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Oil and stock returns: Frequency domain evidence

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  • Ciner, Cetin
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    Abstract

    This paper examines the relation between oil price changes and stock returns. By using recently developed frequency domain methods, the study shows that there is significant time variation in the linkage between oil and equities. Oil price shocks with less than 12-month persistency have a negative impact on stock returns, while shocks with persistency between 12 and 36 months are associated with positive stock returns. Hence, the analysis supports the view that not all oil price movements are alike and, and joint rises in oil and stock market can in fact be observed. The implications of the findings for participants in financial markets and policy makers are discussed.

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    File URL: http://www.sciencedirect.com/science/article/pii/S1042443112000790
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 23 (2013)
    Issue (Month): C ()
    Pages: 1-11

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    Handle: RePEc:eee:intfin:v:23:y:2013:i:c:p:1-11

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    Web page: http://www.elsevier.com/locate/intfin

    Related research

    Keywords: Oil; Frequency domain tests; Stock returns;

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    Cited by:
    1. repec:wyi:wpaper:002210 is not listed on IDEAS
    2. Kang, Wensheng & Ratti, Ronald A., 2013. "Oil shocks, policy uncertainty and stock market return," MPRA Paper 49008, University Library of Munich, Germany.
    3. Chen, Wang & Hamori, Shigeyuki & Kinkyo, Takuji, 2014. "Macroeconomic impacts of oil prices and underlying financial shocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 1-12.

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