IDEAS home Printed from https://ideas.repec.org/a/bpj/sndecm/v5y2001i3n3.html
   My bibliography  Save this article

Energy Shocks and Financial Markets: Nonlinear Linkages

Author

Listed:
  • Ciner Cetin

    (Northeastern University)

Abstract

This paper examines the dynamic linkages between oil prices and the stock market. Prior work argues that daily oil futures price changes and the S&P 500 stock index movements are not related. This conclusion could be due to the fact that only linear linkages have been examined. Relying on nonlinear causality tests, this study provides evidence that oil shocks affect stock index returns, which is consistent with the documented influence of oil on economic output. Moreover, the study finds that the linkage between oil prices and the stock market was stronger in the 1990s.

Suggested Citation

  • Ciner Cetin, 2001. "Energy Shocks and Financial Markets: Nonlinear Linkages," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(3), pages 1-11, October.
    • Handle: RePEc:bpj:sndecm:v:5:y:2001:i:3:n:3
    DOI: 10.2202/1558-3708.1079
    as

    Download full text from publisher

    File URL: https://doi.org/10.2202/1558-3708.1079
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.2202/1558-3708.1079?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-179, March.
    2. William J. Crowder & Anas Hamed, 1993. "A cointegration test for oil futures market efficiency," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(8), pages 933-941, December.
    3. Knut Anton Mork & Oystein Olsen & Hans Terje Mysen, 1994. "Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 19-36.
    4. Bansal, Ravi & Hsieh, David A & Viswanathan, S, 1993. "A New Approach to International Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 48(5), pages 1719-1747, December.
    5. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
    6. Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, vol. 21(2), pages 161-194, February.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    2. Awerbuch, Shimon & Sauter, Raphael, 2006. "Exploiting the oil-GDP effect to support renewables deployment," Energy Policy, Elsevier, vol. 34(17), pages 2805-2819, November.
    3. Mehdi Behname, 2013. "The relationship between Market Size, Inflation and Energy," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 2, pages 1-1, December.
    4. Wu, Shue-Jen, 2023. "The role of the past long-run oil price changes in stock market," International Review of Economics & Finance, Elsevier, vol. 84(C), pages 274-291.
    5. Huntington, Hillard G., 2004. "Shares, gaps and the economy's response to oil disruptions," Energy Economics, Elsevier, vol. 26(3), pages 415-424, May.
    6. Hillard G. Huntington, 2017. "The Historical “Roots†of U.S. Energy Price Shocks," The Energy Journal, , vol. 38(5), pages 1-16, September.
    7. Engemann, Kristie M. & Kliesen, Kevin L. & Owyang, Michael T., 2011. "Do Oil Shocks Drive Business Cycles? Some U.S. And International Evidence," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 498-517, November.
    8. Huntington, Hillard, 2016. "The Historical “Roots” of U.S. Energy Price Shocks: Supplemental Results," MPRA Paper 74701, University Library of Munich, Germany.
    9. Cunado, Juncal & Perez de Gracia, Fernando, 2003. "Do oil price shocks matter? Evidence for some European countries," Energy Economics, Elsevier, vol. 25(2), pages 137-154, March.
    10. Qi Zhang & Yi Hu & Jianbin Jiao & Shouyang Wang, 2022. "Exploring the Trend of Commodity Prices: A Review and Bibliometric Analysis," Sustainability, MDPI, vol. 14(15), pages 1-22, August.
    11. Juan Manuel Candelo-Viafara & Andrés Oviedo-Gómez, 2021. "La tasa de cambio y sus impactos en los agregados económicos colombianos: una aproximación FAVAR," Revista Facultad de Ciencias Económicas, Universidad Militar Nueva Granada, vol. 29(2), pages 121-142, October.
    12. Mehmet Balcilar & David Roubaud & Muhammad Shahbaz, 2019. "The Impact of Energy Market Uncertainty Shocks on Energy Transition in Europe," The Energy Journal, , vol. 40(1_suppl), pages 55-80, June.
    13. repec:ipg:wpaper:2014-441 is not listed on IDEAS
    14. Bunce, Alan & Carrillo-Maldonado, Paul, 2023. "Asymmetric effect of the oil price in the ecuadorian economy," Energy Economics, Elsevier, vol. 124(C).
    15. Hamdi, Helmi & Sbia, Rashid, 2013. "Dynamic relationships between oil revenues, government spending and economic growth in an oil-dependent economy," Economic Modelling, Elsevier, vol. 35(C), pages 118-125.
    16. Kristjanpoller, Werner D. & Concha, Diego, 2016. "Impact of fuel price fluctuations on airline stock returns," Applied Energy, Elsevier, vol. 178(C), pages 496-504.
    17. Hillard G. Huntington, 2007. "Oil Shocks and Real U.S. Income," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4), pages 31-46.
    18. Stavros Degiannakis & George Filis & Vipin Arora, 2018. "Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence," The Energy Journal, , vol. 39(5), pages 85-130, September.
    19. Cunado, J. & Perez de Gracia, F., 2005. "Oil prices, economic activity and inflation: evidence for some Asian countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(1), pages 65-83, February.
    20. Lutz Kilian, 2009. "Pitfalls in Estimating Asymmetric Effects of Energy Price Shocks," 2009 Meeting Papers 473, Society for Economic Dynamics.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:sndecm:v:5:y:2001:i:3:n:3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.