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The impact of oil price shocks on stock market activities: Asymmetric effect with quantile regression

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  • Lee, Chien-Chiang
  • Zeng, Jhih-Hong

Abstract

This paper examines the impact of changes in real oil prices on the real stock returns of G7 countries. In addition to investigating the asymmetric effect of oil price shocks on stock returns, we also examine the effect of the performances of stock markets themselves, which are relevant to firms’ strategies in the future. Although the responses of stock markets to oil price shocks are diverse among G7 countries, we present the inconsistent reflections of stock markets based on their performances. In many cases, quantile regression estimates are quite different from OLS models. These results carry crucial implications for the linkage between oil and stock markets.

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Bibliographic Info

Article provided by Elsevier in its journal Mathematics and Computers in Simulation (MATCOM).

Volume (Year): 81 (2011)
Issue (Month): 9 ()
Pages: 1910-1920

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Handle: RePEc:eee:matcom:v:81:y:2011:i:9:p:1910-1920

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Web page: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/

Related research

Keywords: Oil prices; Stock returns; Quantile regression; Structural breaks; G7 countries;

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References

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Cited by:
  1. Moya-Martínez, Pablo & Ferrer-Lapeña, Román & Escribano-Sotos, Francisco, 2014. "Oil price risk in the Spanish stock market: An industry perspective," Economic Modelling, Elsevier, vol. 37(C), pages 280-290.
  2. Li, Su-Fang & Zhu, Hui-Ming & Yu, Keming, 2012. "Oil prices and stock market in China: A sector analysis using panel cointegration with multiple breaks," Energy Economics, Elsevier, vol. 34(6), pages 1951-1958.

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