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Does crude oil price play an important role in explaining stock return behavior?

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  1. Rodríguez-Nava, Abigail & Venegas-Martínez, Francisco & Coronado, Semei & Rojas, Omar, 2018. "Oil prices and stock markets returns: a comparison among Brazil, Chile, and Mexico," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Universidad de Guadalajara & Instituto Politécnico Nacional (ed.), Recent Topics in Time Series and Finance: Theory and Applications in Emerging Markets, volume 2, chapter 8, pages 199-210, Escuela Superior de Economía, Instituto Politécnico Nacional.
  2. Mokni, Khaled & Youssef, Manel, 2019. "Measuring persistence of dependence between crude oil prices and GCC stock markets: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 14-33.
  3. Chowdhury, Kushal Banik & Garg, Bhavesh, 2023. "Fresh evidence on the oil-stock interactions under heterogeneous market conditions," Finance Research Letters, Elsevier, vol. 54(C).
  4. Escribano, Ana & Koczar, Monika W. & Jareño, Francisco & Esparcia, Carlos, 2023. "Shock transmission between crude oil prices and stock markets," Resources Policy, Elsevier, vol. 83(C).
  5. Chai, Jian & Lu, Quanying & Hu, Yi & Wang, Shouyang & Lai, Kin Keung & Liu, Hongtao, 2018. "Analysis and Bayes statistical probability inference of crude oil price change point," Technological Forecasting and Social Change, Elsevier, vol. 126(C), pages 271-283.
  6. Suresh Kumar & Ankit Kumar & Gurcharan Singh, 2023. "Causal relationship among international crude oil, gold, exchange rate, and stock market: Fresh evidence from NARDL testing approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 47-57, January.
  7. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019. "Time-varying energy and stock market integration in Asia," Energy Economics, Elsevier, vol. 80(C), pages 777-792.
  8. Chang, Kuang-Liang, 2021. "Do U.S. and Japanese uncertainty shocks play important roles in affecting transition mechanisms of Japanese stock market?," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
  9. Escobari, Diego & Sharma, Shahil, 2020. "Explaining the nonlinear response of stock markets to oil price shocks," Energy, Elsevier, vol. 213(C).
  10. Kayalar, Derya Ezgi & Küçüközmen, C. Coşkun & Selcuk-Kestel, A. Sevtap, 2017. "The impact of crude oil prices on financial market indicators: copula approach," Energy Economics, Elsevier, vol. 61(C), pages 162-173.
  11. Liu, Feng & Zhang, Chuanguo & Tang, Mengying, 2021. "The impacts of oil price shocks and jumps on China's nonferrous metal markets," Resources Policy, Elsevier, vol. 73(C).
  12. Belhassine, Olfa, 2020. "Volatility spillovers and hedging effectiveness between the oil market and Eurozone sectors: A tale of two crises," Research in International Business and Finance, Elsevier, vol. 53(C).
  13. Ewing, Bradley T. & Kang, Wensheng & Ratti, Ronald A., 2018. "The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies," Energy Economics, Elsevier, vol. 72(C), pages 505-516.
  14. Reboredo, Juan C. & Ugolini, Andrea, 2016. "Quantile dependence of oil price movements and stock returns," Energy Economics, Elsevier, vol. 54(C), pages 33-49.
  15. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2019. "Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets," Energy Policy, Elsevier, vol. 134(C).
  16. Mishra, Shekhar & Sharif, Arshian & Khuntia, Sashikanta & Meo, Muhammad Saeed & Rehman Khan, Syed Abdul, 2019. "Does oil prices impede Islamic stock indices? Fresh insights from wavelet-based quantile-on-quantile approach," Resources Policy, Elsevier, vol. 62(C), pages 292-304.
  17. Salisu, Afees A. & Swaray, Raymond & Oloko, Tirimisiyu F., 2019. "Improving the predictability of the oil–US stock nexus: The role of macroeconomic variables," Economic Modelling, Elsevier, vol. 76(C), pages 153-171.
  18. Dinmukhamed Kelesbayev & Kundyz Myrzabekkyzy & Artur Bolganbayev & Sabit Baimaganbetov, 2022. "The Impact of Oil Prices on the Stock Market and Real Exchange Rate: The Case of Kazakhstan," International Journal of Energy Economics and Policy, Econjournals, vol. 12(1), pages 163-168.
  19. Salisu, Afees A. & Isah, Kazeem O., 2017. "Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach," Economic Modelling, Elsevier, vol. 66(C), pages 258-271.
  20. You, Wanhai & Guo, Yawei & Zhu, Huiming & Tang, Yong, 2017. "Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression," Energy Economics, Elsevier, vol. 68(C), pages 1-18.
  21. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2018. "Forecasting the prices of crude oil using the predictor, economic and combined constraints," Economic Modelling, Elsevier, vol. 75(C), pages 237-245.
  22. Toparlı, Elif Akay & Çatık, Abdurrahman Nazif & Balcılar, Mehmet, 2019. "The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
  23. Peng, Cheng & Zhu, Huiming & Jia, Xianghua & You, Wanhai, 2017. "Stock price synchronicity to oil shocks across quantiles: Evidence from Chinese oil firms," Economic Modelling, Elsevier, vol. 61(C), pages 248-259.
  24. Adekunle, Wasiu & Bagudo, Abubakar M. & Odumosu, Monsuru & Inuolaji, Suraj B., 2020. "Predicting stock returns using crude oil prices: A firm level analysis of Nigeria's oil and gas sector," Resources Policy, Elsevier, vol. 68(C).
