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Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment

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  1. David C. Broadstock & George Filis, 2020. "The (time-varying) Importance of Oil Prices to U.S. Stock Returns: A Tale of Two Beauty-Contests," The Energy Journal, , vol. 41(6), pages 1-32, November.
  2. Degiannakis, Stavros & Floros, Christos, 2016. "Intra-day realized volatility for European and USA stock indices," Global Finance Journal, Elsevier, vol. 29(C), pages 24-41.
  3. Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2016. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 209-220.
  4. Salisu, Afees A. & Raheem, Ibrahim D. & Ndako, Umar B., 2019. "A sectoral analysis of asymmetric nexus between oil price and stock returns," International Review of Economics & Finance, Elsevier, vol. 61(C), pages 241-259.
  5. Rida Waheed & Chen Wei & Suleman Sarwar & Yulan Lv, 2018. "Impact of oil prices on firm stock return: industry-wise analysis," Empirical Economics, Springer, vol. 55(2), pages 765-780, September.
  6. Grecu, Robert Adrian & Cramer, Alexandru Adrian & Pele, Daniel Traian & Lessmann, Stefan, 2025. "The link between energy prices and stock markets in European Union countries," The North American Journal of Economics and Finance, Elsevier, vol. 78(C).
  7. Sakaki, Hamid, 2019. "Oil price shocks and the equity market: Evidence for the S&P 500 sectoral indices," Research in International Business and Finance, Elsevier, vol. 49(C), pages 137-155.
  8. Hamdi, Besma & Aloui, Mouna & Alqahtani, Faisal & Tiwari, Aviral, 2019. "Relationship between the oil price volatility and sectoral stock markets in oil-exporting economies: Evidence from wavelet nonlinear denoised based quantile and Granger-causality analysis," Energy Economics, Elsevier, vol. 80(C), pages 536-552.
  9. Alhassan, Abdulrahman & Basher, Syed Abul & Kabir Hassan, M., 2019. "Oil subsidies and the risk exposure of oil-user stocks: Evidence from net oil producers," Resources Policy, Elsevier, vol. 61(C), pages 461-472.
  10. Salisu, Afees A. & Vo, Xuan Vinh, 2021. "Firm-specific news and the predictability of Consumer stocks in Vietnam," Finance Research Letters, Elsevier, vol. 41(C).
  11. Koushik Mandal & Radhika Prosad Datta, 2022. "Analysing Time-frequency Relationship between Oil price and Sectoral Indices in India using Wavelet Techniques," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 12(5), pages 192-201, September.
  12. 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.
  13. Walid Mensi & Salem Adel Ziadat & Xuan Vinh Vo & Sang Hoon Kang, 2024. "Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2233-2262, October.
  14. Dogah, Kingsley E. & Premaratne, Gamini, 2018. "Sectoral exposure of financial markets to oil risk factors in BRICS countries," Energy Economics, Elsevier, vol. 76(C), pages 228-256.
  15. Adekoya, Oluwasegun B. & Oliyide, Johnson A., 2021. "How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques," Resources Policy, Elsevier, vol. 70(C).
  16. Stoforos, Chrysostomos E. & Degiannakis, Stavros & Palaskas, Theodosios B., 2017. "Hedge fund returns under crisis scenarios: A holistic approach," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1196-1207.
  17. 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.
  18. Isah Wada, 2019. "Dynamic Effects of Crude Oil Price Movements: a Sectoral Examination," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 22(71), pages 17-28, March.
  19. Selmi, Refk & Bouoiyour, Jamal & Miftah, Amal & Wohar, Mark E., 2021. "Managing exposure to volatile oil prices: Evidence from U.S. sectoral and industry-level data," Resources Policy, Elsevier, vol. 73(C).
  20. Rakesh Shahani & Riya Paliwal, 2023. "An empirical investigation of the impact of spillover dynamics from crude to NSE Nifty Index during and prior to the COVID-19 pandemic period," SN Business & Economics, Springer, vol. 3(8), pages 1-21, August.
  21. Singhal, Shelly & Ghosh, Sajal, 2016. "Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models," Resources Policy, Elsevier, vol. 50(C), pages 276-288.
  22. Antonakakis, Nikolaos & Cunado, Juncal & Filis, George & Gabauer, David & Perez de Gracia, Fernando, 2018. "Oil volatility, oil and gas firms and portfolio diversification," Energy Economics, Elsevier, vol. 70(C), pages 499-515.
  23. Dutta, Anupam, 2018. "Oil and energy sector stock markets: An analysis of implied volatility indexes," Journal of Multinational Financial Management, Elsevier, vol. 44(C), pages 61-68.
