NSU Research Contributions
Title : Oil Price Shocks and Stock Market Returns: Did Global Financial Crisis matter?
Authors : Kamrul Huda Talukdar, Anna Sunyaeva
Abstract : This paper investigates the impact that oil price shocks have on the stock market returns during and before the global financial crisis. This study is carried out by applying unrestricted V ector Autoregressive Model with Impulse Response and V ariance Decomposition to structure the results and facilitate interpretation. Theoretical frame work 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 which takes financial crisis into consideration, interest rate shocks have more impact on the real stock returns of most of the countries. But for 1986-2008, which includes data before the global financial crisis started, 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 : North South Business Review | Volume : 7 | Year : 2017 | Issue : 2 |
Pages : 59-84 | City : | Edition : | Editors : |
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