[PDF] Top 20 The effects of oil price shocks on stock market volatility: Evidence from European data

... and oil specific demand shocks do not affect volatility, whereas, aggregate demand shocks influence volatility at a significant ...current-looking volatility and the implied ... See full document

... Apart from the studies discussed in this section, other studies have found significant positive effects of changes in the oil price on financial ...positive effects of an oil ... See full document

... of oil price changes on a large set of emerging stock market ...strong evidence that oil price risk affects stock returns in those ...monthly data, Park and ... See full document

... and volatility of oil price variables on stock market returns under regime shifts in the case of Gulf Cooperation Council (GCC) ...for oil market ...between oil ... See full document

... how oil price shocks interact with the stock market index within a nonlinear autoregressive distributed lag model in ...quarterly data for the period from 1991 to 2017, ... See full document

... solid evidence in favour of the use of oil shocks and oil price volatility to predict the stock market regimes by examining portfolio ...the market. The ... See full document

... the data set, we estimate the effects of oil price shocks on real stock ...extracted from a relatively large data set in order to over come the omitted information ... See full document

... between oil prices and stock returns as established in the literature; b) the study finds a breakpoint in the data during September 2008, on the basis of which it was observed that the relationship ... See full document

... and volatility transmission between oil and stock markets and their sector ...weekly data during 1992 to 2008 to examine volatility transmission between oil prices and equity ... See full document

... of oil time series dynamic effects that include both short term shocks and long term ...stationary data such as in our case the return series that contains long cycles or has some component ... See full document

... been from the oil sector for more than three decades, using the price of the product in the international market as the benchmark ...earnings from oil; hence the performance of ... See full document

... of stock markets and deviation of oil prices noticeably mentioned the GCC ...the stock market index in Saudi Arabia is correlated and heavily depends on oil ...on stock markets ... See full document

... the volatility of international oil prices and stock market of emerging ...and evidence is taken from China and Pakistan. The data is collected from 1st January ... See full document

... between oil prices and stock ...use oil risk factor in explaining stock returns in US stock ...of oil prices on stock returns in Canada, Japan, UK and US, establish a link ... See full document

... Greece stock market returns with oil prices ...in oil prices will lead to reduce stock market prices for US, UK and ...12 European oil importing ...the ... See full document

... weekly stock market data for Germany, Japan, Sweden, the United Kingdom, and the United States, from 1989 to ...strong evidence of volatility spillover for Germany, Japan, and ... See full document

... world oil prices and 11 selected sub-sector indices from the Borsa İstanbul over a specific sample period, with the aim of the contribution to oil-price and stock price nexus in ... See full document

... in volatility of returns for the Iranian stock market using the daily closing values of the Tehran exchange price index (TEPIX) covering the period from March 25, 2001 to July 25, 2012, ... See full document

... Table 4 reports our out-of-sample forecasting results. This table reports out-of-sample results, i.e. comparing the crude oil return based predictive model with the historical average model. 25%, 50%, and 75% ... See full document

... Commodity Price Index ...equity market environment cannot change how stock prices grow in ...securities market in 2015 was invalid. The long-term growth of GEM stock indexes depend on ... See full document