Template-Type: ReDIF-Article 1.0
Author-Name:  Sajjadur Rahman and Apostolos Serletis
Title:  Oil Prices and the Stock Markets: Evidence from High Frequency Data
Classification-JEL: F0
Volume:  Volume 40
Issue:  Special Issue
Year:  2019
Abstract:  We use the highest frequency data that have ever been studied before to investigate the relationship between the price of oil and stock market returns. In the context of a bivariate (identified using heteroscedasticity in daily data) structural VAR in stock market returns and the change in the price of oil, we find evidence that positive oil price shocks have negative and statistically significant effects on stock market returns. Our results are robust to the use of different types of market returns, including aggregate and disaggregate U.S. market returns, aggregate and disaggregate U.S. excess returns, returns of the energy sector, returns of the major oil and gas companies, and global, eurozone, and some country specific stock market returns. They are also robust to the use of weekly data.
Handle: RePEc:aen:journl:ej40-si2-Serletis
File-URL: http://www.iaee.org/en/publications/ejarticle.aspx?id=3231
File-Format: text/html
File-Restriction: Access to full text is restricted to IAEE members and subscribers.