Oil price shocks and stock return volatility: new evidence based on volatility impulse response analysis

DOI10.1016/J.ECONLET.2018.08.022MaRDI QIDQ1629631zbMATH OpenOpenAlexWikidataFDO

Authors Sercan Eraslan, Faek Menla Ali

Publication date 12 December 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://sro.sussex.ac.uk/id/eprint/78172/1/__smbhome.uscs.susx.ac.uk_fm330_Desktop_Accepted%20Papers_Manuscript-Economics%20Letters.pdf

zbMATH Keywords

oil price shocksstock returnsvolatility impulse response analysis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• Explaining the time-varying effects of oil market shocks on US stock returns
• Oil prices and the stock market
• Energy shocks and financial markets: nonlinear linkages
• Oil price shocks and the credit default swap market
• Dynamic responses to oil price shocks: conditional vs unconditional (a)symmetry

Cites work

• Explaining the time-varying effects of oil market shocks on US stock returns
• Oil prices and the stock market

Cited in

(12)

• Dynamic responses to oil price shocks: conditional vs unconditional (a)symmetry
• Explaining the time-varying effects of oil market shocks on US stock returns
• What is an oil shock?
• Oil price shocks and the hedging benefit of airline investments
• Oil price shocks and the credit default swap market
• Energy shocks and financial markets: nonlinear linkages
• Irreversible Capital and the Stock Market Response to Shocks in Profitability
• Oil price shocks, real economic activity and uncertainty
• Dynamics of crude oil price shocks and major Latin American Equity Markets: A study in time and frequency domains
• Effect of oil prices on stock markets: evidence from new generation of STAR model
• Oil prices and the stock market
• Short-horizon return predictability and oil prices

This page was built for publication: Oil price shocks and stock return volatility: new evidence based on volatility impulse response analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1629631)