2017
DOI: 10.1016/j.eneco.2016.11.003
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Common cycles and common trends in the stock and oil markets: Evidence from more than 150 years of data

Abstract: This paper investigates the role of permanent and transitory shocks, within the framework of common cycles and common trends, in explaining stock and oil prices. We perform a multivariate variance decomposition analysis of monthly data on the West Texas Intermediate (WTI) oil price and the S&P500. The dataset used in the study spans a long period of 150 years and therefore contains a rich history to examine both the short-and longrun comovement properties of oil and stock prices. Given that the oil and stock m… Show more

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Cited by 48 publications
(27 citation statements)
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“…Furthermore, crude oil market volatilities are greatly established to spillover to additional commodity markets (Kang and Yoon, 2013;Kang et al, 2016Kang et al, , 2017Mensi et al, 2013Mensi et al, , 2014aMensi et al, , 2015Chebbi and Derbali, 2015, 2016a, 2016b, as well as financial markets (Balcilar and Ozdemir, 2013;Balcilar et al, 2015Balcilar et al, , 2017Balli et al, 2017;Berger and Uddin, 2016;Kang et al, 2016;Lahmiri et al, 2017;Mensi et al, 2014aMensi et al, , 2015Narayan and Gupta, 2015). Miao et al (2018) study the impact of the unexpected part of weekly crude oil inventory in EIA statements on oil futures and options prices.…”
Section: Jcmsmentioning
confidence: 99%
“…Furthermore, crude oil market volatilities are greatly established to spillover to additional commodity markets (Kang and Yoon, 2013;Kang et al, 2016Kang et al, , 2017Mensi et al, 2013Mensi et al, , 2014aMensi et al, , 2015Chebbi and Derbali, 2015, 2016a, 2016b, as well as financial markets (Balcilar and Ozdemir, 2013;Balcilar et al, 2015Balcilar et al, , 2017Balli et al, 2017;Berger and Uddin, 2016;Kang et al, 2016;Lahmiri et al, 2017;Mensi et al, 2014aMensi et al, , 2015Narayan and Gupta, 2015). Miao et al (2018) study the impact of the unexpected part of weekly crude oil inventory in EIA statements on oil futures and options prices.…”
Section: Jcmsmentioning
confidence: 99%
“…However, they also find, post 2008, a strengthening of bidirectional positive risk spillovers with asymmetric correlations. Analysing data back to 1859, Balcilar et al (2017) finds that both oil and S&P 500 prices share a common stochastic trend. Other studies have examined the impact of oil on the stock market of China ( Kang et al, 2010 ; Yang et al, 2015 ); Japan and Korea ( Kang et al, 2009 ); the US ( Ho et al, 2013 ); and broad G7 indices ( Beine et al, 2008 ; Bentes, 2014 ).…”
Section: Introduction and Motivationsmentioning
confidence: 99%
“…Balcilar et al (2017) …nd a similar result when they investigate the existence of common trends and cycles for oil prices and the S&P500 index using a long-span data set. Indeed, they only …nd a common cycle for the post-WW II period.…”
mentioning
confidence: 57%