  24. Wadud, Sania & Gronwald, Marc & Durand, Robert B. & Lee, Seungho, 2023. "Co-movement between commodity and equity markets revisited—An application of the Thick Pen method," International Review of Financial Analysis, Elsevier, vol. 87(C).
  25. Alexandra Horobet & Georgiana Vrinceanu & Consuela Popescu & Lucian Belascu, 2019. "Oil Price and Stock Prices of EU Financial Companies: Evidence from Panel Data Modeling," Energies, MDPI, vol. 12(21), pages 1-17, October.
  26. 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.
  27. Degiannakis, Stavros & Filis, George & Panagiotakopoulou, Sofia, 2018. "Oil price shocks and uncertainty: How stable is their relationship over time?," Economic Modelling, Elsevier, vol. 72(C), pages 42-53.
  28. Guo, Hongyue & Zhao, Wenjie & Jia, Boxiang & Sui, Cong, 2025. "Dynamic risk spillovers between crude oil futures and the Chinese stock market under exogenous shocks: A refined analysis with stock clustering," Journal of Behavioral and Experimental Finance, Elsevier, vol. 47(C).
  29. Caporale, Guglielmo Maria & Menla Ali, Faek & Spagnolo, Nicola, 2015. "Oil price uncertainty and sectoral stock returns in China: A time-varying approach," China Economic Review, Elsevier, vol. 34(C), pages 311-321.
  30. Nazlıoğlu, Elif Hilal & Kök, Dündar & Soytaş, Uğur, 2025. "Energy prices and stock markets: Does energy supply security matter?," International Review of Economics & Finance, Elsevier, vol. 103(C).
  31. Lin, Boqiang & Lan, Tianxu, 2025. "The transmission of coal price shock to Chinese industry: Sub-sectors and regions heterogeneity," Energy, Elsevier, vol. 316(C).
  32. Umar, Zaghum & Hadhri, Sinda & Abakah, Emmanuel Joel Aikins & Usman, Muhammad & Umar, Muhammad, 2024. "Return and volatility spillovers among oil price shocks and international green bond markets," Research in International Business and Finance, Elsevier, vol. 69(C).
  33. Zheng, Xinwei & Su, Dan, 2017. "Impacts of oil price shocks on Chinese stock market liquidity," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 136-174.
  34. Khalid M. Kisswani & Mohammad I. Elian, 2017. "Exploring the nexus between oil prices and sectoral stock prices: Nonlinear evidence from Kuwait stock exchange," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1286061-128, January.
  35. Silvapulle, Param & Smyth, Russell & Zhang, Xibin & Fenech, Jean-Pierre, 2017. "Nonparametric panel data model for crude oil and stock market prices in net oil importing countries," Energy Economics, Elsevier, vol. 67(C), pages 255-267.
  36. Dutta, Anupam & Bouri, Elie & Rothovius, Timo & Azoury, Nehme & Uddin, Gazi Salah, 2024. "Does oil price volatility matter for the US transportation industry?," Energy, Elsevier, vol. 290(C).
  37. Wei, Yanfeng & Guo, Xiaoying, 2017. "Oil price shocks and China's stock market," Energy, Elsevier, vol. 140(P1), pages 185-197.
  38. Xu, Xin & Huang, Shupei & An, Haizhong, 2022. "The dynamic moderating function of the exchange rate market on the oil-stock nexus," International Review of Financial Analysis, Elsevier, vol. 81(C).
  39. Son Duy Pham & Pranjal Srivastava & Thao Thac Thanh Nguyen, 2025. "Oil Price Volatility and Tail Risk Dynamics in the Indian Stock Market: Insights From the CAViaR and TVP‐VAR Models," International Review of Finance, International Review of Finance Ltd., vol. 25(4), December.
  40. Kang, Wensheng & de Gracia, Fernando Perez & Ratti, Ronald A., 2019. "The asymmetric response of gasoline prices to oil price shocks and policy uncertainty," Energy Economics, Elsevier, vol. 77(C), pages 66-79.
  41. Jinghua Wang & Geoffrey Ngene, 2018. "Symmetric and asymmetric nonlinear causalities between oil prices and the U.S. economic sectors," Review of Quantitative Finance and Accounting, Springer, vol. 51(1), pages 199-218, July.
  42. Mohamad Husam Helmi & A. Nazif Catik & Begum Yurteri Kosedagli & Gul Serife Huyuguzel Kisla & Coskun Akdeniz, 2023. "The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 13(6), pages 430-440, November.
  43. Baur, Dirk G. & Todorova, Neda, 2023. "Big oil in the transition or Green Paradox? A capital market approach," Energy Economics, Elsevier, vol. 125(C).
