Oil price risk in the Spanish stock market: An industry perspective |
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| Affiliation: | 1. Faculty of Social Science, Cuenca, University of Castilla-La Mancha, C/ Santa Teresa Jornet, s/n, 16071 Cuenca, Spain;2. Faculty of Economics, Valencia, University of Valencia, Av. Tarongers, s/n, 46022 Valencia, Spain;3. Faculty of Economic and Business Sciences, Albacete, University of Castilla-La Mancha, Plaza de la Universidad, 1, 02071 Albacete, Spain;1. School of Public Finance and Public Policy, Central University of Finance and Economics, Beijing, China;2. Center for Energy and Environmental Policy Research, Beijing Institute of Technology, Beijing 100081, China;3. School of Management and Economics, Beijing Institute of Technology, Beijing 100081, China;1. Centre of Commerce and Management, RMIT University (Vietnam Campus), 702 Nguyen Van Linh Blvd., District 7, HCMC, Vietnam;2. Division of Economics, Nanyang Technological University, 14 Nanyang Drive, Singapore 637332, Singapore |
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| Abstract: | 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. |
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