Please use this identifier to cite or link to this item: http://hdl.handle.net/1893/33618
Appears in Collections:Accounting and Finance Journal Articles
Peer Review Status: Refereed
Title: Oil shocks and equity markets returns during bull and bear markets: the case of oil importing and exporting nations
Author(s): Ziadat, Salem Adel
McMillan, David
Herbst, Patrick
Contact Email: david.mcmillan@stir.ac.uk
Keywords: Stock Returns
Oil Shocks
Quantile Regression
Oil-Importers/Exporters JEL Codes: C22
G12
Date Deposited: 13-Nov-2021
Citation: Ziadat SA, McMillan D & Herbst P (2021) Oil shocks and equity markets returns during bull and bear markets: the case of oil importing and exporting nations. Resources Policy.
Abstract: This paper examines the impact of oil price shocks on global equities. The focus is on the heterogeneity of responses to stocks depending on three characteristics: the type of the shock; whether the country is an oil importer/exporter; the bull/bear state of the stock market. We utilise the Kilian (2009) structural VAR to distil the oil price shocks and regress stock returns on these oil shocks using a quantile regression. In addition to oil price shocks, we consider the role of both economic policy uncertainty and stock market volatility. The results reveal that equity markets in oil-importing economies do not exhibit specific patterns in response to oil shocks, whereas those in oil-exporting economies are affected by precautionary oil demand shocks. Across these markets, precautionary demand shocks have a positive effect on stock markets, although for the GCC nations it predominantly impacts only during bear markets.
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Notes: Output Status: Forthcoming

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