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Time-varying effect of oil price shocks on the stock market returns: Evidence from oil-importing and oil-exporting countries
16 references·11 citing·35 second hop
Time-varying effect of oil price shocks on the stock market returns: Evidence from oil-importing and oil-exporting countries (2020)Time-varying effect of oil price shocks o…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 …Causes and Consequences of the Oil Shock of 2007-08 (2009)Causes and Consequences of th…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…Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…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 and the Stock Markets (1996)Oil and the Stock MarketsEnergy shocks and financial markets (1996)Energy shocks and financial m…Oil Shocks and the Macroeconomy: The Role of Price Variability* (1995)Oil Shocks and the Macroecono…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…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…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers (2024)Quantile spillovers and conne…Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model (2022)Revisiting the relationship b…Asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS (2022)Asymmetric volatility spillov…The impact of extreme structural oil-price shocks on clean energy and oil stocks (2021)The impact of extreme structu…Stock market volatility on shipping stock prices: GARCH models approach (2021)Stock market volatility on sh…Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak (2021)Risk spillover from crude oil…Oil shocks and stock market: Revisiting the dynamics (2021)Oil shocks and stock market: …Distributional predictability between oil prices and renewable energy stocks: Is there a role for the COVID-19 pandemic? (2021)Distributional predictability…The hedging effectiveness of industrial metals against different oil shocks: Evidence from the four newly developed oil shocks datasets (2020)The hedging effectiveness of …Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries (2020)Spillover and quantile linkag…A dynamic quantile regression model for the relationship between oil price and stock markets in oil-importing and oil-exporting countries (2020)A dynamic quantile regression…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)Stock Returns, Real Activity, Inflation, and Money (1981)What is an Oil Shock? (2000)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)THE ROLE OF INVENTORIES AND SPECULATIVE TRADING IN THE GLOBAL MARKET FOR CRUDE OIL (2013)Oil prices, US stock return, and the dependence between their quantiles (2015)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)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Macroeconomics and Reality (1980)Comparing alternative tests of causality in temporal systems (1983)Generalized autoregressive conditional heteroskedasticity (1986)Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Trends and random walks in macroeconmic time series (1982)A simple panel unit root test in the presence of cross‐section dependence (2007)Atheoretical macroeconometrics: A critique (1985)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)Extreme Values, Regular Variation and Point Processes (1987)Modelling Extremal Events (1997)International Asset Allocation With Regime Shifts (2002)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)The Economic Effects of Energy Price Shocks (2008)
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References

  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 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
  • 2001Extreme Correlation of International Equity Markets2,608 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
  • 1996This is what happened to the oil price-macroeconomy relationship1,684 cited
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  • 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
  • 2009Causes and Consequences of the Oil Shock of 2007-081,006 cited

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1995
Oil Shocks and the Macroeconomy: The Role of Price Variability*
914 cited

Cited by

  • 2021Risk spillover from crude oil prices to GCC stock market returns: New evidence during the COVID-19 outbreak113 cited
  • 2022Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model109 cited
  • 2021The impact of extreme structural oil-price shocks on clean energy and oil stocks88 cited
  • 2021Distributional predictability between oil prices and renewable energy stocks: Is there a role for the COVID-19 pandemic?87 cited
  • 2021Oil shocks and stock market: Revisiting the dynamics75 cited
  • 2020Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries70 cited
  • 2020A dynamic quantile regression model for the relationship between oil price and stock markets in oil-importing and oil-exporting countries63 cited
  • 2020The hedging effectiveness of industrial metals against different oil shocks: Evidence from the four newly developed oil shocks datasets58 cited
  • 2022Asymmetric volatility spillovers and dynamic correlations between crude oil price, exchange rate and gold price in BRICS57 cited
  • 2024Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers56 cited
  • 2021Stock market volatility on shipping stock prices: GARCH models approach28 cited