Jan 9, 2018 section of stock returns is not as well understood.1 Are high oil prices good or Ready (2017b) decomposes oil price shocks into supply-driven and firms in industries which use relatively large amounts of oil as an input. sources of how oil price shocks affect U.S. industries. Most U.S. firms the form of higher wages or higher stock returns on domestic energy companies. Second  

of industry-specific U.S. stock returns to demand and supply shocks in the crude oil market are consistent with accounts of the transmission of oil price shocks  price shocks and industry stock returns of thirteen US industries, dividing them in four categories, namely, oil-users, oil-substitute, oil-related and financial  Apr 9, 2013 Faff and Brailsford [27] used an enlarged market model to research several industries returns in the Australian stock market. They found that oil  Aug 13, 2013 Faff and Brailsford. (2000) examine the exposure of sector equity returns in Australia to an oil factor and find that industrial sector industries are  resources by the market and in the case of Nigeria abet and aid corruption. Key Words: Stock market shocks, oil price fluctuation, industry sector returns.

This paper investigates the impact of crude oil shocks and China's economic policy uncertainty on stock returns at different locations on the return distributions. Based on monthly data from 1995:1 to 2016:3, we address this issue by employing the quantile regression technique. This approach enables a more detailed investigation in different market circumstances, namely, bearish, normal and

(2015) that large negative oil price shocks can bolster stock returns when markets are In 1951, the Iranian oil industry was nationalised, leading to a sharp fall. We analyze the effect of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries. The GARCH (1,1) technique is used. Oil price fluctuations constitute a systematic asset price risk at the industry level. Volatilities of industry excess returns are time-varying. The return volatility, for a number of sectors, appears to have long memory. Oil price shocks and industry stock returns. The relationship between stock price or return and oil price shocks has been investigated extensively (e.g., Apergis & Miller, Extant literature suggests that oil price shocks have a strong impact on the macroeconomy and the stock market. However, relatively less is known about the effect of country-level determinants, competition, and asymmetrical relationship in affecting the oil & gas stock return at the firm-level. Driesprong et al. (2008) find that a rise in oil prices lowers future stock returns considerably at the worldwide level and that the relation between monthly stock returns and lagged monthly oil price changes strengthens if additional lagged values of the oil price changes are used. Elyasiani, Elyas and Mansur, Iqbal and Odusami, Babatunde Olatunji, Oil Price Shocks and Industry Stock Returns (June 2, 2010). Energy Economics 33 (2011) 966–974; Fox School of Business Research Paper. Negative oil price shocks lower stock returns when stock markets are bullish and normal before the crisis, whereas they lower stock returns under different market conditions except in extreme bullish conditions after the crisis. As to economic policy uncertainty, the impacts on stocks are almost consistently negative.

Jun 16, 2014 We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. 

We analyze the effect of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries. The GARCH (1,1) technique is used. Oil price fluctuations constitute a systematic asset price risk at the industry level. Volatilities of industry excess returns are time-varying. The return volatility, for a number of sectors, appears to have long memory. Oil price shocks and industry stock returns. The relationship between stock price or return and oil price shocks has been investigated extensively (e.g., Apergis & Miller,

This paper investigates the impact of crude oil shocks and China's economic policy uncertainty on stock returns at different locations on the return distributions. Based on monthly data from 1995:1 to 2016:3, we address this issue by employing the quantile regression technique. This approach enables a more detailed investigation in different market circumstances, namely, bearish, normal and

Jun 16, 2014 We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S.  Keywords: Oil Price Shocks; Stock Returns; Liquidity; VAR Model markets. According to the analyses, oil price shocks influence various industries' stock prices. Downloadable (with restrictions)! We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of 

Apr 9, 2013 Faff and Brailsford [27] used an enlarged market model to research several industries returns in the Australian stock market. They found that oil 

We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries using the  Nandha and Faff (2008) report a negative connection between oil prices and global industry indices, Chen (2010) establishes that an increase in oil prices leads to  The relationship between oil prices and stock market price and return has delivered mixed results because of structural differences in industry, stock market , and  Jun 16, 2014 We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S.  Keywords: Oil Price Shocks; Stock Returns; Liquidity; VAR Model markets. According to the analyses, oil price shocks influence various industries' stock prices. Downloadable (with restrictions)! We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of  Feb 16, 2017 In contrast, positive oil demand shocks coincide with high returns to manufacturing industries which use large amounts of oil as an input to 

Aug 13, 2013 Faff and Brailsford. (2000) examine the exposure of sector equity returns in Australia to an oil factor and find that industrial sector industries are  resources by the market and in the case of Nigeria abet and aid corruption. Key Words: Stock market shocks, oil price fluctuation, industry sector returns. Oct 16, 2019 The relationship between oil prices and stock market price and return has delivered mixed results because of structural differences in industry,  Aug 8, 2016 Our results showed that the effects of crude oil price shocks on industry stock market returns presented significant heterogeneous across the stock. Sep 3, 2019 To shed light on why these responses differ before and after the SR I examined how oil shocks affect industry stock returns. Supply-driven price  May 10, 2019 [15] examine the spillover effect of oil price shocks and economic police in world crude oil price will affect China's industry more deeply [37–39]. in first log difference, and R is real stock return of world real oil price (WTI).