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Oil Price Shocks and Stock Market Returns: Evidence from 11 member countries of Organization of Economic Cooperation and Development (OECD)

Talukdar, Kamrul Huda and Sunyaeva, Anna (2011)
Department of Business Administration
Abstract
The primary purpose of this study is to evaluate the size of impact that oil price shocks have on the stock market returns. The secondary purpose is to investigate which factors have greater influence on stock market returns in recent conditions in comparison to oil price shocks and to explore systematic effect across several countries.The study is carried out by applying unrestricted Vector Autoregressive model with Block significance / Granger causality test, Impulse response and Variance decomposition to structure the results and facilitate interpretation. Oil price shocks have negative impacts on all the countries except for Norway (in the sample period 1986-2010 and 1986-2008) and Canada (1986-2010). For the sample period 1986-2010,... (More)
The primary purpose of this study is to evaluate the size of impact that oil price shocks have on the stock market returns. The secondary purpose is to investigate which factors have greater influence on stock market returns in recent conditions in comparison to oil price shocks and to explore systematic effect across several countries.The study is carried out by applying unrestricted Vector Autoregressive model with Block significance / Granger causality test, Impulse response and Variance decomposition to structure the results and facilitate interpretation. Oil price shocks have negative impacts on all the countries except for Norway (in the sample period 1986-2010 and 1986-2008) and Canada (1986-2010). For the sample period 1986-2010, interest rate shocks have more impact on the real stock returns of most of the countries. But for 1986-2008, oil prices have more significant impact on the real stock returns compared to the interest rate shocks for most of the countries.Oil price shocks have negative impacts on real stock market returns depending on whether the country is a net oil exporting or an importing one. When the economy is in a more stable condition, oil price shocks contribute towards greater variability in real stock returns compared to interest rate shocks. (Less)
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author
Talukdar, Kamrul Huda and Sunyaeva, Anna
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Oil Price Shock, Unit Root, Cointegration, Vector Autoregressive model, Granger Causality, Variance Decomposition, Impulse Response, Management of enterprises, Företagsledning, management
language
Swedish
id
1982605
date added to LUP
2011-06-03
date last changed
2012-04-02 18:52:45
@misc{1982605,
  abstract     = {The primary purpose of this study is to evaluate the size of impact that oil price shocks have on the stock market returns. The secondary purpose is to investigate which factors have greater influence on stock market returns in recent conditions in comparison to oil price shocks and to explore systematic effect across several countries.The study is carried out by applying unrestricted Vector Autoregressive model with Block significance / Granger causality test, Impulse response and Variance decomposition to structure the results and facilitate interpretation. Oil price shocks have negative impacts on all the countries except for Norway (in the sample period 1986-2010 and 1986-2008) and Canada (1986-2010). For the sample period 1986-2010, interest rate shocks have more impact on the real stock returns of most of the countries. But for 1986-2008, oil prices have more significant impact on the real stock returns compared to the interest rate shocks for most of the countries.Oil price shocks have negative impacts on real stock market returns depending on whether the country is a net oil exporting or an importing one. When the economy is in a more stable condition, oil price shocks contribute towards greater variability in real stock returns compared to interest rate shocks.},
  author       = {Talukdar, Kamrul Huda and Sunyaeva, Anna},
  keyword      = {Oil Price Shock,Unit Root,Cointegration,Vector Autoregressive model,Granger Causality,Variance Decomposition,Impulse Response,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Oil Price Shocks and Stock Market Returns: Evidence from 11 member countries of Organization of Economic Cooperation and Development (OECD)},
  year         = {2011},
}