NSU Research Contributions
Title : Oil Price Shocks and Stock Market Returns: Evidence from 11 member countries of OECD
Authors : Kamrul Huda Talukdar, Anna Sunyaeva
Abstract : The primary purpose of this study is to evaluate the size of impact that oil price shocks have on the stock market returns. The secondary purpose is to investigate which factors have greater influence on stock market returns in recent conditions in comparison to oil price shocks and to explore systematic effect across several countries. This study is carried out by applying unrestricted Vector Autoregressive model with Impulse response and Variance decomposition to structure the results and facilitate interpretation. Theoretical framework mainly involves previous studies in the area of oil price movements’ influence on stock market return and theories that support the interactions of such factors as oil price movements, short term interest rate, exchange rate, inflation and industrial production. Oil price shocks have negative impacts on all the countries except for Norway (in the sample period 1986-2010 and 1986-2008) and Canada (1986-2010). For the sample period 1986-2010, interest rate shocks have more impact on the real stock returns of most of the countries. But for 1986-2008, oil prices have more significant impact on the real stock returns compared to the interest rate shocks for most of the countries. Oil price shocks have negative impacts on real stock market returns depending on whether the country is a net oil exporting or an importing one. When the economy is in a more stable condition, oil price shocks contribute towards greater variability in real stock returns compared to interest rate shocks.
Journal : | Volume : | Year : 2012 | Issue : |
Pages : 66-74 | City : Las Vegas | Edition : | Editors : |
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Proceeding Title : Proceedings of The Clute Institute International Academic Conference | Institution : | Issuer : | Number : |