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Citations for "The Impact of Oil Price Shocks on the U.S. Stock Market"

by Kilian, Lutz & Park, Cheolbeom

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  1. Chen, Natalie & Graham, Liam & Oswald, Andrew J, 2007. "Oil Prices, Profits, and Recessions : An Inquiry Using Terrorism as an Instrumental Variable," The Warwick Economics Research Paper Series (TWERPS) 809, University of Warwick, Department of Economics.
  2. Chia-Lin Chang & Michael McAleer & Jiarong Tian, 2016. "Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China," Documentos de Trabajo del ICAE 2016-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  3. Nicholas Apergis & Stephen M. Miller, 2009. "Do Structural Oil-Market Shocks Affect Stock Prices?," Working Papers 0917, University of Nevada, Las Vegas , Department of Economics.
  4. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
  5. Hui Jun Zhang & Jean-Marie Dufour & John Galbraith, 2013. "Exchange rates and commodity prices: measuring causality at multiple horizons," CIRANO Working Papers 2013s-39, CIRANO.
  6. Dinh H B Phan & Susan S Sharma & Paresh K Narayan, . "Oil Price and Stock Returns of Consumers and Producers of Crude Oil," Financial Econometics Series 2015_12, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  7. Mohamed El Hedi Arouri & Christophe Rault, 2010. "Les effets des fluctuations du prix du pétrole sur les marchés boursiers dans les pays du Golfe," Working Papers hal-00507825, HAL.
  8. Thai-Ha LE & Youngho CHANG, 2011. "Dynamics Between Strategic Commodities and Financial Variables," Economic Growth Centre Working Paper Series 1104, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  9. Kilian, Lutz, 2009. "Oil Price Shocks, Monetary Policy and Stagflation," CEPR Discussion Papers 7324, C.E.P.R. Discussion Papers.
  10. Rangan Gupta & Mampho P. Modise, 2013. "Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach," Working Papers 201318, University of Pretoria, Department of Economics.
  11. Kolodziej, Marek & Kaufmann, Robert K. & Kulatilaka, Nalin & Bicchetti, David & Maystre, Nicolas, 2014. "Crude oil: Commodity or financial asset?," Energy Economics, Elsevier, vol. 46(C), pages 216-223.
  12. IWAISAKO Tokuo & NAKATA Hayato, 2015. "Impact of Exchange Rate Shocks on Japanese Exports: Quantitative assessment using a structural VAR model," Discussion papers 15029, Research Institute of Economy, Trade and Industry (RIETI).
  13. Ding, Zhihua & Liu, Zhenhua & Zhang, Yuejun & Long, Ruyin, 2017. "The contagion effect of international crude oil price fluctuations on Chinese stock market investor sentiment," Applied Energy, Elsevier, vol. 187(C), pages 27-36.
  14. Stavros Degiannakis & George Filis & Renatas Kizys, 2013. "Oil price shocks and stock market volatility: evidence from European data," Working Papers 161, Bank of Greece.
  15. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2011. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Documentos de Trabajo del ICAE 2011-34, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  16. Miller, J. Isaac & Ratti, Ronald A., 2009. "Crude oil and stock markets: Stability, instability, and bubbles," Energy Economics, Elsevier, vol. 31(4), pages 559-568, July.
  17. repec:ipg:wpaper:2014-090 is not listed on IDEAS
  18. Gaye Gencer & Sercan Demiralay, 2013. "The Impact of Oil Prices on Sectoral Returns: An Empirical Analysis from Borsa Istanbul," EY International Congress on Economics I (EYC2013), October 24-25, 2013, Ankara, Turkey 245, Ekonomik Yaklasim Association.
  19. repec:ipg:wpaper:2014-085 is not listed on IDEAS
  20. Wensheng Kang & Ronald A. Ratti & Kyung Hwan Yoon, 2014. "The Impact of Oil Price Shocks on U.S. Bond Market Returns," CAMA Working Papers 2014-33, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  21. Noel Gaston & Gulasekaran Rajaguru, 2015. "A Markov-switching structural vector autoregressive model of boom and bust in the Australian labour market," Empirical Economics, Springer, vol. 49(4), pages 1271-1299, December.
  22. Guglielmo Maria Caporale & Faek Menla Ali & Nicola Spagnolo, 2014. "Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach," CESifo Working Paper Series 4881, CESifo Group Munich.
  23. Wang, Yudong & Wu, Chongfeng, 2012. "Energy prices and exchange rates of the U.S. dollar: Further evidence from linear and nonlinear causality analysis," Economic Modelling, Elsevier, vol. 29(6), pages 2289-2297.
  24. Dhaoui, Abderrazak & Khraief, Naceur, 2014. "Empirical linkage between oil price and stock market returns and volatility: Evidence from international developed markets," Economics Discussion Papers 2014-12, Kiel Institute for the World Economy (IfW).
  25. Lutz Kilian, 2008. "The Economic Effects of Energy Price Shocks," Journal of Economic Literature, American Economic Association, vol. 46(4), pages 871-909, December.
  26. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2011. "Oil prices, exchange rates and emerging stock markets," MPRA Paper 30140, University Library of Munich, Germany.
  27. Maravalle, Alessandro, 2012. "The role of the trade channel in the propagation of oil supply shocks," Energy Economics, Elsevier, vol. 34(6), pages 2135-2147.
  28. Zhang, Bing & Li, Xiao-Ming, 2016. "Recent hikes in oil-equity market correlations: Transitory or permanent?," Energy Economics, Elsevier, vol. 53(C), pages 305-315.
  29. repec:ipg:wpaper:2014-441 is not listed on IDEAS
  30. Degiannakis, Stavros & Filis, George, 2016. "Forecasting oil price realized volatility: A new approach," MPRA Paper 69105, University Library of Munich, Germany.
  31. Ntantamis, Christos & Zhou, Jun, 2015. "Bull and bear markets in commodity prices and commodity stocks: Is there a relation?," Resources Policy, Elsevier, vol. 43(C), pages 61-81.
  32. Madaleno, Mara & Pinho, Carlos, 2014. "Wavelet dynamics for oil-stock world interactions," Energy Economics, Elsevier, vol. 45(C), pages 120-133.
  33. Shiu-Sheng Chen, 2014. "Forecasting Crude Oil Price Movements With Oil-Sensitive Stocks," Economic Inquiry, Western Economic Association International, vol. 52(2), pages 830-844, 04.
  34. Nikolaos Antonakakis & Ioannis Chatziantoniou & George Filis, 2014. "Dynamic Spillovers of Oil Price Shocks and Policy Uncertainty," Department of Economics Working Papers wuwp166, Vienna University of Economics and Business, Department of Economics.
  35. Misund, Bard, 2016. "Common and Fundamental Risk Factors in Shareholder Returns of Norwegian Salmon Producing Companies," UiS Working Papers in Economics and Finance 2016/17, University of Stavanger.
  36. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2012. "On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation," Working Papers 0525, University of Heidelberg, Department of Economics.
  37. Chang, Chia-Lin & Ke, Yu-Pei, 2014. "Testing Price Pressure, Information, Feedback Trading, and Smoothing Effects for Energy Exchange Traded Funds," MPRA Paper 57625, University Library of Munich, Germany.
  38. Medovikov, Ivan, 2016. "When does the stock market listen to economic news? New evidence from copulas and news wires," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 27-40.
  39. Berk, Istemi & Aydogan, Berna, 2012. "Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions," EWI Working Papers 2012-15, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
  40. Kilian, Lutz & Vega, Clara, 2008. "Do Energy Prices Respond to U.S. Macroeconomic News? A Test of the Hypothesis of Predetermined Energy Prices," CEPR Discussion Papers 7015, C.E.P.R. Discussion Papers.
  41. Berna Aydogan & Istemi Berk, 2015. "Crude Oil Price Shocks and Stock Returns: Evidences from Turkish Stock Market under Global Liquidity Conditions," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 54-68.
  42. Marco J. Lombardi & Francesco Ravazzolo, 2012. "Oil price density forecasts: exploring the linkages with stock markets," Working Paper 2012/24, Norges Bank.
  43. Jammazi, Rania & Aloui, Chaker, 2010. "Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns," Energy Policy, Elsevier, vol. 38(3), pages 1415-1435, March.
  44. Sunil Mohanty & Aigbe Akhigbe & Tawfeek Al-Khyal & Turki Bugshan, 2013. "Oil and stock market activity when prices go up and down: the case of the oil and gas industry," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 253-272, August.
  45. Chen, Hongtao & Liu, Li & Wang, Yudong & Zhu, Yingming, 2016. "Oil price shocks and U.S. dollar exchange rates," Energy, Elsevier, vol. 112(C), pages 1036-1048.
  46. Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," Discussion Papers of DIW Berlin 1302, DIW Berlin, German Institute for Economic Research.
  47. Olivier Rousse & Benoît Sévi, 2016. "Informed Trading in Oil-Futures Market," Working Papers 2016.70, Fondazione Eni Enrico Mattei.
  48. Berk, Istemi & Yetkiner, Hakan, 2014. "Energy prices and economic growth in the long run: Theory and evidence," Renewable and Sustainable Energy Reviews, Elsevier, vol. 36(C), pages 228-235.
  49. Le, Thai-Ha & Chang, Youngho, 2011. "Dynamic relationships between the price of oil, gold and financial variables in Japan: a bounds testing approach," MPRA Paper 33030, University Library of Munich, Germany.
  50. Demirer, Rıza & Jategaonkar, Shrikant P. & Khalifa, Ahmed A.A., 2015. "Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries," Energy Economics, Elsevier, vol. 49(C), pages 132-140.
  51. Jaime Casassus & Freddy Higuera, 2013. "The Economic Impact of Oil on Industry Portfolios," Documentos de Trabajo 433, Instituto de Economia. Pontificia Universidad Católica de Chile..
  52. Sotoudeh, M-Ali & Worthington, Andrew C., 2016. "Estimating the effects of global oil market shocks on Australian merchandise trade," Economic Analysis and Policy, Elsevier, vol. 50(C), pages 74-84.
  53. Andrea Bastianin & Francesca Conti & Matteo Manera, 2015. "The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries," Working Papers 2015.99, Fondazione Eni Enrico Mattei.
  54. Kang, Wensheng & Ratti, Ronald A., 2013. "Structural oil price shocks and policy uncertainty," Economic Modelling, Elsevier, vol. 35(C), pages 314-319.
  55. Mark Cummins & Michael Dowling & Fearghal Kearney, 2016. "Oil market modelling: A comparative analysis of fundamental and latent factor approaches," Post-Print hal-01387596, HAL.
  56. Camarero, Mariam & Forte, Anabel & Garcia-Donato, Gonzalo & Mendoza, Yurena & Ordoñez, Javier, 2015. "Variable selection in the analysis of energy consumption–growth nexus," Energy Economics, Elsevier, vol. 52(PA), pages 207-216.
  57. Abate, Megersa, 2014. "Does fuel price affect trucking industry’s network characteristics?: evidence from Denmark," Working papers in Transport Economics 2014:26, CTS - Centre for Transport Studies Stockholm (KTH and VTI).
  58. John D. Burger & Alessandro Rebucci & Francis E. Warnock & Veronica Cacdac Warnock, 2010. "External Capital Structures and Oil Price Volatility," IDB Publications (Working Papers) 5378, Inter-American Development Bank.
  59. Cunado, Juncal & Perez de Gracia, Fernando, 2014. "Oil price shocks and stock market returns: Evidence for some European countries," Energy Economics, Elsevier, vol. 42(C), pages 365-377.
  60. Laura Cueppers & Dieter Smeets, 2015. "How Do Oil Price Changes Affect German Stock Returns?," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 321-334.
  61. Abhay Abhyankar, Bing Xu, and Jiayue Wang, 2013. "Oil Price Shocks and the Stock Market: Evidence from Japan," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  62. M-Ali Sotoudeh & Andrew C. Worthington, 2016. "A comparative analysis of monetary responses to global oil price changes: net oil producing vs. net oil consuming countries," International Economics and Economic Policy, Springer, vol. 13(4), pages 623-640, October.
  63. Riadh Aloui & Rangan Gupta & Stephen M. Miller, 2015. "Uncertainty and Crude Oil Returns," Working Papers 201503, University of Pretoria, Department of Economics.
  64. Andrea BASTIANIN & Matteo MANERA, 2015. "How Does Stock Market Volatility React to Oil Shocks?," Departmental Working Papers 2015-09, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
  65. Marc Joëts & Valérie Mignon & Tovonony Razafindrabe, 2015. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," EconomiX Working Papers 2015-7, University of Paris West - Nanterre la Défense, EconomiX.
  66. 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.
  67. 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.
  68. Helmut Lütkepohl & Aleksei Netsunajev, 2012. "Disentangling Demand and Supply Shocks in the Crude Oil Market: How to Check Sign Restrictions in Structural VARs," Discussion Papers of DIW Berlin 1195, DIW Berlin, German Institute for Economic Research.
  69. Fan, Qinbin & Jahan-Parvar, Mohammad R., 2012. "U.S. industry-level returns and oil prices," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 112-128.
  70. Atems, Bebonchu & Kapper, Devin & Lam, Eddery, 2015. "Do exchange rates respond asymmetrically to shocks in the crude oil market?," Energy Economics, Elsevier, vol. 49(C), pages 227-238.
  71. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 175-191.
  72. Ahmadi, Maryam & Bashiri Behmiri, Niaz & Manera, Matteo, 2016. "How is volatility in commodity markets linked to oil price shocks?," Energy Economics, Elsevier, vol. 59(C), pages 11-23.
  73. John Baffes & M. Ayhan Kose & Franziska Ohnsorge & Marc Stocker, 2015. "The Great Plunge in Oil Prices: Causes, Consequences, and Policy Responses," Koç University-TUSIAD Economic Research Forum Working Papers 1504, Koc University-TUSIAD Economic Research Forum.
  74. Elyasiani, Elyas & Mansur, Iqbal & Odusami, Babatunde, 2011. "Oil price shocks and industry stock returns," Energy Economics, Elsevier, vol. 33(5), pages 966-974, September.
  75. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin, 2016. "The impact of oil price shocks on the U.S. stock market: A note on the roles of U.S. and non-U.S. oil production," Economics Letters, Elsevier, vol. 145(C), pages 176-181.
  76. IWAISAKO Tokuo & NAKATA Hayato, 2015. "Oil Price, Exchange Rate Shock, and the Japanese Economy," Discussion papers 15028, Research Institute of Economy, Trade and Industry (RIETI).
  77. Thai-Ha Le & Youngho Chang, 2011. "The impact of oil price fluctuations on stock markets in developed and emerging economies," Working Papers 23, Development and Policies Research Center (DEPOCEN), Vietnam.
  78. Mario Porqueddu & Fabrizio Venditti, 2012. "Do food commodity prices have asymmetric effects on Euro-Area inflation?," Temi di discussione (Economic working papers) 878, Bank of Italy, Economic Research and International Relations Area.
  79. Batten, Jonathan A. & Ciner, Cetin & Kosedag, Arman & Lucey, Brian M., 2017. "Is the price of gold to gold mining stocks asymmetric?," Economic Modelling, Elsevier, vol. 60(C), pages 402-407.
  80. 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.
  81. Hammami Algia & Bouri Abdelfatteh, 2016. "The Volatility of Oil Prices: What Factors?," Bulletin of Energy Economics (BEE), The Economics and Social Development Organization (TESDO), vol. 4(1), pages 98-110, March.
  82. Awartani, Basel & Maghyereh, Aktham Issa, 2013. "Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries," Energy Economics, Elsevier, vol. 36(C), pages 28-42.
  83. Rania Jammazi & Duc Khuong Nguyen, 2015. "Responses of international stock markets to oil price surges: a regime-switching perspective," Applied Economics, Taylor & Francis Journals, vol. 47(41), pages 4408-4422, September.
  84. Antonakakis, Nikolaos & Chatziantoniou, Ioannis & Filis, George, 2014. "Dynamic spillovers of oil price shocks and economic policy uncertainty," Energy Economics, Elsevier, vol. 44(C), pages 433-447.
  85. Lutz Kilian & Bruce Hicks, 2013. "Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003–2008?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(5), pages 385-394, 08.
  86. Li, Lei & Yin, Libo & Zhou, Yimin, 2016. "Exogenous shocks and the spillover effects between uncertainty and oil price," Energy Economics, Elsevier, vol. 54(C), pages 224-234.
  87. Lovcha, Yuliya & Pérez Laborda, Àlex, 2016. "Structural shocks and dinamic elasticities in a long memory model of the US gasoline retail market," Working Papers 2072/261538, Universitat Rovira i Virgili, Department of Economics.
  88. Maravalle, Alessandro, 2010. "The role of the terms of trade in the trade channel of transmission of oil price shocks," DFAEII Working Papers 2010-12, University of the Basque Country - Department of Foundations of Economic Analysis II.
  89. Gao, Liping & Kim, Hyeongwoo & Saba, Richard, 2014. "How do oil price shocks affect consumer prices?," Energy Economics, Elsevier, vol. 45(C), pages 313-323.
  90. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2015. "The impact of oil price shocks on the stock market return and volatility relationship," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 41-54.
  91. Alsalman, Zeina, 2016. "Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR model," Energy Economics, Elsevier, vol. 59(C), pages 251-260.
  92. Valcarcel, Victor J. & Wohar, Mark E., 2013. "Changes in the oil price-inflation pass-through," Journal of Economics and Business, Elsevier, vol. 68(C), pages 24-42.
  93. Saleh Mothana Obadi & Matej Korcek, 2015. "Investigation of Driving Forces of Energy Consumption in European Union 28 Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 422-432.
  94. Syed Abul, Basher, 2014. "Stock markets and energy prices," MPRA Paper 53863, University Library of Munich, Germany.
  95. Pan, Zhiyuan & Wang, Yudong & Liu, Li, 2016. "The relationships between petroleum and stock returns: An asymmetric dynamic equi-correlation approach," Energy Economics, Elsevier, vol. 56(C), pages 453-463.
  96. B. Anand & Sunil Paul & M. Ramachandran, 2014. "Volatility Spillover between Oil and Stock Market Returns," Working Papers 2014-095, Madras School of Economics,Chennai,India.
  97. Elena María Díaz & Juan Carlos Molero & Fernando Pérez de Gracia, 2016. "Oil price volatility and stock returns in the G7 economies," Faculty Working Papers 01/16, School of Economics and Business Administration, University of Navarra.
  98. Huang, Shupei & An, Haizhong & Gao, Xiangyun & Wen, Shaobo & Jia, Xiaoliang, 2016. "The global interdependence among oil-equity nexuses," Energy, Elsevier, vol. 107(C), pages 259-271.
  99. Pönkä, Harri, 2016. "Real oil prices and the international sign predictability of stock returns," Finance Research Letters, Elsevier, vol. 17(C), pages 79-87.
  100. Baruník, Jozef & Kočenda, Evžen & Vácha, Lukáš, 2016. "Gold, oil, and stocks: Dynamic correlations," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 186-201.
  101. Le, Thai-Ha & Chang, Youngho, 2016. "Dynamics between strategic commodities and financial variables: Evidence from Japan," Resources Policy, Elsevier, vol. 50(C), pages 1-9.
  102. Blaise Gnimassoun & Marc Joëts & Tovonony Razafindrabe, 2016. "On the link between current account and oil price fluctuations in diversified economies: The case of Canada," EconomiX Working Papers 2016-35, University of Paris West - Nanterre la Défense, EconomiX.
  103. Deren Unalmis & Ibrahim Unalmis & Filiz D Unsal, 2012. "On the Sources and Consequences of Oil Price Shocks; The Role of Storage," IMF Working Papers 12/270, International Monetary Fund.
  104. Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2013. "A time-varying copula approach to oil and stock market dependence: The case of transition economies," Energy Economics, Elsevier, vol. 39(C), pages 208-221.
  105. Gupta, Kartick, 2016. "Oil price shocks, competition, and oil & gas stock returns — Global evidence," Energy Economics, Elsevier, vol. 57(C), pages 140-153.
  106. Khaled Guesmi & Salma Fattoum, 2014. "Measuring contagion effects between crude oil and OECD stock markets," Working Papers 2014-90, Department of Research, Ipag Business School.
  107. Lin, Hsiao-Mei & Fok, Robert (Chi-Wing) & Yang, Shih-An & Chang, Yuanchen, 2016. "The wealth effects of oil-related name changes on stock prices: Evidence from the U.S. and Canadian stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 26-45.
  108. Halova Wolfe, Marketa & Rosenman, Robert, 2014. "Bidirectional causality in oil and gas markets," Energy Economics, Elsevier, vol. 42(C), pages 325-331.
  109. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2016. "The impact of oil shocks on exchange rates: A Markov-switching approach," Energy Economics, Elsevier, vol. 54(C), pages 11-23.
  110. Yen-Hsien Lee & Ting-Huei Liao & Ya-Ling Huang & Tzu-Ling Huang, 2015. "Dynamic Spillovers between Oil and Stock Markets: New Approaches at Spillover Index," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 178-189, April.
  111. 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.
  112. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "Some thoughts on accurate characterization of stock market indexes trends in conditions of nonlinear capital flows during electronic trading at stock exchanges in global capital markets," MPRA Paper 49921, University Library of Munich, Germany.
  113. Wensheng Kang & Ronald A. Ratti, 2015. "Oil shocks, policy uncertainty and stock returns in China," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 23(4), pages 657-676, October.
  114. Chortareas, Georgios & Noikokyris, Emmanouil, 2014. "Oil shocks, stock market prices, and the U.S. dividend yield decomposition," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 639-649.
  115. Khaled GUESMI & Salma FATTOUM, 2014. "The Relationship between Oil Price and OECD Stock Markets: A Multivariate Approach," Economics Bulletin, AccessEcon, vol. 34(1), pages 510-519.
  116. Marco Jacopo Lombardi, 2013. "On the correlation between commodity and equity returns: implications for portfolio allocation," BIS Working Papers 420, Bank for International Settlements.
  117. Liu, Li & Wan, Jieqiu, 2012. "A study of Shanghai fuel oil futures price volatility based on high frequency data: Long-range dependence, modeling and forecasting," Economic Modelling, Elsevier, vol. 29(6), pages 2245-2253.
  118. Anna Creti & Zied Ftiti & Khaled Guesmi, 2014. "Oil price impact on financial markets:," Working Papers 2014-435, Department of Research, Ipag Business School.
  119. Hatice Gaye GENCER & Erdem KILIC, 2014. "Conditional Correlations and Volatility Links Among Gold, Oil and Istanbul Stock Exchange Sector Returns," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 170-182.
  120. Charfeddine, Lanouar & Benlagha, Noureddine, 2016. "A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets," Journal of Multinational Financial Management, Elsevier, vol. 37, pages 168-189.
  121. Kilian, Lutz, 2010. "Oil price volatility: Origins and effects," WTO Staff Working Papers ERSD-2010-02, World Trade Organization (WTO), Economic Research and Statistics Division.
  122. Wan, Jer-Yuh & Kao, Chung-Wei, 2015. "Interactions between oil and financial markets — Do conditions of financial stress matter?," Energy Economics, Elsevier, vol. 52(PA), pages 160-175.
  123. 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.
  124. Nnaemeka Vincent Emodi & Kyung-Jin Boo, 2015. "Sustainable Energy Development in Nigeria: Overcoming Energy Poverty," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 580-597.
  125. Joo, Young C. & Park, Sung Y., 2017. "Oil prices and stock markets: Does the effect of uncertainty change over time?," Energy Economics, Elsevier, vol. 61(C), pages 42-51.
  126. Tsai, Chun-Li, 2015. "How do U.S. stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?," Energy Economics, Elsevier, vol. 50(C), pages 47-62.
  127. 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.
  128. Chen, Qian & Lv, Xin, 2015. "The extreme-value dependence between the crude oil price and Chinese stock markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 121-132.
  129. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2014. "Regime Switching Model of US Crude Oil and Stock Market Prices: 1859 to 2013," Working Papers 201429, University of Pretoria, Department of Economics.
  130. David C. Broadstock, Ying Fan, Qiang Ji, and Dayong Zhang, 2016. "Shocks and Stocks: A Bottom-up Assessment of the Relationship Between Oil Prices, Gasoline Prices and the Returns of Chinese Firms," The Energy Journal, International Association for Energy Economics, vol. 0(China Spe).
  131. Victor Moutinho & José Manuel Xavier & Pedro Miguel Silva, 2014. "Examining the energy-related CO2 emissions using Decomposition Approach in EU-15 before and after the Kyoto Protocol," CEFAGE-UE Working Papers 2014_17, University of Evora, CEFAGE-UE (Portugal).
  132. Anna Creti & Zied Ftiti & Khaled Guesmi, 2014. "Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis," Working Papers 2014-121, Department of Research, Ipag Business School.
  133. Sim, Nicholas & Zhou, Hongtao, 2015. "Oil prices, US stock return, and the dependence between their quantiles," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 1-8.
  134. repec:ipg:wpaper:2014-443 is not listed on IDEAS
  135. Ahmadi, Maryam & Manera, Matteo & Sadeghzadeh, Mehdi, 2016. "Global oil market and the U.S. stock returns," Energy, Elsevier, vol. 114(C), pages 1277-1287.
  136. Jochen H. F. Güntner, 2011. "How do international stock markets respond to oil demand and supply shocks?," FEMM Working Papers 110028, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
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  175. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
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