The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies

Using time-varying BVARs, we find a substantial decline in the short-run price elasticity of oil demand since the mid-1980s. This finding helps explain why an oil production shortfall of the same magnitude is associated with a stronger response of oil prices and more severe macroeconomic consequences over time, while a similar oil price increase is associated with smaller output effects. Oil supply shocks also account for a smaller fraction of real oil price variability in more recent periods, in contrast to oil demand shocks. The overall effects of oil supply disruptions on the US economy have, however, been modest. (JEL E31, E32, Q41, Q43)

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Opportunity or Crisis? Volatility and Leverage Effect in the World’s Largest Economies

International Journal of Accounting and Financial Reporting ◽

10.5296/ijafr.v9i4.15609 ◽

2019 ◽

Vol 9 (4) ◽

pp. 1

Author(s):

Amalendu Bhunia ◽

Devrim Yaman

Keyword(s):

Stock Market ◽

Stock Markets ◽

Market Volatility ◽

Future Market ◽

Market Returns ◽

Stock Market Returns ◽

The Us ◽

The World ◽

The Impact ◽

The Relationship

This paper examines the relationship between asset volatility and leverage for the three largest economies (based on purchasing power parity) in the world; US, China, and India. Collectively, these economies represent Int$56,269 billion of economic power, making it important to understand the relationship among these economies that provide valuable investment opportunities for investors. We focus on a volatile period in economic history starting in 1997 when the Asian financial crisis began. Using autoregressive models, we find that Chinese stock markets have the highest volatility among the three stock markets while the US stock market has the highest average returns. The Chinese market is less efficient than the US and Indian stock markets since the impact of new information takes longer to be reflected in stock prices. Our results show that the unconditional correlation among these stock markets is significant and positive although the correlation values are low in magnitude. We also find that past market volatility is a good indicator of future market volatility in our sample. The results show that positive stock market returns result in lower volatility compared to negative stock market returns. These results demonstrate that the largest economies of the world are highly integrated and investors should consider volatility and leverage besides returns when investing in these countries.

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An empirical analysis of changes of the impact of federal budget deficits on stock market returns: evidence from the US economy

Applied Economics Letters ◽

10.1080/13504851.2013.765534 ◽

2013 ◽

Vol 20 (9) ◽

pp. 921-924

Author(s):

Klaus Grobys

Keyword(s):

Stock Market ◽

Empirical Analysis ◽

Federal Budget ◽

Budget Deficits ◽

Market Returns ◽

Stock Market Returns ◽

Us Economy ◽

The Us ◽

The Impact

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DETERMINANTS OF G7 AND CHINESE STOCK MARKET RETURNS DURING COVID-19 OUTBREAK

Business Excellence and Management ◽

10.24818/beman/2020.s.i.1-20 ◽

2020 ◽

Vol S.I. (1) ◽

pp. 256-266

Author(s):

Ahmed JERIBI ◽

◽

Mohamed FAKHFEKH ◽

Keyword(s):

Growth Rate ◽

Stock Market ◽

Financial Markets ◽

Portfolio Diversification ◽

Chinese Stock Market ◽

Market Returns ◽

Stock Market Returns ◽

Hedging Strategies ◽

The Us

The purpose of this paper is to discuss the determinants of G7, and Chinese stock market returns during the COVID-19 outbreak. We find that Bitcoin and Ethereum can generate benefits from portfolio diversification and hedging strategies for G7 financial investors in early 2020. Our result reveals that Gold is neither hedge nor haven during the COVID-19 pandemic. In addition, the results indicated that the expected volatility of the US stock market has no effect on the Japanese and Chinese financial markets. Finally, our results suggest that the growth rate of confirmed COVID-19 cases and deaths has an impact only on the US stock market.