  44. Syed Mujahid Hussain & Amjad Naveed & Sheraz Ahmed & Nisar Ahmad, 2022. "Disaggregating the impact of oil prices on European industrial equity indices: a spatial econometric analysis," Empirical Economics, Springer, vol. 62(6), pages 2673-2692, June.
  45. Esin Cakan & Sercan Demiralay & Veysel Ulusoy, 2021. "Oil Prices and Firm Returns in an Emerging Market," American Business Review, Pompea College of Business, University of New Haven, vol. 24(1), pages 166-187.
  46. Mollick, André Varella & Amin, Md Ruhul, 2021. "Occupancy, oil prices, and stock returns: Evidence from the U.S. airline industry," Journal of Air Transport Management, Elsevier, vol. 91(C).
  47. Mishra, Shekhar & Mishra, Sibanjan, 2021. "Are Indian sectoral indices oil shock prone? An empirical evaluation," Resources Policy, Elsevier, vol. 70(C).
  48. Al-Fayoumi, Nedal & Bouri, Elie & Abuzayed, Bana, 2023. "Decomposed oil price shocks and GCC stock market sector returns and volatility," Energy Economics, Elsevier, vol. 126(C).
  49. 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.
  50. Chuanmiao Yan & Xinyu Zhang & Ruhong Cui & Yuying Sun & Shouyang Wang, 2026. "DKformer: A Novel Transformer‐Based Model for Interval‐Valued Crude Oil Price Forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(3), pages 1020-1035, April.
  51. Nasim, Asma & Ullah, Subhan & Kim, Ja Ryong & Hameed, Affan, 2023. "Energy shocks and bank efficiency in emerging economies," Energy Economics, Elsevier, vol. 126(C).
  52. 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.
  53. Khalid M. Kisswani & Mohammad I. Elian, 2017. "Do Oil Prices Affect Kuwait Sectoral Stock Prices? Non-Linear Cointegration Evidence," Working Papers 1141, Economic Research Forum, revised 09 2003.
  54. Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," Journal of International Money and Finance, Elsevier, vol. 76(C), pages 28-49.
  55. Salem Adel Ziadat & Aktham Maghyereh, 2024. "Energy profile and oil shocks: a dynamic analysis of their impact on stock markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 757-780, September.
  56. 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.
  57. Bampinas, Georgios & Panagiotidis, Theodore & Papapanagiotou, Georgios, 2023. "Oil shocks and investor attention," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 68-81.
  58. Liu, De-Chih & Liu, Chih-Yun, 2016. "The source of stock return fluctuation in Taiwan," The Quarterly Review of Economics and Finance, Elsevier, vol. 61(C), pages 77-88.
  59. Mensi, Walid & Gök, Remzi & Gemici, Eray & Vo, Xuan Vinh & Kang, Sang Hoon, 2025. "Extreme dependence, connectedness, and causality between US sector stocks and oil shocks," International Review of Economics & Finance, Elsevier, vol. 98(C).
  60. Hadhri, Sinda, 2021. "The nexus, downside risk and asset allocation between oil and Islamic stock markets: A cross-country analysis," Energy Economics, Elsevier, vol. 101(C).
  61. John Robertson & University of Dundee, Dundee, UK, 2020. "Volatility Transmission between Oil Prices and Stock Prices as a New Source of Instability: Lessons from the UK Experience," Asian Journal of Economics and Empirical Research, Asian Online Journal Publishing Group, vol. 7(2), pages 217-223.
  62. Alqahtani, Abdullah & Klein, Tony, 2021. "Oil price changes, uncertainty, and geopolitical risks: On the resilience of GCC countries to global tensions," Energy, Elsevier, vol. 236(C).
  63. Faisal Khan & Saif-Ur-Rehman Khan & Hashim Khan, 2016. "Pricing of Risk, Various Volatility Dynamics and Macroeconomic Exposure of Firm Returns: New Evidence on Age Effect," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, vol. 6(2), pages 551-561.
  64. Baur, Dirk G. & Todorova, Neda, 2018. "Automobile manufacturers, electric vehicles and the price of oil," Energy Economics, Elsevier, vol. 74(C), pages 252-262.
  65. Umar, Zaghum & Abrar, Afsheen & Hadhri, Sinda & Sokolova, Tatiana, 2023. "The connectedness of oil shocks, green bonds, sukuks and conventional bonds," Energy Economics, Elsevier, vol. 119(C).
  66. Angelidis, Timotheos & Degiannakis, Stavros & Filis, George, 2015. "US stock market regimes and oil price shocks," Global Finance Journal, Elsevier, vol. 28(C), pages 132-146.
