Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://www.sciencedirect.com/science/article/pii/S0140988313000601 https://ciencia.iscte-iul.pt/public/pub/id/11552 http://hdl.handle.net/10071/7252 |
Resumo: | Although studies have found an asymmetric pattern in the response of aggregate output to oil price changes, parallel studies in stock markets have not been conclusive about their existence. This paper finds evidence that effects for oil-importing and oil-exporting countries run in opposite directions. Oil price hikes have a negative effect on the stock markets of oil-importing countries, while the impact is positive for the stock markets of oil-exporting countries. Statistical tests support the presence of asymmetric effects only in oil-importing countries. Oil price volatility has a negative impact in stock markets of oil-importing countries and positive in oil-exporting countries. Moreover, oil volatility seems to be affected asymmetrically by oil price changes. Oil price drops increase oil volatility more than oil price hikes do. Overall, the evidence seems to support that falls in oil prices do not impact stock markets because their positive effects are offset by negative effects of oil price volatility, canceling out effects for oil-importing countries. |
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Oil Price Asymmetric Effects: Answering the Puzzle in International Stock MarketsAsymmetric effectsInternational stock marketsOil pricesPanel dataOil price volatilityAlthough studies have found an asymmetric pattern in the response of aggregate output to oil price changes, parallel studies in stock markets have not been conclusive about their existence. This paper finds evidence that effects for oil-importing and oil-exporting countries run in opposite directions. Oil price hikes have a negative effect on the stock markets of oil-importing countries, while the impact is positive for the stock markets of oil-exporting countries. Statistical tests support the presence of asymmetric effects only in oil-importing countries. Oil price volatility has a negative impact in stock markets of oil-importing countries and positive in oil-exporting countries. Moreover, oil volatility seems to be affected asymmetrically by oil price changes. Oil price drops increase oil volatility more than oil price hikes do. Overall, the evidence seems to support that falls in oil prices do not impact stock markets because their positive effects are offset by negative effects of oil price volatility, canceling out effects for oil-importing countries.Elsevier2014-05-19T14:25:29Z2013-01-01T00:00:00Z20132014-05-19T14:23:50Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://www.sciencedirect.com/science/article/pii/S0140988313000601https://ciencia.iscte-iul.pt/public/pub/id/11552http://hdl.handle.net/10071/7252eng0140-9883Ramos, S. B.Veiga, H.info:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:59:50Zoai:repositorio.iscte-iul.pt:10071/7252Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:31:30.996881Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets |
title |
Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets |
spellingShingle |
Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets Ramos, S. B. Asymmetric effects International stock markets Oil prices Panel data Oil price volatility |
title_short |
Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets |
title_full |
Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets |
title_fullStr |
Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets |
title_full_unstemmed |
Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets |
title_sort |
Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets |
author |
Ramos, S. B. |
author_facet |
Ramos, S. B. Veiga, H. |
author_role |
author |
author2 |
Veiga, H. |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Ramos, S. B. Veiga, H. |
dc.subject.por.fl_str_mv |
Asymmetric effects International stock markets Oil prices Panel data Oil price volatility |
topic |
Asymmetric effects International stock markets Oil prices Panel data Oil price volatility |
description |
Although studies have found an asymmetric pattern in the response of aggregate output to oil price changes, parallel studies in stock markets have not been conclusive about their existence. This paper finds evidence that effects for oil-importing and oil-exporting countries run in opposite directions. Oil price hikes have a negative effect on the stock markets of oil-importing countries, while the impact is positive for the stock markets of oil-exporting countries. Statistical tests support the presence of asymmetric effects only in oil-importing countries. Oil price volatility has a negative impact in stock markets of oil-importing countries and positive in oil-exporting countries. Moreover, oil volatility seems to be affected asymmetrically by oil price changes. Oil price drops increase oil volatility more than oil price hikes do. Overall, the evidence seems to support that falls in oil prices do not impact stock markets because their positive effects are offset by negative effects of oil price volatility, canceling out effects for oil-importing countries. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-01-01T00:00:00Z 2013 2014-05-19T14:25:29Z 2014-05-19T14:23:50Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://www.sciencedirect.com/science/article/pii/S0140988313000601 https://ciencia.iscte-iul.pt/public/pub/id/11552 http://hdl.handle.net/10071/7252 |
url |
http://www.sciencedirect.com/science/article/pii/S0140988313000601 https://ciencia.iscte-iul.pt/public/pub/id/11552 http://hdl.handle.net/10071/7252 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
0140-9883 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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