全球智库信息集成服务系统(G2TT): Global Oil Market and the U.S. Stock Returns

G2TT

来源类型	FEEM working papers "Note di lavoro" series
规范类型	论文
	Global Oil Market and the U.S. Stock Returns
	Maryam Ahmad; Matteo Manera; Mehdi Sadeghzadeh
发表日期	2015
出处	Energy: Resources and Markets
出版年	2015
语种	英语
摘要	This paper provides an analysis of the link between the oil market and the U.S. stock market returns at the aggregate as well as industry levels. We empirically model oil price changes as driven by speculative demand shocks along with consumption demand and supply shocks in the oil market. We also take into account in our model all the factors that affect stock market price movements over and above the oil market, in order to quantify the pure effect of oil price shocks on returns. The results show that stock returns respond to oil price shocks differently, depending on the causes behind the shocks. Impulse response analysis suggests that consumption demand shocks are the most relevant drivers of the stock market return, relative to other oil market driven shocks. Industry level analysis is performed to control for the heterogeneity of the responses of returns to oil price changes. The results show that both cost side and demand side effects of oil price shocks matter for the responses of industries to oil price shocks. However, the main driver of the variation in industries’ returns is the shock to aggregate stock market. *** Suggested citation: Maryam Ahmadi, Matteo Manera, Mehdi Sadeghzadeh, Global oil market and the U.S. stock returns, Energy, Volume 114, 1 November 2016, Pages 1277-1287, ISSN 0360-5442, http://dx.doi.org/10.1016/j.energy.2016.08.078
特色分类	G1;G12;Q41
关键词	Oil Market Oil Price Stock Market
URL	https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/global-oil-market-and-the-u-s-stock-returns/
来源智库	Fondazione Eni Enrico Mattei (Italy)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/118335
推荐引用方式 GB/T 7714	Maryam Ahmad,Matteo Manera,Mehdi Sadeghzadeh. Global Oil Market and the U.S. Stock Returns. 2015.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
20151119104141Nota_d（71KB）	智库出版物		限制开放	CC BY-NC-SA	浏览
201511191139454NDL20（1723KB）	智库出版物		限制开放	CC BY-NC-SA	浏览