Oil price shocks, stock market, economic activity and employment in Greece

Papapetrou, Evangelia

doi:10.1016/s0140-9883(01)00078-0

Cited by 620 publications

(339 citation statements)

References 23 publications

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“…Our econometric model and explanations of our 4 The impact of oil price increases on stock market returns (and analysis of short-run effects) has been considered by Nandha and Faff (2008), O'Neil et al (2008), Park and Ratti (2008), Ciner (2001) and Sadorsky (1999), as noted earlier. In other work, for example, Sadorsky (2001) and Boyer and Filion (2007) find that positive oil price shocks significantly raise stocks returns for Canadian oil and gas companies, El-Sharif et al (2005) report a similar result for U.K. oil and gas companies, and Papapetrou (2001) reports that positive oil price shocks significantly reduce stock returns in Greece. 5 In fact, if we omit the break in either 1980 or 1988, we find statistically significant negative relationships from January 1971 until January 1988 or from June 1980 until September 1999, respectively.…”

Section: Introductionmentioning

confidence: 72%

Crude oil and stock markets: Stability, instability, and bubbles

2009

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Section: Introductionmentioning

confidence: 72%

Crude oil and stock markets: Stability, instability, and bubbles

2009

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“…Using regression analysis, Al-Mudhaf and Goodwin (1993) and Huang, Masulis, and Stoll (1996) find no relationship between oil prices and broad-based U.S. stock returns (as represented by the S&P 500) but provide some evidence that oil futures prices have a direct impact on oil sector stock prices. In contrast, Sadorsky (1999) and Papapetrou (2001) report significant relationships between oil prices and broad-based stock returns. More recently, Hammoudeh and Eleisa (2004) and Hammoudeh, Dibooglu, and Eleisa (2004) find no relationships between oil prices and S&P oil industry stock indices for developed stock markets using linear cointegration analysis but conclude that oil sector stock investments may be profitable in periods of high volatility in oil prices.…”

Section: Literature Reviewmentioning

confidence: 96%

The Dynamics of Oil and Stock Prices Comovements

Gilmore¹,

McManus²,

Sharma³

et al. 2015

International Journal of Financial Research

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The dynamic relationships between crude oil prices, oil sector stock price indices and stock market price indices is examined and evidence of cointegration between these variables is found. A vector error-correction (VEC) model reveals that the stock prices of companies in the integrated oil and gas sector have a long-run negative relationship with oil prices while those in the oil and gas exploration and production sector have a long-run positive relationship with oil prices. Both indices have a long-run relationship with mid-and small-capitalization stock prices. However, following shocks to oil sector indices, oil prices tends to restore the long-term equilibrium. These findings should be useful to investors in their attempts at appropriately structure their overall portfolios.

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“…This study found that variability in the crude oil price affects the stock index returns. Papapetrou [33] studied the relationship among oil price, real stock price, real economic activity, and interest rates in Greece, by applying a multivariate VAR model. The results show that changes in the crude oil price significantly explain changes in the stock returns.…”

Section: Review Of Related Empirical Literaturementioning

confidence: 99%

Effects of Crude Oil and Gold Prices on US Stock Market: Evidence for USA from ARDL Bounds Testing

Rahman

Mustafa

2018

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This paper explores the effects of changes in crude oil and gold prices on US Stock market movement. Daily data are used from the first business day of January, 1986 to December 30, 2016. Efficient unit root tests (DF-GLS and Ng-Perron) are applied to examine the time series property of the variables in terms of stationarity or non-stationarity. ARDL Bounds Testing is applied for co-integration. Both DF-GLS and Ng-Perron tests confirm non-stationarity of each variable and depict behavior of all the variables in log-levels, included in this study. The ARDL-Bounds testing confirms co-integration among the variables. There is evidence of long-run convergence among all these variables with very tepid adjustment towards the equilibrium. Short-run negative effects of changes in gold and crude oil prices on US stock market returns are observed. The effect is statistically significant from gold price changes, but insignificant from crude oil price changes.

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Oil price shocks, stock market, economic activity and employment in Greece

Cited by 620 publications

References 23 publications

Crude oil and stock markets: Stability, instability, and bubbles

Crude oil and stock markets: Stability, instability, and bubbles

The Dynamics of Oil and Stock Prices Comovements

Effects of Crude Oil and Gold Prices on US Stock Market: Evidence for USA from ARDL Bounds Testing

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