Oil shocks, policy uncertainty and stock returns in China

Kang, Wensheng; Ratti, Ronald A.

doi:10.1111/ecot.12062

Cited by 110 publications

(66 citation statements)

References 72 publications

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“…This finding is consistent with Kilian and Park (2009), as well as with Kang and Ratti (2013a), who have analyzed the response of cumulative returns on the same set of portfolios. Their results show that a given shock can have very different impacts on the value of stocks depending on the industry and on underlying causes of the oil price increase.…”

Section: [Figure 2]supporting

confidence: 87%

“…Moreover, these findings are not confined to the U.S., rather they hold also in international comparisons (see e.g. Abhyankar et al, 2013;Baumeister et al 2010, Degiannakis et al, 2014Güntner, 2013;Kang and Ratti, 2013a;). …”

Section: Introductionmentioning

confidence: 88%

“…As pointed out by Kang and Ratti (2013a), long lags are important in structural models of the global oil market to account for the low frequency co-movement between the real price of oil and global economic activity. Moreover, when working with monthly data, including less than 12 lags might be problematic if the series are characterized by seasonality (see Günter, 2013).…”

Section: [Figure 1 Here]mentioning

confidence: 99%

“…Since the literature has shown that economies with different characteristics will respond differently to oil shocks (Abhyankar et al, 2013;Baumeister et al 2010, Degiannakis et al, 2014Güntner, 2013;Kang and Ratti, 2013a;Schwert, 2011), this section is devoted to a small-scale international comparison which involves Japan, Norway and Canada. As of 2010, the U.S. and Japan were the first and third largest crude oil net-importers, while Norway and Canada were ranked ninth and eighteenth among net-exporters 8 .…”

Section: Does the Impact Of Oil Shocks Vary Across Countries?mentioning

confidence: 99%

“…In other words, the responses of stock prices (Abhyankar et al, 2013;Güntner, 2013;Kilian and Park, 2009;Kang and Ratti, 2013a), dividend yield components (Chortareas and Noikokyris, 2014), and volatility (Degiannakis et al, 2014) depend on the origin of the oil price shock. These results are not limited to the stock market.…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

How Does Stock Market Volatility React to Oil Shocks?

Bastianin

Manera

2015

SSRN Journal

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We study the impact of oil price shocks on U.S. stock market volatility. We derive three different structural oil shock variables (i.e. aggregate demand, oil-supply, and oil-demand shocks) and relate them to stock market volatility, using bivariate structural VAR models, one for each oil price shock. Identification is achieved by assuming that the price of crude oil reacts to stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous, but predetermined with respect to the stock market. We show that volatility responds significantly to oil price shocks caused by sudden changes in aggregate and oil-specific demand, while the impact of supply-side shocks is negligible.

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Section: [Figure 2]supporting

confidence: 87%

Section: Introductionmentioning

confidence: 88%

Section: [Figure 1 Here]mentioning

confidence: 99%

Section: Does the Impact Of Oil Shocks Vary Across Countries?mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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How Does Stock Market Volatility React to Oil Shocks?

Bastianin

Manera

2015

SSRN Journal

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The impacts of oil price shocks and United States economic uncertainty on global stock markets

Kwon

2020

Int. J Fin Econ

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This article examines interdependence between oil price shocks and UnitedStates economic uncertainty and their effects on global stock markets within a structural VAR model over the last 40 years. I find that aggregate demand shocks cause a transitory rise in global real stock returns, whereas precautionary oil demand and United States economic uncertainty shocks decline the returns. Especially, oil demand shocks significantly increase United States economic uncertainty, indicating that their direct impacts on global stock markets are amplified by its endogenous response. Variance decomposition analysis shows that oil price shocks and United States economic uncertainty explain 17% and 6% of long-run variations in global real stock returns, respectively. These figures have more than tripled when the model is estimated on post 2000 data, suggesting that oil market fundamentals and United States macro uncertainty are an important determinant of global stock market movements.

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Foreign direct investment and export performance using the hierarchical Bayesian vector autoregression framework

Dhannur

John²

2021

Manage Decis Econ

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The paper investigates the interrelationship between the exports (EXP) and foreign direct investment (FDI) inflows with reference to the Indian pharmaceutical industry.It employs the hierarchical Bayesian vector autoregression (BVAR) framework, which is known to generate accurate out-of-sample predictions by selecting appropriate amount of shrinkage and tighter priors. It also performs well in terms of accuracy of the impulse response functions in identified VARs. A unidirectional positive impact from FDI to EXP has been found from the impulse responses drawn from the BVAR model. This result is most likely because most of the Indian pharma multinational corporations (MNCs) infuse their foreign investments to boost EXP from India.

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Oil shocks, policy uncertainty and stock returns in China

Cited by 110 publications

References 72 publications

How Does Stock Market Volatility React to Oil Shocks?

How Does Stock Market Volatility React to Oil Shocks?

The impacts of oil price shocks and United States economic uncertainty on global stock markets

Foreign direct investment and export performance using the hierarchical Bayesian vector autoregression framework

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