The impact of oil shocks on the stock market
| dc.contributor.author | Castro Rozo, César Augusto | |
| dc.contributor.author | Jiménez Rodríguez, Rebeca | |
| dc.contributor.department | Economía | es_ES |
| dc.contributor.department | Ekonomia | eu |
| dc.contributor.department | Institute for Advanced Research in Business and Economics - INARBE | en |
| dc.date.accessioned | 2024-06-07T18:48:59Z | |
| dc.date.available | 2024-06-07T18:48:59Z | |
| dc.date.issued | 2024 | |
| dc.date.updated | 2024-06-07T18:35:53Z | |
| dc.description.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. | en |
| dc.description.sponsorship | The authors acknowledge the financial support from Ministerio de Ciencia e Innovación through research projects PID2021-127119NB-I00 and PID2022-143170OB-I00 funded by MCIN/AEI/10.13039/ 501100011033/FEDER, UE. | en |
| dc.format.mimetype | application/pdf | en |
| dc.identifier.citation | 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. | en |
| dc.identifier.doi | 10.1016/j.gfj.2024.100967 | |
| dc.identifier.issn | 0896-4181 | |
| dc.identifier.uri | https://academica-e.unavarra.es/handle/2454/48315 | |
| dc.language.iso | eng | en |
| dc.publisher | Elsevier | en |
| dc.relation.ispartof | Global Finance Journal 60, 2024, 100967 | en |
| dc.relation.projectID | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2021-127119NB-I00/ES/ | |
| dc.relation.projectID | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2022-143170OB-I00/ES/ | |
| dc.relation.publisherversion | https://doi.org/10.1016/j.gfj.2024.100967 | |
| dc.rights | © 2024 The Authors. This is an open access article under the CC BY-NC-ND license. | en |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | |
| dc.rights.uri | https://creativecommons.org/licenses/by-nc-nd/4.0/ | |
| dc.subject | Oil market | en |
| dc.subject | Stock returns | en |
| dc.subject | Volatility | en |
| dc.subject | Oil inventories | en |
| dc.title | The impact of oil shocks on the stock market | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.type.version | info:eu-repo/semantics/publishedVersion | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | b2bbd9ff-0bab-4ce6-bced-4dcb0669a170 | |
| relation.isAuthorOfPublication.latestForDiscovery | b2bbd9ff-0bab-4ce6-bced-4dcb0669a170 |