Arbeitspapier

Global Oil Market and the U.S. Stock Returns

This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We also take into account in our model all the factors that affect stock market price movements over and above the oil market, in order to quantify the pure effect of oil price shocks on returns. The results show that stock returns respond to oil price shocks differently, depending on the causes behind the shocks. Impulse response analysis suggests that consumption demand shocks are the most relevant drivers of the stock market return, relative to other oil market driven shocks. Industry level analysis is performed to control for the heterogeneity of the responses of returns to oil price changes. The results show that both cost side and demand side effects of oil price shocks matter for the responses of industries to oil price shocks. However, the main driver of the variation in industries’ returns is the shock to aggregate stock market.

Sprache
Englisch

Erschienen in
Series: Nota di Lavoro ; No. 91.2015

Klassifikation
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Energy: Demand and Supply; Prices
Thema
Oil Market
Oil Price
Stock Market

Ereignis
Geistige Schöpfung
(wer)
Ahmad, Maryam
Manera, Matteo
Sadeghzadeh, Mehdi
Ereignis
Veröffentlichung
(wer)
Fondazione Eni Enrico Mattei (FEEM)
(wo)
Milano
(wann)
2015

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Ahmad, Maryam
  • Manera, Matteo
  • Sadeghzadeh, Mehdi
  • Fondazione Eni Enrico Mattei (FEEM)

Entstanden

  • 2015

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