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Oil and the Stock Markets

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Author Info
 Jones, Charles M
Kaul, Gautam

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Abstract

The authors test whether the reaction of international stock markets to oil shocks can be justified by current and future changes in real cash flows and/or changes in expected returns. They find that, in the postwar period, the reaction of U.S. and Canadian stock prices to oil shocks can be completely accounted for by the impact of these shocks on real cash flows alone. In contrast, in both the United Kingdom and Japan, innovations in oil prices appear to cause larger changes in stock prices than can be justified by subsequent changes in real cash flows or by changing expected returns. Copyright 1996 by American Finance Association.

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Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 51 (1996)
Issue (Month): 2 (June)
Pages: 463-91
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Handle: RePEc:bla:jfinan:v:51:y:1996:i:2:p:463-91

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  1. Fan, Qinbin & Jahan-Parvar, Mohammad R., 2009. "US Industry-Level Returns and Oil Prices," MPRA Paper 15670, University Library of Munich, Germany. [Downloadable!]
  2. M. Martin Boyer & Didier Filion, 2004. "Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies," CIRANO Working Papers 2004s-62, CIRANO. [Downloadable!]
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  3. Marc Gronwald, 2009. "Reconsidering the macroeconomics of the oil price in Germany: testing for causality in the frequency domain," Empirical Economics, Springer, vol. 36(2), pages 441-453, May. [Downloadable!] (restricted)
  4. Oberndorfer, Ulrich & Ulbricht, Dirk, 2007. "Lost in Transmission? Stock Market Impacts of the 2006 European Gas Crisis," ZEW Discussion Papers 07-030, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  5. Syed A. Basher & Perry Sadorsky, 2004. "Oil price risk and emerging stock markets," International Finance 0410003, EconWPA. [Downloadable!]
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  6. Ågren, Martin, 2006. "Does Oil Price Uncertainty Transmit to Stock Markets?," Working Paper Series 2006:23, Uppsala University, Department of Economics. [Downloadable!]
  7. Kilian, Lutz & Park, Cheolbeom, 2007. "The Impact of Oil Price Shocks on the U.S. Stock Market," CEPR Discussion Papers 6166, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  8. Driesprong, G. & Jacobsen, B. & Maat, B., 2003. "Striking Oil: Another Puzzle," Research Paper ERS-2003-082-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
  9. L. Vanessa Smith & Takashi Yamagata, 2008. "Firm Level Volatility-Return Analysis using Dynamic Panels," Discussion Papers 08/09, Department of Economics, University of York. [Downloadable!]
  10. Osman Karamustafa & Yakup Kucukkale, 2003. "Long Run Relationships between Stock Market Returns and Macroeconomic Performance: Evidence from Turkey," Finance 0309010, EconWPA. [Downloadable!]
  11. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CIRJE F-Series CIRJE-F-639, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  12. Nicholas Apergis & Stephen M. Miller, 2009. "Do Structural Oil-Market Shocks Affect Stock Prices?," Working Papers 0917, University of Nevada, Las Vegas , Department of Economics. [Downloadable!]
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  13. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Quantitative Finance Papers physics/0702027, arXiv.org. [Downloadable!]
  14. Mohamed El hedi Arouri & Christophe Rault, 2009. "On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  15. J. Isaac Miller & Ronald Ratti, 2008. "Crude Oil and Stock Markets: Stability, Instability, and Bubbles," Working Papers 0810, Department of Economics, University of Missouri, revised 20 Jan 2009. [Downloadable!]
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  16. Ian Keay, 2007. "Resource Rents and their Impact on Institutional and Economic Development," Working Papers 1143, Queen's University, Department of Economics. [Downloadable!]
  17. Feng Guo & Hung-Gay Fung & Ying Huang, 2009. "The Dynamic Impact of Macro Shocks on Insurance Premiums," Journal of Financial Services Research, Springer, vol. 35(3), pages 225-244, June. [Downloadable!] (restricted)
  18. Nandha, Mohan & Faff, Robert, 2006. "Short-Run and Long-Run Oil Price Sensitivity of Equity Returns: The South Asian Markets," Review of Applied Economics, Review of Applied Economics, vol. 2(2). [Downloadable!]
  19. Mohamed El Hedi Arouri & Julien Fouquau, 2009. "On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses," Working Papers hal-00387103_v1, HAL. [Downloadable!]
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  20. Ramón Cobo-Reyes & Gabriel Pérez Quirós, 2005. "The effect of oil price on industrial production and on stock returns," ThE Papers 05/18, Department of Economic Theory and Economic History of the University of Granada.. [Downloadable!]
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