“…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.…”