OIL PRICE SHOCKS AND STOCK MARKET BOOMS IN AN OIL EXPORTING COUNTRY

This paper analyses the effects of oil price shocks on stock returns in Norway, an oil-exporting country, highlighting the transmission channels of oil prices for macroeconomic behaviour. To capture the interaction between the different variables, stock returns are incorporated into a structural VAR model. I find that following a 10% increase in oil prices, stock returns increase by 2.5%, after which the effect gradually dies out. The results are robust to different (linear and non-linear) transformations of oil prices. The effects on the other variables are more modest. However, all variables indicate that the Norwegian economy responds to higher oil prices by increasing aggregate wealth and demand. The results also emphasize the role of other shocks; monetary policy shocks in particular, as important driving forces behind stock price variability in the short term.     

Monetary policy and the transmission of oil shocks

This paper provides evidence on the role played by monetary policy in the transmission of oil shocks to the US economy. We show that for the period since 1986, oil shocks have had a negative effect on stock returns, regardless of whether the oil shock is defined as the percentage change in the price of oil or a nonlinear transformation of that series. We then demonstrate that there is no relationship between the reaction of individual stock prices to oil shocks and to monetary policy shocks. This implies that oil shocks do have effects on the economy beyond their effect on monetary policy. We conclude that systematic monetary policy is not as effective as suggested in some previous studies.     

Oil price shocks and stock market activities: Evidence from oil-importing and oil-exporting countries

While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this limitation using a structural VAR analysis. Our main findings can be summarized as follows: First, the magnitude, duration, and even direction of response by stock market in a country to oil price shocks highly depend on whether the country is a net importer or exporter in the world oil market, and whether changes in oil price are driven by supply or aggregate demand. Second, the relative contribution of each type of oil price shocks depends on the level of importance of oil to national economy, as well as the net position in oil market and the driving forces of oil price changes. Third, the effects of aggregate demand uncertainty on stock markets in oil-exporting countries are much stronger and more persistent than in oil-importing countries. Finally, positive aggregate and precautionary demand shocks are shown to result in a higher degree of co-movement among the stock markets in oil-exporting countries, but not among those in oil-importing countries.     

The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests

This article investigates the causal impact of oil prices on stock prices in each G7 market as well as in the world market. An asymmetric causality test developed by Hatemi-J is used for this purpose. Since the underlying data appears to be non-normal with time-varying volatility, we use bootstrap simulations with leverage adjustments in order to produce more reliable critical values than the asymptotic ones. Based on symmetric causality tests, we find no causal effect of oil prices on the stock prices of the world market or any of the G7 countries. However, when we apply an asymmetric causality test, we find that increasing oil prices cause stock prices to rise in the world, the U.S. and Japan while decreasing oil prices cause stock prices to fall in Germany. This may imply that the world, the U.S. and Japanese stock markets consider increases in oil prices as an indicator of good news as this may mean that there is an increase in oil demand due to an expected growth in the economy while the German stock market treats decreasing oil prices as a signal of an expected contraction in the economy.     

Oil price risk in the Spanish stock market: An industry perspective

This study examines the sensitivity of the Spanish stock market at the industry level to movements in oil prices over the period 1993–2010, paying special attention to the presence of endogenously determined structural changes in the relationship between oil price changes and industry equity returns. The empirical results show that the degree of oil price exposure of Spanish industries is rather limited, although significant differences are found across industries. The oil price sensitivity is very weak in the 1990s, a period of fairly stable and low oil prices. Instead, the link between crude oil and stock prices seems to have increased during the 2000s, becoming primarily positive. This evidence highlights the key role played by aggregate demand-side oil price shocks associated with the global real economic activity in the link between oil price fluctuations and the Spanish stock market.     

Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach

In this paper, we re-examine the relationship between oil price and stock prices in oil exporting and oil importing countries in the following distinct ways. First, we account for possible nonlinearities in the relationship in order to quantify the asymmetric response of stock prices of these two categories to positive and negative oil price changes. Secondly, in order to capture within group differences, we allow for heterogeneity effect in the cross-sections by formulating a nonlinear Panel ARDL model which is the panel data representation of the Shin et al. (2014) model and also analogous to the non-stationary heterogenous panel data model. Thirdly, we evaluate the relative predictability of the linear (symmetric) and nonlinear (asymmetric) Panel ARDL models using the Campbell and Thompson (2008) test. Our results depict that stock prices of both oil exporting and oil importing groups respond asymmetrically to changes in oil price although the response is stronger in the latter than the former. This finding is further corroborated by the out-of-sample forecast results suggesting that the inclusion of positive and negative oil price changes in the predictive model for stock prices will produce better forecast results only for the oil importing countries. Our results are robust to different oil price proxies, lag structure and in-sample periods. Overall, the dichotomy between oil exporting and oil importing countries has implications on oil price-stock nexus.     

