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Oil price shocks and American depositary receipt stock returns |
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| Institution: | 1. University of Sousse, Sousse 4054, Tunisia;2. IPAG Business School, Paris 75006, France;3. University of Manouba, Manouba 2010, Tunisia;1. Department of Economic and Regional Development, Panteion University, 136 Syngrou Av., Athens, 176 71, Greece;2. Postgraduate Department of Business Administration, Hellenic Open University, Aristotelous 18, 26 335, Greece;1. University of Ghana Business School, Ghana;2. Bank of Ghana, Ghana;1. Department of Finance and Investment, college of Economics and Administrative Sciences, Al Imam Mohammad Ibn Saud Islamic University (IMSIU), PO Box 5701, Riyadh, Saudi Arabia;2. Faculty of Economics and Management (FSEG) of Sfax, University of SFAX, B.P. 3018 Sfax, Tunisia |
| Abstract: | In this paper we examine the impact of oil price shocks on twelve countries American Depositary Receipt (ADR) returns using monthly data from 1999.01 to 2014.12. The results show that oil price shocks have a positive and statistically significant impact on ADR return in all twelve countries. These results are robust to the inclusion of other explanatory variables such as oil price volatility and the spillover of the United States stock market. Further analysis shows that this effect is stronger in the post financial crisis time period compared to the pre-financial crisis time period. |
| Keywords: | Oil price shocks ADR returns Financial crisis Oil price volatility |
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