 1994Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries590 cited
  • Cited by

    • 2018Oil Prices and Chinese Stock Market: Nonlinear Causality and Volatility Persistence93 cited
    • 2018Financial risk network architecture of energy firms79 cited
    • 2019A sectoral analysis of asymmetric nexus between oil price and stock returns79 cited
    • 2020Impact of the global financial crisis on the crude oil market78 cited
    • 2021Asymmetric between oil prices and renewable energy consumption in the G7 countries75 cited