Relationships between oil price shocks and stock market: an empirical analysis from Greater China

Lin, Chu-Chia; Fang, Chung-Rou; Cheng, Hui-Pei

doi:10.1080/17538963.2010.562031

Cited by 29 publications

(22 citation statements)

References 44 publications

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“…The study by Hasan and Mahbobi (2013) on the influence of oil prices on Canadian stock market showed that the impact of oil price on the Canadian stock market has been robustly increasing the second period. The empirical analysis by Lin et al (2011) showed that the impact of oil price shocks on Greater China has been mixed. The effect in Taiwan's stock market was very similar to that in the US stock market.…”

Section: Literature Reviewmentioning

confidence: 99%

Oil Price and Stock Market: Empirical Evidence from Nigeria

Akinlo¹

2014

EJSD

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This paper examined the relationship between changes in oil prices and stock market growth over the period 1981-2011 using vector error correction modeling approach. The results suggest a long run relationship between oil price, exchange rate and stock market growth. A unidirectional causality runs from oil price change to stock market development. The impulse response function shows that oil price has a temporary positive impact on stock market. The VDC shows that stock market development to be very much dependent on shock on oil price change.

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Section: Literature Reviewmentioning

confidence: 99%

Oil Price and Stock Market: Empirical Evidence from Nigeria

Akinlo¹

2014

EJSD

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“…e.g., seeKling (1985),Jones and Kaul (1996),Chen et al (1986),Apergis and Miller (2009),Abhyankar et al (2013), andLin et al (2010), among others.…”

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confidence: 99%

“…Using a SVAR approach, Apergis and Miller (2009) analyse three types of oil price shocks on stock market returns from eight countries-Australia, Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States -and find that international stock market returns do not respond in a large way to oil market shocks. Using a similar methodology, Abhyankar et al (2013) show that the Japanese stock market reacts negatively to oil price increases related to oil-market specific demand shocks, and Lin et al (2010) show that global oil demand and oil specific demand shocks have no significant impacts on China's stock market returns. Wang et al (2013) consider the relationship between oil price shocks and stock market returns for a range of oil importing and oil exporting countries, using the SVAR methodology by Kilian (2009).…”

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confidence: 99%

Linkages between oil price shocks and stock returns revisited

2019

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In this paper, we revisit the debate on the relationship between oil price shocks and stock market returns by replicating the quantile-on-quantile (QQ) regression model for the US stock market in Sim and Zhou (2015, Journal of Banking and Finance), and extending it to 15 countries. The classification of these countries as oil importers or oil exporters depends on their net position in crude oil trade. Our results indicate that the main finding by Sim and Zhou (2015) that large negative oil price shocks can bolster stock returns when markets are performing well is only partially supported by the three largest oil importers in our sample-China, Japan and India-during the period 1988:1-2007:12. However, when extending the study to more recent data (period 1988:1-2016:12), we find that China and India experience higher returns when markets perform well and there is a large positive oil price shock. Also, large positive oil price shocks often lead to higher stock market returns when markets perform well for both oil exporting countries-Canada, Russia, Norway-and moderately oil dependent countries-such as Malaysia, Philippines and Thailand. In most cases large negative oil price shocks depress further already poorly performing markets, as in Sim and Zhou (2015). These findings highlight that the relationship between the distributions of oil price shocks and stock market returns is not stable over time in most countries studied.Furthermore, the asymmetric effect between positive and negative oil price shocks observed in the US market by Sim and Zhou (2015) is less evident in most countries for both the baseline and extended periods.

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“…The energy market can undoubtedly be a driver of economic growth and job creation in a developing country, such as Romania. Previous examinations were undertaken for African stock markets [20,23], Asian countries [6,14,15,[24][25][26][27][28], European nations [18,29], the US stock market [1,16,[30][31][32], Egypt [33], Gulf states [7,34,35], India [36], Islamic stocks [19], Lebanon [37], Mexico [38,39], and Turkey [40,41]. To the best of our knowledge, this is the first investigation to examine the linkage between the energy market and the Romanian stock market.…”

Section: Introductionmentioning

confidence: 99%

On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

2019

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his paper aims to establish whether the Romanian energy market has an influence on the good running of the associated capital market. In order to achieve this objective, we approached a series of econometric techniques that allowed us to study the cointegration between variables, the presence of short-term or long-term causality relationships, and the application of impulse-response functions to analyze how the BET index responds to the shocks applied. The empirical findings from the Johansen cointegration test, ARDL model, and VAR/VECM models confirmed both the presence of a long-term and short-term relationship between the energy market and capital market. From all energy market indicators, only hard coal presented a causal relationship with the BET index. We also noticed a unidirectional relationship from the WTI crude oil to the Romanian capital market. Our findings should be of interest to researchers, regulators, and market participants.

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Relationships between oil price shocks and stock market: an empirical analysis from Greater China

Cited by 29 publications

References 44 publications

Oil Price and Stock Market: Empirical Evidence from Nigeria

Oil Price and Stock Market: Empirical Evidence from Nigeria

Linkages between oil price shocks and stock returns revisited

On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

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