Oil shocks, stock market prices, and the U.S. dividend yield decomposition

Chortareas, Georgios; Noikokyris, Emmanouil

doi:10.1016/j.iref.2013.06.001

Cited by 23 publications

(12 citation statements)

References 37 publications

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“…Overall, the three impulse response functions are consistent with the view that the origin of the oil price shock matters for explaining the response macroeconomic and financial variables (Abhyankar et al 2013;Chortareas and Noikokyris, 2014;Degiannakis et al 2014;Güntner, 2013;Kilian, 2009;Kilian and Park, 2009;Kang and Ratti 2013a,b;Kang et al, 2014). In the case of volatility, this implies that, if investors know what has originated an increase in the price of oil, they can optimize their risk management and asset allocation strategies accordingly.…”

Section: [Figure 1 Here]supporting

confidence: 74%

“…Applications of the log-linearization to assess the impact of oil shocks on the stock market include Abhyankar et al (2013), Chortareas and Noikokyris (2014), and Kilian and Park (2009).…”

Section: Stock Market Volatility Oil Shocks and The Macroeconomymentioning

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%

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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 1 Here]supporting

confidence: 74%

“…Applications of the log-linearization to assess the impact of oil shocks on the stock market include Abhyankar et al (2013), Chortareas and Noikokyris (2014), and Kilian and Park (2009).…”

Section: Stock Market Volatility Oil Shocks and The Macroeconomymentioning

confidence: 99%

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How Does Stock Market Volatility React to Oil Shocks?

Bastianin

Manera

2015

SSRN Journal

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“…However, large firms with extensive market power may absorb such short‐term drifts in the market without passing the burden to final consumers so that they can sustain their business momentum. Indeed, this kind of development in the real sector of the economy will be reflected in the performance of the firm in the capital market via its market value (Ross, ; Basher and Sardosky, and Chortareas and Noikokyris, ).…”

Section: Theoretical Base Of the Studymentioning

confidence: 99%

“…Further, India's quest for becoming a manufacturing hub adds to the relevance of this study even at the global level. Further, Chortareas and Noikokyris () have reiterated the importance of this kind of study in the light of their findings about the nexus between energy prices and stock market in the US. Besides, this study draws significance because in the absence of specific evidence about the influence of the size of the firms in determining their response to the energy price changes in a country like India with heavy dependence on import of energy resources, policy makers will find it difficult to design appropriate policy decisions to salvage firms in general and small and medium firms in particular.…”

Section: Introductionmentioning

confidence: 99%

On the interaction between energy price and firm size in Indian economy

Acharya

Sadath

2016

OPEC Energy Review

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This paper examines the connection between oil price changes and size of firms listed in Indian stock market. A three-factor Fama-French model along with oil price variables is estimated using data from a panel of 1535 firms. Results show that there is a positive relationship between growth in oil price and stock return. Similarly, the size of the firm is also positively related to stock return. However, oil price uncertainty shows a negative relationship with stock return. Overall, these results imply that targeted measures should be put in place by the policy makers to safeguard the interests of the small and medium size firms in India.

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The role of intermediary capital risk in predicting oil volatility

Yin

2020

Int. J Fin Econ

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This paper aims to investigate the ability of market-based intermediary capital risk to predict the volatility of crude oil futures. Using shocks to the marketbased intermediary capital ratio (IC_RF) of primary dealers as a predictor, this paper shows that IC_RF exhibits statistically and economically significant predictive power for the volatilities of crude oil futures, from both in-sample and out-of-sample perspectives. The revealed predictability is also of economic significance, because it enables examining of the performance of portfolios that are constructed on IC_RF-based forecasts of oil volatility. Additionally, IC_RF contains robust predictive power beyond what is embedded in traditional fundamental variables. Further analysis provides solid evidence supporting the superiority of asymmetric and regime change models over linear specifications in forecasting oil realized volatility, and it only provides weak evidence for implied oil volatility.

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Oil shocks, stock market prices, and the U.S. dividend yield decomposition

Cited by 23 publications

References 37 publications

How Does Stock Market Volatility React to Oil Shocks?

How Does Stock Market Volatility React to Oil Shocks?

On the interaction between energy price and firm size in Indian economy

The role of intermediary capital risk in predicting oil volatility

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