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Do higher oil prices push the stock market into bear territory?

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  • Chen, Shiu-Sheng

Abstract

This paper investigates whether a higher oil price pushes the stock market into bear territory, by using time-varying transition-probability Markov-switching models. It examines different measures of oil price shocks. Empirical evidence from monthly returns on the Standard & Poor's S&P 500 price index suggests that an increase in oil prices leads to a higher probability of a bear market emerging.

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  • Chen, Shiu-Sheng, 2010. "Do higher oil prices push the stock market into bear territory?," Energy Economics, Elsevier, vol. 32(2), pages 490-495, March.
    • Handle: RePEc:eee:eneeco:v:32:y:2010:i:2:p:490-495
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    Oil prices Stock returns;

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