Oil and stock returns: Frequency domain evidence
AbstractThis 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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Bibliographic InfoArticle provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.
Volume (Year): 23 (2013)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/intfin
Oil; Frequency domain tests; Stock returns;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
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- repec:wyi:wpaper:002210 is not listed on IDEAS
- Kang, Wensheng & Ratti, Ronald A., 2013.
"Oil shocks, policy uncertainty and stock market return,"
49008, University Library of Munich, Germany.
- Kang, Wensheng & Ratti, Ronald A., 2013. "Oil shocks, policy uncertainty and stock market return," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 305-318.
- 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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