A股市场上的“中石油魔咒”现象及其解释

文章针对A股市场上流传甚广的"中石油魔咒"现象,首次从基本面角度进行了解释,认为造成这一现象的根本原因是国际原油价格对我国股票市场存在显著的负向溢出效应,即当国际原油价格上涨时,对中石油个股产生利好,但对整体宏观经济却构成利空,因而中石油股票价格上涨,整个股票市场却会下跌。进一步研究还发现,这种负向溢出效应具有非线性特征,表现为国际原油价格上涨对股票市场的打压力度要大于其下跌对股票市场的提升力度。这提醒A股投资者相对于国际原油价格下跌,要更加关注国际原油价格上涨带来的投资风险。     

Impact of oil prices on firm stock return: industry-wise analysis

The study investigates the impact of oil prices on firm-level stock returns in case of Pakistan over the period 1998–2014, as this relationship is neglected by the previous literature. By using the panel data estimation, the results of full sample indicate significant positive effect of oil price changes on firm stock returns in the same period, whereas the lagged oil price changes have significant negative effect on firms’ stock return. Moreover, the industry-level analysis also confirms the similar findings; results indicate significant positive impact of oil price on firms’ stock return in full sample, textile, chemical and miscellaneous industry, while the lagged oil price changes negatively affect the stock returns of full sample and all the industries except tobacco, jute and vanaspati industries. The study confirms that rise in oil price transfers a positive signal in the stock market that boosts the firm-level stock returns in Pakistan. In contrast to the negative shocks, the stock returns are significantly affected by the positive oil price shocks.     

能源价格对宏观经济的影响——基于可计算一般均衡(CGE)的分析

石油与煤炭价格上涨将对中国经济造成什么样的影响,其影响度与中国现阶段的经济特点的相关性,以及如何应对能源价格上涨的影响,都是政府宏观决策需要研究的重大问题。本文运用CGE方法研究了这些问题,尤其是对石油与煤炭价格上涨影响程度的对比,填补了这一方面的研究空白。结果表明:能源价格上涨对中国经济具有紧缩作用,但对不同产业的紧缩程度不一致,能源价格除了影响经济增长,还将推动产业结构变化。对大多数产业而言,相同比例的价格上涨,煤炭的紧缩作用是石油紧缩作用的2至3倍;对于非能源密集型的服务业紧缩幅度也达3倍,石油和煤炭的经济紧缩作用程度不一致与目前中国能源消费结构基本吻合,2007年中国煤炭消费占一次能源的70%,而石油消费仅占20%。本文最后就如何应对能源价格上涨的影响提出建议。     

Oil prices and stock returns: nonlinear links across sectors

We present evidence of an asymmetric relationship between oil prices and stock returns. The two regime multivariate Markov switching vector autoregressive (MSVAR) model allow us to capture the state shifts in the relationship between regional stock markets and sectors. Results suggest that oil price risk is significantly priced in the sample used. The impact is asymmetric with respect to market phases, and regimes have been associated with world economic, social and political events. Our study also suggests asymmetric responses of sector stock returns to oil price changes and different transmission impacts depending on the sector analyzed. There is a high causality from oil to sectors like Industrials and Oil & Gas. Companies inside the Utilities sector were more able to hedge against oil price increases between 2007 and 2012. Historical crisis events between 1992–1998 and 2003–2007 do not seem to have affected the relationship between oil and sector stock returns, given the higher probability of remaining smoother. For all sectors there seems to be a turn back to stability from 2012 onwards. Finally, investors gain more through portfolio diversification benefits built across, rather than within sectors.     

Dynamic relationships between crude oil prices and socially responsible investing in Brazil: evidence for linear and non-linear causality

Recent years have witnessed an increasing interest in socially responsible investing (SRI), reflecting investors’ growing awareness of social, environmental, ethical and corporate governance issues. At the same time, the effect of oil price shocks on stock price returns has become a prominent issue due to surges in energy prices. Using the Brazilian corporate sustainability index (ISE) as a benchmark for socially responsible investments in the Brazilian stock market, the present study extends the understandings on the impact of oil prices on stock price behaviour, focusing on a new class of assets: those from socially responsible firms. To this end, apart from conventional linear causality approaches, we apply a nonparametric test by Diks and Panchenko (DP) on daily data spanning from January 2008 to December 2015 to test for non-linear causality, before and after controlling for conditional heteroscedasticity. Our findings show that, in spite of their efforts to become more socially responsible, firms that have adhered to the ISE in recent years are influenced by crude oil spot prices, especially the WTI crude. In line with previous studies, we also provide consistent evidence that the Brazilian stock market, as a whole, is associated with the international crude oil market.     

Does crude oil move stock markets in Europe? A sector investigation

The aim of this article is to investigate the responses of European sector stock markets to oil price changes. We use linear and asymmetric models and study the association of oil and stock prices. Our findings suggest that the strength of this association varies greatly across sectors. Moreover, for some sectors we find strong evidence of asymmetry in the reaction of stock returns to changes in the price of oil.     