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Market expectation shifts in option-implied volatilities in the US and UK stock markets during the Brexit vote

Investment Management and Financial Innovations ◽

10.21511/imfi.18(4).2021.30 ◽

2021 ◽

Vol 18 (4) ◽

pp. 366-379

Author(s):

Artem Bielykh ◽

Sergiy Pysarenko ◽

Dong Meng Ren ◽

Oleksandr Kubatko

Keyword(s):

Stock Market ◽

Stock Markets ◽

Implied Volatility ◽

Market Returns ◽

Stock Market Returns ◽

The Us ◽

Market Expectations ◽

Sharpe Ratios ◽

Risk Free Rate ◽

Free Rate

This paper investigates the effect of the Brexit vote on the connection between UK stock market expectations and US stock market returns. To gauge UK stock market expectations, the option-implied volatilities of the FTSE 100 index are calculated in the period starting five months before and ending four months after the Brexit referendum. To keep the analysis “clean”, it stops right before the 2016 US presidential elections. It uses an OLS regression to estimate the change in the relationship between US and UK stock market expectations.The main findings show that the US and UK stock markets became somewhat less integrated four months after the Brexit referendum compared to the five months before it. The S&amp;P 500 Index returns have a statistically significant impact on implied volatilities of the FTSE 100 only before the Brexit referendum. However, the British risk-free rate (LIBOR) became a statistically significant factor affecting FTSE 100 implied volatilities only after Brexit. This analysis may be used by decision-makers in the money management industry to act appropriately during Black Swan events. When UK citizens unexpectedly voted in favor of Brexit, the risk-free rate dropped, making it cheaper to invest, increasing the Sharpe ratios of equity portfolios. Coupled with increased uncertainty, this caused portfolio reallocations. In turn, expected volatility measured by options-implied volatility increased. AcknowledgmentThe authors would like to thank Olesia Verchenko for critique, a KSE M.A., external defense reviewer for helpful comments.

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Can cryptocurrencies be a safe haven during the novel COVID-19 pandemic? Evidence from the Tunisian Stock Market

Journal of Research in Emerging Markets ◽

10.30585/jrems.v3i1.555 ◽

2020 ◽

Vol 3 (1) ◽

pp. 14-31

Author(s):

Ahmed Jeribi ◽

Yasmin Snene Manzli

Keyword(s):

Growth Rate ◽

Stock Market ◽

Portfolio Diversification ◽

The Novel ◽

Safe Haven ◽

Market Returns ◽

Stock Market Returns ◽

Ols Regression ◽

Hedging Strategies ◽

The Us

In this paper, we discuss the behavior of stock market returns in Tunisia during the COVID-19 outbreak. Using the OLS regression, we find that Bitcoin act as a hedge and Ethereum as a diversifier for Tunisia’s stock market before the COVID-19 outbreak; however, Bitcoin and Ethereum cannot generate benefits from portfolio diversification and hedging strategies for financial investors during the COVID-19. Moreover, Dash, Monero, and Ripple act as hedges before the COVID-19 outbreak and as diversifiers during this pandemic. Our results reveal that gold acts as a hedge and diversifier before the pandemic, but it's neither hedge nor a haven during the COVID-19 pandemic. Besides, the results indicated that the expected volatility of the US stock market has an impact on the Tunisian stock market. Finally, our results indicate that the growth rate of the COVID-19 confirmed cases and deaths harms Tunisia's stock market.

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Is There a Connection between Sovereign CDS Spreads and the Stock Market? Evidence for European and US Returns and Volatilities

Mathematics ◽

10.3390/math8101667 ◽

2020 ◽

Vol 8 (10) ◽

pp. 1667

Author(s):

Laura Ballester ◽

Ana González-Urteaga

Keyword(s):

Stock Market ◽

Financial Crises ◽

Credit Default Swap ◽

Equity Returns ◽

Stock Market Volatility ◽

Market Returns ◽

Stock Market Returns ◽

Credit Default ◽

The Us ◽

The Relationship

This study complements the current literature, providing a thorough investigation of the lead–lag connection between stock indices and sovereign credit default swap (CDS) returns for 14 European countries and the US over the period 2004–2016. We use a rolling VAR framework that enables us to analyse the connection process over time covering both crisis and non-crisis periods. In addition, we analyse the relationship between stock market volatility and CDS returns. We find that the connection between the credit and equity markets does exist and that it is time variable and seems to be related to financial crises. We also observe that stock market returns anticipate sovereign CDS returns, and sovereign CDSs anticipate the conditional volatility of equity returns, closing a connectedness circle between markets. Contribution percentages in terms of returns are more intense in the US than in Europe and the opposite result is found with respect to volatilities. Within Europe, a greater impact in Eurozone countries compared to non-Eurozone countries is observed. Finally, an additional analysis is also carried out for the financial sector, obtaining results largely consistent with those found using sovereign data.

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