Skip to main content
Erschienen in:

17.08.2022

Stock and oil price returns in international markets: Identifying short and long-run effects

verfasst von: Theophilus Teye Osah, Andre Varella Mollick

Erschienen in: Journal of Economics and Finance | Ausgabe 1/2023

Einloggen, um Zugang zu erhalten

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

This paper examines how stock returns respond to oil prices with monthly data from 1990 to 2020 for 12 major economies: 6 oil-exporting countries and 6 oil-importing countries. Combining short and long-run empirical approaches in country-by-country analyses, we first document varying effects of oil price returns in the short-term, while increases in volatility (changes in VIX or geopolitical risk) have negative effects on stock markets. Dynamic OLS (DOLS) estimators show in the long-run positive oil price effects on stock markets for oil-exporters and relatively weaker negative evidence for oil-importers. Interest rate increases have strong negative effects in the long run. Panel analyses shed further light on these results along with structural breaks. Our findings suggest complementary insights from the DOLS long-run approach: oil prices and bond yields have expected signs and volatility has mixed effects on stock markets.

Sie möchten Zugang zu diesem Inhalt erhalten? Dann informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Anhänge
Nur mit Berechtigung zugänglich
Fußnoten
1
Brazil in the second half of the 2000s had several new oil field discoveries as discussed by Rodrigues and Sauer (2015) on the economic gains of pre-salt oil fields.
 
2
We use a maximum of 6 lags and check the statistical significance of the last lag at 5%. If the last lag is not statistically significant, we reduce it by one and reassess, until the specification finally reported in the table.
 
3
Since we use the transformed versions of these variables in Eq. (2), we also present the corresponding cointegration results in Internet Appendix Table A2 to show that the results are qualitatively similar. We also substitute VIX with GPR and obtain similar Johansen cointegration test results, which are available upon request.
 
4
Estimates based on fixed lag selection for all our regressions are available upon request.
 
5
We report estimations that use k = 3: 3 leads and 3 lags. We also try with various lead/lag length in implementing the DOLS regression in Eq. (2) and our main conclusions remain unchanged.
 
6
In the internet Appendix Table A5, when we include both country and year fixed effects, all our inferences for the long-run model remain unaffected with the exception that the coefficient of oil is still negative for oil-importers but becomes statistically insignificant (coefficient = -1.193; t-statistic = -0.84).
 
7
Pooled estimations in the supplemental appendix of Narayan (2019) in Table A6 with structural breaks show that the short-run response of the stock market appears mostly negative for oil-exporters (at longer lags) in the 2 subsamples, a counterintuitive result, and mostly negative (at various lags) for oil-importers in the 3 subsamples.
 
