Crude oil shocks and stock market returns

2009 ◽  
Vol 19 (4) ◽  
pp. 291-303 ◽  
Author(s):  
Babatunde Olatunji Odusami
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Oil Shocks ◽  
Market Returns ◽  
Stock Market Returns

scholarly journals Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices

2020 ◽  
Vol 13 (4) ◽  
pp. 69 ◽  
Author(s):  
Abdullah Alqahtani ◽  
Julien Chevallier
Keyword(s):  
Saudi Arabia ◽  
Stock Market ◽  
Stock Returns ◽  
Gulf Cooperation Council ◽  
Oil Shocks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Gcc Countries ◽  
Conditional Correlations ◽  
Garch Modeling

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC-GARCH modeling. The novelty of the paper consists in revealing that: (i) GCC stock market returns are negatively correlated with each of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly correlated with oil shocks; and (iii) Saudi Arabia and Qatar are the most responsive to all shocks among the GCC countries, while Bahrain correlates weakly to shocks in oil, gold, and VIX. The most striking results feature extra sensitivity of Saudi Arabia and Qatar in terms of volatility indices, which should be the foremost concern of policymakers and banking analysts.

scholarly journals Testing the volatility spillover between crude oil price and the U.S. stock market returns

2019 ◽  
pp. 1221-1230 ◽  
Author(s):  
Mehmet Kondoz ◽  
Ilhan Bora ◽  
Dervis Kirikkaleli ◽  
Seyed Alireza Athari
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Oil Price ◽  
Volatility Spillover ◽  
Crude Oil Price ◽  
Market Returns ◽  
Stock Market Returns ◽  
The U.S

Crude oil volatility shocks and stock market returns

2008 ◽  
Vol 1 (3) ◽  
pp. 69-9 ◽  
Author(s):  
Chaker Aloui ◽  
Ranya Jammazy ◽  
Imen Dhakhlaoui
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Market Returns ◽  
Stock Market Returns

Impact of Oil Price on Australian Stock Market Returns

2018 ◽  
Vol 21 (03) ◽  
pp. 1850018 ◽  
Author(s):  
Hui Li ◽  
Raul Paraco
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Oil Price ◽  
Lower Sensitivity ◽  
Positive Trend ◽  
Oil Shocks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Industrial Sectors ◽  
Asymmetrical Effect

We observe a positive correlation between an oil price factor and the All Ordinaries Index of the Australian stock market. Furthermore, an asymmetrical effect is observed when the sample is divided into sub-periods. A more pervasive stock market response is observed when the price of oil displays a positive trend. We also study the influence of oil shocks on the stock returns of specific Australian industries. As expected, the energy and material sectors exhibit a positive response to oil disturbances, whereas the financial and industrial sectors show a negative relation to oil shocks. The utility and consumer discretionary sectors exhibit a lower sensitivity to oil shocks.

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