How to cite this paper
Orouji, M. (2016). Oil price shocks and stock market returns.Accounting, 2(3), 103-108.
Refrences
Angelidis, T., Degiannakis, S., & Filis, G. (2015). US stock market regimes and oil price shocks. Global Finance Journal, 28, 132-146.
Balcilar, M., Gupta, R., & Miller, S. M. (2015). Regime switching model of US crude oil and stock market prices: 1859 to 2013. Energy Economics, 49, 317-327.
Basher, S. A., & Sadorsky, P. (2016). Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. Energy Economics, 54, 235-247.
Bouri, E. (2015a). A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market. Energy Policy, 85, 271-279.
Bouri, E. (2015b). Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods. Energy, 89, 365-371.
Caporale, G. M., Ali, F. M., & Spagnolo, N. (2015). Oil price uncertainty and sectoral stock returns in China: A time-varying approach. China Economic Review, 34, 311-321.
Chen, Q., & Lv, X. (2015). The extreme-value dependence between the crude oil price and Chinese stock markets. International Review of Economics & Finance, 39, 121-132.
Diaz, E. M., Molero, J. C., & de Gracia, F. P. (2016). Oil price volatility and stock returns in the G7 economies. Energy Economics, 54, 417-430.
Ewing, B. T., & Malik, F. (2015). Volatility spillovers between oil prices and the stock market under structural breaks. Global Finance Journal, 29, 12-23.
Ghosh, S., & Kanjilal, K. (2014). Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests. Energy Economics, 53, 111-117.
Huang, S., An, H., Gao, X., & Huang, X. (2015). Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level. Physica A: Statistical Mechanics and its Applications, 434, 13-24.
Kang, W., Ratti, R. A., & Yoon, K. H. (2015). The impact of oil price shocks on the stock market return and volatility relationship. Journal of International Financial Markets, Institutions and Money, 34, 41-54.
Le, T. H., & Chang, Y. (2015). Effects of oil price shocks on the stock market performance: Do nature of shocks and economies matter?. Energy Economics, 51, 261-274.
Lin, H. M., Yang, S. A., & Chang, Y. (2015). The wealth effects of oil-related name changes on stock prices: Evidence from the US and Canadian stock markets. Journal of International Financial Markets, Institutions and Money, 40, 26-45.
Narayan, P. K., & Gupta, R. (2015). Has oil price predicted stock returns for over a century?. Energy Economics, 48, 18-23.
Phan, D. H. B., Sharma, S. S., & Narayan, P. K. (2015). Oil price and stock returns of consumers and producers of crude oil. Journal of International Financial Markets, Institutions and Money, 34, 245-262.
Pradhan, R. P., Arvin, M. B., & Ghoshray, A. (2015). The dynamics of economic growth, oil prices, stock market depth, and other macroeconomic variables: Evidence from the G-20 countries. International Review of Financial Analysis, 39, 84-95.
Reboredo, J. C., & Ugolini, A. (2016). Quantile dependence of oil price movements and stock returns. Energy Economics, 54, 33-49.
Salisu, A. A., & Oloko, T. F. (2015). Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach. Energy Economics, 50, 1-12.
Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking & Finance, 55, 1-8.
Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1), 225-250.
Tsai, C. L. (2015). How do US stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?. Energy Economics, 50, 47-62.
Zhu, H., Guo, Y., You, W., & Xu, Y. (2016). The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach. Energy Economics, 55, 30-41.
Balcilar, M., Gupta, R., & Miller, S. M. (2015). Regime switching model of US crude oil and stock market prices: 1859 to 2013. Energy Economics, 49, 317-327.
Basher, S. A., & Sadorsky, P. (2016). Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. Energy Economics, 54, 235-247.
Bouri, E. (2015a). A broadened causality in variance approach to assess the risk dynamics between crude oil prices and the Jordanian stock market. Energy Policy, 85, 271-279.
Bouri, E. (2015b). Return and volatility linkages between oil prices and the Lebanese stock market in crisis periods. Energy, 89, 365-371.
Caporale, G. M., Ali, F. M., & Spagnolo, N. (2015). Oil price uncertainty and sectoral stock returns in China: A time-varying approach. China Economic Review, 34, 311-321.
Chen, Q., & Lv, X. (2015). The extreme-value dependence between the crude oil price and Chinese stock markets. International Review of Economics & Finance, 39, 121-132.
Diaz, E. M., Molero, J. C., & de Gracia, F. P. (2016). Oil price volatility and stock returns in the G7 economies. Energy Economics, 54, 417-430.
Ewing, B. T., & Malik, F. (2015). Volatility spillovers between oil prices and the stock market under structural breaks. Global Finance Journal, 29, 12-23.
Ghosh, S., & Kanjilal, K. (2014). Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests. Energy Economics, 53, 111-117.
Huang, S., An, H., Gao, X., & Huang, X. (2015). Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level. Physica A: Statistical Mechanics and its Applications, 434, 13-24.
Kang, W., Ratti, R. A., & Yoon, K. H. (2015). The impact of oil price shocks on the stock market return and volatility relationship. Journal of International Financial Markets, Institutions and Money, 34, 41-54.
Le, T. H., & Chang, Y. (2015). Effects of oil price shocks on the stock market performance: Do nature of shocks and economies matter?. Energy Economics, 51, 261-274.
Lin, H. M., Yang, S. A., & Chang, Y. (2015). The wealth effects of oil-related name changes on stock prices: Evidence from the US and Canadian stock markets. Journal of International Financial Markets, Institutions and Money, 40, 26-45.
Narayan, P. K., & Gupta, R. (2015). Has oil price predicted stock returns for over a century?. Energy Economics, 48, 18-23.
Phan, D. H. B., Sharma, S. S., & Narayan, P. K. (2015). Oil price and stock returns of consumers and producers of crude oil. Journal of International Financial Markets, Institutions and Money, 34, 245-262.
Pradhan, R. P., Arvin, M. B., & Ghoshray, A. (2015). The dynamics of economic growth, oil prices, stock market depth, and other macroeconomic variables: Evidence from the G-20 countries. International Review of Financial Analysis, 39, 84-95.
Reboredo, J. C., & Ugolini, A. (2016). Quantile dependence of oil price movements and stock returns. Energy Economics, 54, 33-49.
Salisu, A. A., & Oloko, T. F. (2015). Modeling oil price–US stock nexus: A VARMA–BEKK–AGARCH approach. Energy Economics, 50, 1-12.
Sim, N., & Zhou, H. (2015). Oil prices, US stock return, and the dependence between their quantiles. Journal of Banking & Finance, 55, 1-8.
Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of econometrics, 66(1), 225-250.
Tsai, C. L. (2015). How do US stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?. Energy Economics, 50, 47-62.
Zhu, H., Guo, Y., You, W., & Xu, Y. (2016). The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach. Energy Economics, 55, 30-41.