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Stock and oil price returns in international markets: Identifying short and long-run effects

This paper examines how stock returns respond to oil prices with monthly data from 1990 to 2020 for 12 major economies: 6 oil-exporting countries and 6 oil-importing countries. Combining short and long-run empirical approaches in country-by-country analyses, we first document varying effects of oil...

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Detalles Bibliográficos
Autores principales: Osah, Theophilus Teye, Mollick, Andre Varella
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9385097/
http://dx.doi.org/10.1007/s12197-022-09602-x
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author Osah, Theophilus Teye
Mollick, Andre Varella
author_facet Osah, Theophilus Teye
Mollick, Andre Varella
author_sort Osah, Theophilus Teye
collection PubMed
description This paper examines how stock returns respond to oil prices with monthly data from 1990 to 2020 for 12 major economies: 6 oil-exporting countries and 6 oil-importing countries. Combining short and long-run empirical approaches in country-by-country analyses, we first document varying effects of oil price returns in the short-term, while increases in volatility (changes in VIX or geopolitical risk) have negative effects on stock markets. Dynamic OLS (DOLS) estimators show in the long-run positive oil price effects on stock markets for oil-exporters and relatively weaker negative evidence for oil-importers. Interest rate increases have strong negative effects in the long run. Panel analyses shed further light on these results along with structural breaks. Our findings suggest complementary insights from the DOLS long-run approach: oil prices and bond yields have expected signs and volatility has mixed effects on stock markets. SUPPLEMENTARY INFORMATION: The online version contains supplementary material available at 10.1007/s12197-022-09602-x.
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spelling pubmed-93850972022-08-18 Stock and oil price returns in international markets: Identifying short and long-run effects Osah, Theophilus Teye Mollick, Andre Varella J Econ Finan Article This paper examines how stock returns respond to oil prices with monthly data from 1990 to 2020 for 12 major economies: 6 oil-exporting countries and 6 oil-importing countries. Combining short and long-run empirical approaches in country-by-country analyses, we first document varying effects of oil price returns in the short-term, while increases in volatility (changes in VIX or geopolitical risk) have negative effects on stock markets. Dynamic OLS (DOLS) estimators show in the long-run positive oil price effects on stock markets for oil-exporters and relatively weaker negative evidence for oil-importers. Interest rate increases have strong negative effects in the long run. Panel analyses shed further light on these results along with structural breaks. Our findings suggest complementary insights from the DOLS long-run approach: oil prices and bond yields have expected signs and volatility has mixed effects on stock markets. SUPPLEMENTARY INFORMATION: The online version contains supplementary material available at 10.1007/s12197-022-09602-x. Springer US 2022-08-17 2023 /pmc/articles/PMC9385097/ http://dx.doi.org/10.1007/s12197-022-09602-x Text en © Academy of Economics and Finance 2022, Springer Nature or its licensor holds exclusive rights to this article under a publishing agreement with the author(s) or other rightsholder(s); author self-archiving of the accepted manuscript version of this article is solely governed by the terms of such publishing agreement and applicable law. This article is made available via the PMC Open Access Subset for unrestricted research re-use and secondary analysis in any form or by any means with acknowledgement of the original source. These permissions are granted for the duration of the World Health Organization (WHO) declaration of COVID-19 as a global pandemic.
spellingShingle Article
Osah, Theophilus Teye
Mollick, Andre Varella
Stock and oil price returns in international markets: Identifying short and long-run effects
title Stock and oil price returns in international markets: Identifying short and long-run effects
title_full Stock and oil price returns in international markets: Identifying short and long-run effects
title_fullStr Stock and oil price returns in international markets: Identifying short and long-run effects
title_full_unstemmed Stock and oil price returns in international markets: Identifying short and long-run effects
title_short Stock and oil price returns in international markets: Identifying short and long-run effects
title_sort stock and oil price returns in international markets: identifying short and long-run effects
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9385097/
http://dx.doi.org/10.1007/s12197-022-09602-x
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