Literatur
Zurück zum Zitat Abel AB, Bernanke BS, Croushore D (2014) Macroeconomics, 9th edn. Pearson, New York, USA Abel AB, Bernanke BS, Croushore D (2014) Macroeconomics, 9th edn. Pearson, New York, USA
Zurück zum Zitat Alamgir F, Bin Amin S (2021) The nexus between oil price and stock market: Evidence from South Asia. Energy Rep 7:693–703CrossRef Alamgir F, Bin Amin S (2021) The nexus between oil price and stock market: Evidence from South Asia. Energy Rep 7:693–703CrossRef
Zurück zum Zitat Am MA, Shanmugasundaram G (2017) Nexus between crude oil price, exchange rate and stock market: Evidence from oil exporting and importing economies. Int J Humanit Manag Sci 5(1):41–43 Am MA, Shanmugasundaram G (2017) Nexus between crude oil price, exchange rate and stock market: Evidence from oil exporting and importing economies. Int J Humanit Manag Sci 5(1):41–43
Zurück zum Zitat Arampatzidis I, Dergiades T, Kaufmann RK, Panagiotidis T (2021) Oil and the U.S. stock market: Implications for low carbon policies. Energy Econ 103:105588CrossRef Arampatzidis I, Dergiades T, Kaufmann RK, Panagiotidis T (2021) Oil and the U.S. stock market: Implications for low carbon policies. Energy Econ 103:105588CrossRef
Zurück zum Zitat Arouri MEH, Nguyen DK (2010) Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy 38:4528–4539CrossRef Arouri MEH, Nguyen DK (2010) Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade. Energy Policy 38:4528–4539CrossRef
Zurück zum Zitat Arouri MEH, Rault C (2012) Oil prices and stock markets in GCC countries: empirical evidence from panel analysis. Int J Financ Econ 17(3):242–253CrossRef Arouri MEH, Rault C (2012) Oil prices and stock markets in GCC countries: empirical evidence from panel analysis. Int J Financ Econ 17(3):242–253CrossRef
Zurück zum Zitat Assefa TA, Esqueda O, Mollick AV (2017) Stock returns and interest rates around the world: A panel data Approach. J Econ Bus 89:20–35CrossRef Assefa TA, Esqueda O, Mollick AV (2017) Stock returns and interest rates around the world: A panel data Approach. J Econ Bus 89:20–35CrossRef
Zurück zum Zitat Aysana AF, Demir E, Gozgor G, Lau CKM (2019) Effects of the geopolitical risks on Bitcoin returns and volatility. Res Int Bus Financ 47:511–518CrossRef Aysana AF, Demir E, Gozgor G, Lau CKM (2019) Effects of the geopolitical risks on Bitcoin returns and volatility. Res Int Bus Financ 47:511–518CrossRef
Zurück zum Zitat Bai J, Perron P (2003) Computation and analysis of multiple structural change models. J Appl Economet 18(1):1–22CrossRef Bai J, Perron P (2003) Computation and analysis of multiple structural change models. J Appl Economet 18(1):1–22CrossRef
Zurück zum Zitat Bjornland CH (2009) Oil price shocks and stock market booms in an oil exporting country. Scottish J Polit Econ 2(5):232–254CrossRef Bjornland CH (2009) Oil price shocks and stock market booms in an oil exporting country. Scottish J Polit Econ 2(5):232–254CrossRef
Zurück zum Zitat Bouri E (2015) Oil volatility shocks and the stock markets of oil-importing MENA economies: a tale from the financial crisis. Energy Econ 51:590–598CrossRef Bouri E (2015) Oil volatility shocks and the stock markets of oil-importing MENA economies: a tale from the financial crisis. Energy Econ 51:590–598CrossRef
Zurück zum Zitat Brandt MW, Gao L (2019) Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil. J Empir Financ 51:64–94CrossRef Brandt MW, Gao L (2019) Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil. J Empir Financ 51:64–94CrossRef
Zurück zum Zitat Caldara D, Iacoviello M (2022) Measuring geopolitical risk. Am Econ Rev 112(4):1194–1225CrossRef Caldara D, Iacoviello M (2022) Measuring geopolitical risk. Am Econ Rev 112(4):1194–1225CrossRef
Zurück zum Zitat Campbell JY, Perron P (1991) Pitfalls and opportunities: what macroeconomists should know about unit roots. NBER Macroeconomics Annual. MIT Press, Cambridge Campbell JY, Perron P (1991) Pitfalls and opportunities: what macroeconomists should know about unit roots. NBER Macroeconomics Annual. MIT Press, Cambridge
Zurück zum Zitat Choi K, Hammoudeh S (2010) Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment. Energy Policy 38(8):4388–4399CrossRef Choi K, Hammoudeh S (2010) Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment. Energy Policy 38(8):4388–4399CrossRef
Zurück zum Zitat Cong RG, Wei YM, Jiao JL, Fan Y (2008) Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy 36:3544–3553CrossRef Cong RG, Wei YM, Jiao JL, Fan Y (2008) Relationships between oil price shocks and stock market: An empirical analysis from China. Energy Policy 36:3544–3553CrossRef
Zurück zum Zitat Cunado J, de Gracia FP (2014) Oil price shocks and stock market returns: Evidence for some European countries. Energy Econ 42:365–377CrossRef Cunado J, de Gracia FP (2014) Oil price shocks and stock market returns: Evidence for some European countries. Energy Econ 42:365–377CrossRef
Zurück zum Zitat Datta D, Johannsen BK, Kwon H, Vigfusson RJ (2021) Oil, equities, and the zero lower bound. Am Econ J Macroecon 13(2):214–253CrossRef Datta D, Johannsen BK, Kwon H, Vigfusson RJ (2021) Oil, equities, and the zero lower bound. Am Econ J Macroecon 13(2):214–253CrossRef
Zurück zum Zitat Filis G, Degiannakis S, Floros C (2011) Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. Int Rev Financ Anal 20(3):152–164CrossRef Filis G, Degiannakis S, Floros C (2011) Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. Int Rev Financ Anal 20(3):152–164CrossRef
