The impact of oil shocks on the stock market

This paper investigates the reaction of real stock returns and their volatility in the three main euro area economies (France, Germany and Italy), the U.K. and the U.S. to oil price changes caused by different shocks in the supply-side and demand-side of the global crude oil market, including the sh...

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Detalles Bibliográficos
Autores: Castro Rozo, César Augusto, Jiménez Rodríguez, Rebeca
Tipo de recurso: artículo
Estado:Versión publicada
Fecha de publicación:2024
País:España
Institución:Universidad Pública de Navarra
Repositorio:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
OAI Identifier:oai:academica-e.unavarra.es:2454/48315
Acceso en línea:https://hdl.handle.net/2454/48315
Access Level:acceso abierto
Palabra clave:Oil market
Stock returns
Volatility
Oil inventories
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spelling The impact of oil shocks on the stock marketCastro Rozo, César AugustoJiménez Rodríguez, RebecaOil marketStock returnsVolatilityOil inventoriesThis paper investigates the reaction of real stock returns and their volatility in the three main euro area economies (France, Germany and Italy), the U.K. and the U.S. to oil price changes caused by different shocks in the supply-side and demand-side of the global crude oil market, including the shock on the demand for oil inventories. Our findings suggest that the impact of oil supply and aggregate demand shocks on real stock returns and volatility are not altered when oil inventories are explicitly considered in the modeling of global crude oil market. However, the effects of oil-specific demand shocks on real stock returns are modified by the inclusion of oil inventories in the model, stressing the importance of the uncertainty channel in the link between the oil and stock markets. Finally, oil inventory shocks have a negative impact at medium time horizons on real stock returns, as the surge in the price of oil causes depletion of inventories.The authors acknowledge the financial support from Ministerio de Ciencia e Innovación through research projects PID2021-127119NB-I00 and PID2022-143170OB-I00 funded by MCIN/AEI/10.13039/ 501100011033/FEDER, UE.ElsevierEconomíaEkonomiaInstitute for Advanced Research in Business and Economics - INARBE2024info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://hdl.handle.net/2454/48315reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarrainstname:Universidad Pública de NavarraInglésinfo:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2021-127119NB-I00info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2022-143170OB-I00© 2024 The Authors. This is an open access article under the CC BY-NC-ND license.https://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessoai:academica-e.unavarra.es:2454/483152026-06-17T12:41:47Z
dc.title.none.fl_str_mv The impact of oil shocks on the stock market
title The impact of oil shocks on the stock market
spellingShingle The impact of oil shocks on the stock market
Castro Rozo, César Augusto
Oil market
Stock returns
Volatility
Oil inventories
title_short The impact of oil shocks on the stock market
title_full The impact of oil shocks on the stock market
title_fullStr The impact of oil shocks on the stock market
title_full_unstemmed The impact of oil shocks on the stock market
title_sort The impact of oil shocks on the stock market
dc.creator.none.fl_str_mv Castro Rozo, César Augusto
Jiménez Rodríguez, Rebeca
author Castro Rozo, César Augusto
author_facet Castro Rozo, César Augusto
Jiménez Rodríguez, Rebeca
author_role author
author2 Jiménez Rodríguez, Rebeca
author2_role author
dc.contributor.none.fl_str_mv Economía
Ekonomia
Institute for Advanced Research in Business and Economics - INARBE
dc.subject.none.fl_str_mv Oil market
Stock returns
Volatility
Oil inventories
topic Oil market
Stock returns
Volatility
Oil inventories
description This paper investigates the reaction of real stock returns and their volatility in the three main euro area economies (France, Germany and Italy), the U.K. and the U.S. to oil price changes caused by different shocks in the supply-side and demand-side of the global crude oil market, including the shock on the demand for oil inventories. Our findings suggest that the impact of oil supply and aggregate demand shocks on real stock returns and volatility are not altered when oil inventories are explicitly considered in the modeling of global crude oil market. However, the effects of oil-specific demand shocks on real stock returns are modified by the inclusion of oil inventories in the model, stressing the importance of the uncertainty channel in the link between the oil and stock markets. Finally, oil inventory shocks have a negative impact at medium time horizons on real stock returns, as the surge in the price of oil causes depletion of inventories.
publishDate 2024
dc.date.none.fl_str_mv 2024
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2454/48315
url https://hdl.handle.net/2454/48315
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2021-127119NB-I00
info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2021-2023/PID2022-143170OB-I00
dc.rights.none.fl_str_mv © 2024 The Authors. This is an open access article under the CC BY-NC-ND license.
https://creativecommons.org/licenses/by-nc-nd/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv © 2024 The Authors. This is an open access article under the CC BY-NC-ND license.
https://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Elsevier
publisher.none.fl_str_mv Elsevier
dc.source.none.fl_str_mv reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
instname:Universidad Pública de Navarra
instname_str Universidad Pública de Navarra
reponame_str Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
collection Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
repository.name.fl_str_mv
repository.mail.fl_str_mv
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