Firm return volatility and economic gains: The role of oil prices

In this paper we investigate whether the oil price contributes to stock return volatility for 560 firms listed on the NYSE. Using daily data, we find that the oil price is a significant determinant and predictor of firm return variance. We devise trading strategies based on forecasts of firm return variance using the oil prices and historical averages. We find that investors can make substantial gains in returns by using the oil price in forecasting firm return variances.     

Exchange Rates and Stock Prices in the MENA Countries: What Role for Oil?

This paper considers the linkage between stock prices and exchange rates in four MENA (Middle East and North Africa) emerging markets. In contrast to the existing evidence that uses a global market index to uncover such a relationship it is found that for the sample countries oil prices emerge as the dominant factor in the above relationship. The paper considers the presence of regime shifts and evidence is found of cointegration only for the period following the 1999 oil price shock. Readjustment towards equilibrium in each stock market occurs via oil price changes. Finally, a number of robustness checks are performed and persistence profiles produced.     

Can oil prices help predict US stock market returns? Evidence using a dynamic model averaging (DMA) approach

Crude oil price behaviour has fluctuated wildly since 1973 which has a major impact on key macroeconomic variables. Although the relationship between stock market returns and oil price changes has been scrutinized excessively in the literature, the possibility of predicting future stock market returns using oil prices has attracted less attention. This paper investigates the ability of oil prices to predict S&P 500 price index returns with the use of other macroeconomic and financial variables. Including all the potential variables in a forecasting model may result in an over-fitted model. So instead, dynamic model averaging (DMA) and dynamic model selection (DMS) are applied to utilize their ability of allowing the best forecasting model to change over time while parameters are also allowed to change. The empirical evidence shows that applying the DMA/DMS approach leads to significant improvements in forecasting performance in comparison to other forecasting methodologies and the performance of these models are better when oil prices are included within predictors.     

Oil prices and UK industry-level stock returns

In this article, we study whether the behaviour of oil prices can be used as a reliable predictor for the disaggregated industry-level stock market indices. We find strong evidence for the relevance of changes in oil price as a predictor for the returns of UK industry portfolios, while this relevance is heterogeneous across industries. In an out-of-sample framework, we find that both the contemporaneous and lagged oil price changes do predict UK industry stock market returns. The predictive power is more transient for the latter case, and mostly appearing after allowing for time variation in the relative performance. In addition, we find some evidence of asymmetry in the oil–stock price relationships.     

Volatility transmission between oil prices and banks' stock prices as a new source of instability: Lessons from the United States experience

This paper examines whether American banks' exposure to the oil industry could lead to instability in both oil and financial markets. To address this issue, we investigate volatility spillovers between oil prices and the stock prices of the four major American banks involved in the oil industry by employing the vector autoregressive fractionally integrated moving average framework. We use high-frequency data from January 3, 2006, to June 30, 2016. Our results support the existence of such volatility spillovers, as evidenced by the significant volatility responses of oil price (banks' stock price) to a shock in banks' stock price (oil price). These responses, more pronounced following the banks' exposure to the shale industry, mainly reflect the financial fragility of shale companies and their high indebtedness levels. Thus, this paper emphasises how the shale oil industry could trigger turmoil in both oil and financial markets.     

股票价格、实体经济与货币政策研究——基于我国1997-2011年的经验证据

本文运用格兰杰因果关系检验和向量自回归方法分析了1997年1月至2011年6月我国股票价格、GDP、通货膨胀率和货币政策的关系,实证结果表明,在中国,股票价格对通货膨胀的效应为正向,即股市上涨能带动通货膨胀水平的上涨。股票市场对GDP的影响短期内主要表现为替代效应,长期来看,则是财富效应和投资效应占主导;同时,货币供应量和利率对股票价格均有影响,但影响均不显著。通过格兰杰因果关系检验发现,利率变动导致货币供应量和股票价格发生变化。而货币供应量的变化影响着通货膨胀,也一定程度影响利率和股票价格。通过广义脉冲响应发现,中国人民银行紧缩性的利率政策并不能抑制股票价格上涨。增加货币供给短期内能够推动股市上涨,但长期对股市仍没有效果。     

Impact of state-dependent oil price on US stock returns using local projections

In this paper, we investigate the impact of oil prices on both aggregate and industry US real stock returns over the period 1973–2017. The empirical analysis contributes to the related literature introducing a state-dependent oil price (high and low) and the local projections approach. Our main finding is that, depending on the nature of the shock and industry, the negative effects of oil price shocks become exacerbated -and the positive effects get moderated- if oil prices are already high.     

MEASURING THE EFFECTS OF OIL PRICES ON CHINA'S ECONOMY: A FACTOR-AUGMENTED VECTOR AUTOREGRESSIVE APPROACH

Abstract.  The aim of this paper is to investigate the impacts of oil prices on the Chinese economy. To this end, we rely on the factor-augmented vector autoregressive methodology, which allows us to evaluate the response of various macroeconomic variables to an oil price shock. Our results suggest that an oil price shock leads to: (i) a contemporaneous increase in consumer and producer price indexes, inducing a rise in interest rates; (ii) a delayed negative impact on GDP, investment and consumption; and (iii) a postponed increase in coal and power prices.