The impact of oil shocks on the stock market

Date

2024

Authors

Jiménez Rodríguez, Rebeca

Director

Publisher

Elsevier
Acceso abierto / Sarbide irekia
Artículo / Artikulua
Versión publicada / Argitaratu den bertsioa

Project identifier

AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2021-127119NB-I00/ES/ recolecta
AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2022-143170OB-I00/ES/ recolecta
Impacto
No disponible en Scopus

Abstract

This paper investigates the reaction of real stock returns and their volatility in the three main euro area economies (France, Germany and Italy), the U.K. and the U.S. to oil price changes caused by different shocks in the supply-side and demand-side of the global crude oil market, including the shock on the demand for oil inventories. Our findings suggest that the impact of oil supply and aggregate demand shocks on real stock returns and volatility are not altered when oil inventories are explicitly considered in the modeling of global crude oil market. However, the effects of oil-specific demand shocks on real stock returns are modified by the inclusion of oil inventories in the model, stressing the importance of the uncertainty channel in the link between the oil and stock markets. Finally, oil inventory shocks have a negative impact at medium time horizons on real stock returns, as the surge in the price of oil causes depletion of inventories.

Description

Keywords

Oil market, Stock returns, Volatility, Oil inventories

Department

Economía / Ekonomia / Institute for Advanced Research in Business and Economics - INARBE

Faculty/School

Degree

Doctorate program

item.page.cita

Castro, C., Jiménez-Rodríguez, R. (2024) The impact of oil shocks on the stock market. Global Finance Journal, 60, 1-8. https://doi.org/10.1016/j.gfj.2024.100967.

item.page.rights

© 2024 The Authors. This is an open access article under the CC BY-NC-ND license.

Licencia

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