  67. Yu Lou & Chao Xiao & Yi Lian, 2024. "Dynamic asymmetric spillovers and connectedness between Chinese sectoral commodities and industry stock markets," PLOS ONE, Public Library of Science, vol. 19(1), pages 1-39, January.
  68. Sunil K. Mohanty & Joseph Onochie & Abdulrahman F. Alshehri, 2018. "Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 595-619, October.
  69. Mimouni, Karim & Charfeddine, Lanouar & Al-Azzam, Moh'd, 2016. "Do oil producing countries offer international diversification benefits? Evidence from GCC countries," Economic Modelling, Elsevier, vol. 57(C), pages 263-280.
  70. Alqahtani, Abdullah & Selmi, Refk & Hongbing, Ouyang, 2021. "The financial impacts of jump processes in the crude oil price: Evidence from G20 countries in the pre- and post-COVID-19," Resources Policy, Elsevier, vol. 72(C).
  71. Philips, Abiodun S. & Akinseye, Ademola B. & Oduyemi, Gabriel O., 2022. "Do exchange rate and inflation rate matter in the cyclicality of oil price and stock returns?," Resources Policy, Elsevier, vol. 78(C).
  72. Nikolaos Sariannidis & Grigoris Giannarakis & Eleni Zafeiriou & Ioannis Billias, 2016. "The Effect of Crude Oil Price Moments on Socially Responsible Firms in Eurozone," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 6(2), pages 356-363.
  73. Tiwari, Aviral Kumar & Jena, Sangram Keshari & Mitra, Amarnath & Yoon, Seong-Min, 2018. "Impact of oil price risk on sectoral equity markets: Implications on portfolio management," Energy Economics, Elsevier, vol. 72(C), pages 120-134.
  74. Mensi, Walid & Yousaf, Imran & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Asymmetric spillover and network connectedness between gold, BRENT oil and EU subsector markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 76(C).
  75. Aviral Kumar Tiwari & Sangram Keshari Jena & Satish Kumar & Erik Hille, 2022. "Is oil price risk systemic to sectoral equity markets of an oil importing country? Evidence from a dependence-switching copula delta CoVaR approach," Annals of Operations Research, Springer, vol. 315(1), pages 429-461, August.
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  77. Paulo Ferreira & Éder J. A. L. Pereira & Hernane B. B. Pereira, 2020. "The Exposure of European Union Productive Sectors to Oil Price Changes," Sustainability, MDPI, vol. 12(4), pages 1-16, February.
  78. Dhaoui Abderrazak & Chevallier Julien & Ma Feng, 2021. "Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-19, April.
  79. Huang, Shupei & An, Haizhong & Huang, Xuan & Wang, Yue, 2018. "Do all sectors respond to oil price shocks simultaneously?," Applied Energy, Elsevier, vol. 227(C), pages 393-402.
  80. Rafiqul Bhuyan & Mohammad Robbani & Bakhtear Talukder, 2021. "Oil Volatility Spillover into Oil Dependent Equity-Sector Stock Returns: Evidence from Major Oil Producing Countries," Bulletin of Applied Economics, Risk Market Journals, vol. 8(1), pages 149-165.
  81. Degiannakis, Stavros & Filis, George, 2016. "Forecasting oil price realized volatility: A new approach," MPRA Paper 69105, University Library of Munich, Germany.
  82. Georgios Galyfianakis & Evagelos Drimbetas & Nikolaos Sariannidis, 2016. "Modeling Energy Prices with a Markov-Switching dynamic regression model: 2005-2015," Bulletin of Applied Economics, Risk Market Journals, vol. 3(1), pages 11-28.
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  85. repec:aen:journl:ej39-5-filis is not listed on IDEAS
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  87. I. Sahadudheen & P. K. Santhosh Kumar, 2023. "On the Time-varying Correlations and Hedging Effectiveness: An Analysis of Crude Oil, Gold, and Stock Market," International Journal of Energy Economics and Policy, International Journal of Energy Economics and Policy, vol. 13(6), pages 353-363, November.
  88. Stavros Degiannakis & George Filis & George Palaiodimos, 2017. "Investments and uncertainty revisited: the case of the US economy," Applied Economics, Taylor & Francis Journals, vol. 49(45), pages 4521-4529, September.
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  105. Chikashi Tsuji, 2017. "Interpreting the Estimates from the Full VECH Model with Asymmetry: The Case of US and Canadian Equity Prices," Accounting and Finance Research, Sciedu Press, vol. 6(4), pages 236-236, Novebmer.
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