  25. Dhaoui, Abderrazak & Saidi, Youssef, 2015. "Oil supply and demand shocks and stock price: Evidence for some OECD countries," MPRA Paper 63556, University Library of Munich, Germany.
  26. Tega Anighoro, 2020. "Value relevance of the components of oil and gas reserve quantity change disclosures of upstream oil and gas companies in the london stock exchange," Papers 2005.14659, arXiv.org.
  27. Ben-Salha, Ousama & Mokni, Khaled, 2022. "Detrended cross-correlation analysis in quantiles between oil price and the US stock market," Energy, Elsevier, vol. 242(C).
  28. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2015. "Time-varying effect of oil market shocks on the stock market," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 150-163.
  29. Lu, Xinjie & Ma, Feng & Wang, Tianyang & Wen, Fenghua, 2023. "International stock market volatility: A data-rich environment based on oil shocks," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 184-215.
  30. Kumar, Satish, 2019. "Asymmetric impact of oil prices on exchange rate and stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 41-51.
  31. Babak Fazelabdolabadi, 2019. "Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-20, December.
  32. Lin, Ling & Zhou, Zhongbao & Jiang, Yong & Ou, Yangchen, 2021. "Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  33. Hou, Yang & Li, Steven & Wen, Fenghua, 2019. "Time-varying volatility spillover between Chinese fuel oil and stock index futures markets based on a DCC-GARCH model with a semi-nonparametric approach," Energy Economics, Elsevier, vol. 83(C), pages 119-143.
  34. Liu, Feng & Shao, Shuai & Zhang, Chuanguo, 2020. "How do China's petrochemical markets react to oil price jumps? A comparative analysis of stocks and commodities," Energy Economics, Elsevier, vol. 92(C).
  35. Mokni, Khaled, 2020. "A dynamic quantile regression model for the relationship between oil price and stock markets in oil-importing and oil-exporting countries," Energy, Elsevier, vol. 213(C).
  36. Hassan, Kamrul & Hoque, Ariful & Gasbarro, Dominic, 2019. "Separating BRIC using Islamic stocks and crude oil: dynamic conditional correlation and volatility spillover analysis," Energy Economics, Elsevier, vol. 80(C), pages 950-969.
  37. Huiming Zhu & Xianfang Su & Wanhai You & Yinghua Ren, 2017. "Asymmetric effects of oil price shocks on stock returns: evidence from a two-stage Markov regime-switching approach," Applied Economics, Taylor & Francis Journals, vol. 49(25), pages 2491-2507, May.
  38. Naser, Hanan & Alaali, Fatema, 2015. "Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach," MPRA Paper 65295, University Library of Munich, Germany, revised 25 Jun 2015.
  39. Hanan Naser & Fatema Alaali, 2018. "Can oil prices help predict US stock market returns? Evidence using a dynamic model averaging (DMA) approach," Empirical Economics, Springer, vol. 55(4), pages 1757-1777, December.
  40. Zhang, Chuanguo & Mou, Xinjie & Ye, Shuping, 2022. "How do dynamic jumps in global crude oil prices impact China's industrial sector?," Energy, Elsevier, vol. 249(C).
  41. Zhang, Chuanguo & Shang, Hongli, 2023. "Asymmetry effect of oil price shocks and the lagging effect of oil price jumps: Evidence from China's automobile markets," Energy Policy, Elsevier, vol. 172(C).
  42. Walid Mensi & Shawkat Hammoude & Seong-Min Yoon, 2014. "Structural Breaks, Dynamic Correlations, Volatility Transmission, and Hedging Strategies for International Petroleum Prices and U.S. Dollar Exchange Rate," Working Papers 884, Economic Research Forum, revised Dec 2014.
  43. Smyth, Russell & Narayan, Paresh Kumar, 2018. "What do we know about oil prices and stock returns?," International Review of Financial Analysis, Elsevier, vol. 57(C), pages 148-156.
  44. Dhaoui, Abderrazak & Audi, Mohamed & Ouled Ahmed Ben Ali, Raja, 2015. "Revising empirical linkages between direction of Canadian stock price index movement and Oil supply and demand shocks: Artificial neural network and support vector machines approaches," MPRA Paper 66029, University Library of Munich, Germany.
  45. Jammazi, Rania & Reboredo, Juan C., 2016. "Dependence and risk management in oil and stock markets. A wavelet-copula analysis," Energy, Elsevier, vol. 107(C), pages 866-888.
  46. Manel Youssef & Khaled Mokni, 2019. "Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?," Economies, MDPI, vol. 7(3), pages 1-22, July.
  47. Haykir, Ozkan & Yagli, Ibrahim & Aktekin Gok, Emine Dilara & Budak, Hilal, 2022. "Oil price explosivity and stock return: Do sector and firm size matter?," Resources Policy, Elsevier, vol. 78(C).
  48. Chen, Xiangyu & Tongurai, Jittima, 2022. "Spillovers and interdependency across base metals: Evidence from China's futures and spot markets," Resources Policy, Elsevier, vol. 75(C).
  49. Husain, Shaiara & Tiwari, Aviral Kumar & Sohag, Kazi & Shahbaz, Muhammad, 2019. "Connectedness among crude oil prices, stock index and metal prices: An application of network approach in the USA," Resources Policy, Elsevier, vol. 62(C), pages 57-65.
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