Zurück zum Zitat Gkillas K, Gupta R, Pierdzioch C (2020) Forecasting realized gold volatility: Is there a role of geopolitical risks? Financ Res Lett 35:101280 Gkillas K, Gupta R, Pierdzioch C (2020) Forecasting realized gold volatility: Is there a role of geopolitical risks? Financ Res Lett 35:101280
Zurück zum Zitat Gupta K (2016) Oil price shocks, competition, and oil and gas stock returns-global evidence. Energy Econ 57:140–153CrossRef Gupta K (2016) Oil price shocks, competition, and oil and gas stock returns-global evidence. Energy Econ 57:140–153CrossRef
Zurück zum Zitat Kang W, Ratti RA (2013) Oil shocks, policy uncertainty and stock market return. J Int Finan Markets Inst Money 26:305–318CrossRef Kang W, Ratti RA (2013) Oil shocks, policy uncertainty and stock market return. J Int Finan Markets Inst Money 26:305–318CrossRef
Zurück zum Zitat Kilian L (2009) Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. Am Econ Rev 99(3):1053–1069CrossRef Kilian L (2009) Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. Am Econ Rev 99(3):1053–1069CrossRef
Zurück zum Zitat Kilian L, Park C (2009) The impact of oil price shocks on the U.S. stock market. Int Econ Rev 50(4):1267–1287CrossRef Kilian L, Park C (2009) The impact of oil price shocks on the U.S. stock market. Int Econ Rev 50(4):1267–1287CrossRef
Zurück zum Zitat Lee C, Zeng J (2011) The impact of oil price shocks on stock market activities: asymmetric effect with quantile regression. Math Comput Simul 81:1910–1920CrossRef Lee C, Zeng J (2011) The impact of oil price shocks on stock market activities: asymmetric effect with quantile regression. Math Comput Simul 81:1910–1920CrossRef
Zurück zum Zitat Lettau M, Ludvigson S (2001) Consumption, aggregate wealth, and expected stock returns. J Financ 56(3):815–849CrossRef Lettau M, Ludvigson S (2001) Consumption, aggregate wealth, and expected stock returns. J Financ 56(3):815–849CrossRef
Zurück zum Zitat Lothian JR (1990) A century plus of Japanese exchange rate behaviour. Jpn World Econ 2:47–70CrossRef Lothian JR (1990) A century plus of Japanese exchange rate behaviour. Jpn World Econ 2:47–70CrossRef
Zurück zum Zitat Mollick AV, Assefa T (2013) U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis. Energy Econ 36:1–18CrossRef Mollick AV, Assefa T (2013) U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis. Energy Econ 36:1–18CrossRef
Zurück zum Zitat Moya–Martínez P, Ferrer–Lapeña R, Escribano–Sotos F (2014) Oil price risk in the Spanish stock market: An industry perspective. Econ Model 37:280–290CrossRef Moya–Martínez P, Ferrer–Lapeña R, Escribano–Sotos F (2014) Oil price risk in the Spanish stock market: An industry perspective. Econ Model 37:280–290CrossRef
Zurück zum Zitat Narayan PK (2019) Can stale oil price news predict stock returns? Energy Econ 83:430–444CrossRef Narayan PK (2019) Can stale oil price news predict stock returns? Energy Econ 83:430–444CrossRef
Zurück zum Zitat Narayan PK, Gupta R (2015) Has oil price predicted stock returns for over a century? Energy Econ 48:18–23CrossRef Narayan PK, Gupta R (2015) Has oil price predicted stock returns for over a century? Energy Econ 48:18–23CrossRef
Zurück zum Zitat Narayan PK, Sharma S (2011) New evidence on oil price and firm returns. J Bank Finance 35:3253–3262CrossRef Narayan PK, Sharma S (2011) New evidence on oil price and firm returns. J Bank Finance 35:3253–3262CrossRef
Zurück zum Zitat Papapetrou E (2001) Oil price shocks, stock market, economic activity and employment in Greece. Energy Econ 23(5):511–532CrossRef Papapetrou E (2001) Oil price shocks, stock market, economic activity and employment in Greece. Energy Econ 23(5):511–532CrossRef
Zurück zum Zitat Park J, Ratti RA (2008) Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Econ 30(50):2587–2608CrossRef Park J, Ratti RA (2008) Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Econ 30(50):2587–2608CrossRef
Zurück zum Zitat Pesaran MH (2006) Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74:967–1012CrossRef Pesaran MH (2006) Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica 74:967–1012CrossRef
Zurück zum Zitat Prabheesh KP, Padhan R, Garg B (2020) COVID-19 and the Oil Price – Stock Market Nexus: Evidence from net oil-importing countries. Energy Res Lett 1(2):1–4CrossRef Prabheesh KP, Padhan R, Garg B (2020) COVID-19 and the Oil Price – Stock Market Nexus: Evidence from net oil-importing countries. Energy Res Lett 1(2):1–4CrossRef
Zurück zum Zitat Rodrigues LA, Sauer IL (2015) Exploratory assessment of economic gains of a pre-salt oil field in Brazil. Energy Policy 87:486–495CrossRef Rodrigues LA, Sauer IL (2015) Exploratory assessment of economic gains of a pre-salt oil field in Brazil. Energy Policy 87:486–495CrossRef
Zurück zum Zitat Sadorsky P (1999) Oil price shocks and stock market activity. Energy Econ 21:449–469CrossRef Sadorsky P (1999) Oil price shocks and stock market activity. Energy Econ 21:449–469CrossRef
Zurück zum Zitat Sadorsky P (2012) Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies. Energy Econ 34(1):248–255CrossRef Sadorsky P (2012) Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies. Energy Econ 34(1):248–255CrossRef
Zurück zum Zitat Sahu TN, Bandopadhyay K, Mondal D (2014) An empirical study on the dynamic relationship between oil prices and Indian stock market. Manag Financ 40(2):200–215 Sahu TN, Bandopadhyay K, