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Explaining the time-varying effects of oil market shocks on US stock returns

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  1. Brice V. Dupoyet & Corey A. Shank, 2018. "Oil prices implied volatility or direction: Which matters more to financial markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 275-295, August.
  2. Jiang, Yong & Wang, Gang-Jin & Ma, Chaoqun & Yang, Xiaoguang, 2021. "Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 1-15.
  3. Hilde C. Bjørnland & Julia Skretting, 2024. "The shale oil boom and the US economy: Spillovers and time‐varying effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(6), pages 1000-1020, September.
  4. Dufrénot Gilles & Ginn William & Pourroy Marc & Sullivan Adam, 2025. "Does State Dependence Matter in Relation to Oil Price Shocks on Global Economic Conditions?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 29(2), pages 247-264.
  5. Bhaskar Bagchi & Biswajit Paul, 2023. "Effects of Crude Oil Price Shocks on Stock Markets and Currency Exchange Rates in the Context of Russia-Ukraine Conflict: Evidence from G7 Countries," JRFM, MDPI, vol. 16(2), pages 1-18, January.
  6. Arampatzidis, Ioannis & Dergiades, Theologos & Kaufmann, Robert K. & Panagiotidis, Theodore, 2021. "Oil and the U.S. stock market: Implications for low carbon policies," Energy Economics, Elsevier, vol. 103(C).
  7. Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2021. "Stock market volatility and jumps in times of uncertainty," Journal of International Money and Finance, Elsevier, vol. 113(C).
  8. Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal & Imtiaz Hussain Khan, 2023. "Oil price volatility and stock returns: Evidence from three oil‐price wars," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 3162-3182, July.
  9. Ron Alquist & Reinhard Ellwanger & Jianjian Jin, 2020. "The effect of oil price shocks on asset markets: Evidence from oil inventory news," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(8), pages 1212-1230, August.
  10. Sa Xu & Ziqing Du & Hai Zhang, 2020. "Can Crude Oil Serve as a Hedging Asset for Underlying Securities?—Research on the Heterogenous Correlation between Crude Oil and Stock Index," Energies, MDPI, vol. 13(12), pages 1-19, June.
  11. Yousaf, Imran & Beljid, Makram & Chaibi, Anis & Ajlouni, Ahmed AL, 2022. "Do volatility spillover and hedging among GCC stock markets and global factors vary from normal to turbulent periods? Evidence from the global financial crisis and Covid-19 pandemic crisis," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
  12. Audi, Marc & Poulin, Marc & Ahmad, Khalil & Ali, Amjad, 2025. "Quantile Analysis of Oil Price Shocks and Stock Market Performance: A European Perspective," MPRA Paper 124295, University Library of Munich, Germany.
  13. Martínez-Cañete, Ana R. & Márquez-de-la-Cruz, Elena & Pérez-Soba, Inés, 2022. "Non-linear cointegration between oil and stock prices: The role of interest rates," Research in International Business and Finance, Elsevier, vol. 59(C).
  14. Arampatzidis, Ioannis & Panagiotidis, Theodore, 2023. "On the identification of the oil-stock market relationship," Economic Modelling, Elsevier, vol. 120(C).
  15. Diakonova, Marina & Ghirelli, Corinna & Molina, Luis & Pérez, Javier J., 2023. "The economic impact of conflict-related and policy uncertainty shocks: The case of Russia," International Economics, Elsevier, vol. 174(C), pages 69-90.
  16. Kurov, Alexander & Olson, Eric & Wolfe, Marketa Halova, 2024. "Have the causal effects between equities, oil prices, and monetary policy changed over time?," Journal of Commodity Markets, Elsevier, vol. 36(C).
  17. Alexey Mikhaylov & Ishaq M. Bhatti & Hasan Dinçer & Serhat Yüksel, 2024. "Integrated decision recommendation system using iteration-enhanced collaborative filtering, golden cut bipolar for analyzing the risk-based oil market spillovers," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 305-338, January.
  18. Liu, Zhenhua & Tseng, Hui-Kuan & Wu, Jy S. & Ding, Zhihua, 2020. "Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects," Resources Policy, Elsevier, vol. 66(C).
  19. Mohammad Sharik Essa & Evangelos Giouvris, 2020. "Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors," JRFM, MDPI, vol. 13(4), pages 1-40, April.
  20. Eraslan, Sercan & Menla Ali, Faek, 2018. "Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis," Economics Letters, Elsevier, vol. 172(C), pages 59-62.
  21. Liu, Zhenhua & Shi, Xunpeng & Zhai, Pengxiang & Wu, Shan & Ding, Zhihua & Zhou, Yuqin, 2021. "Tail risk connectedness in the oil-stock nexus: Evidence from a novel quantile spillover approach," Resources Policy, Elsevier, vol. 74(C).
  22. Huang, Wanling & Mollick, Andre Varella, 2020. "Tight oil, real WTI prices and U.S. stock returns," Energy Economics, Elsevier, vol. 85(C).
  23. Le, Thai-Ha & Le, Anh Tu & Le, Ha-Chi, 2021. "The historic oil price fluctuation during the Covid-19 pandemic: What are the causes?," Research in International Business and Finance, Elsevier, vol. 58(C).
  24. Chen, Shiu-Sheng & Huang, Shiangtsz & Lin, Tzu-Yu, 2022. "How do oil prices affect emerging market sovereign bond spreads?," Journal of International Money and Finance, Elsevier, vol. 128(C).
  25. Zhenhua Liu & Zhihua Ding & Tao Lv & Jy S. Wu & Wei Qiang, 2019. "Financial factors affecting oil price change and oil-stock interactions: a review and future perspectives," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 95(1), pages 207-225, January.
  26. Zeina Alsalman, 2021. "Does the source of oil supply shock matter in explaining the behavior of U.S. consumer spending and sentiment?," Empirical Economics, Springer, vol. 61(3), pages 1491-1518, September.
  27. Eraslan, Sercan & Ali, Faek Menla, 2018. "Oil price shocks and stock return volatility: New evidence based on volatility impulse response analysis," Discussion Papers 38/2018, Deutsche Bundesbank.
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