Assessing the spillover of shocks from the oil market to the stock market of different industry sectors in America: A quantile regression approach
Sanja Bakić
Abstract:The research problem of this paper examines the impact of Brent oil price shocks on stock returns of nine companies from the US market, operating in three different industrial sectors. The observation period covers 2015 to 2023. The research process involves determining the impact of shock transmission using a quantile regression approach. The results show that most of the evaluated quantile parameters are highly statistically significant, i.e. with more than 99% probability. The estimated quantile parameters … Show more
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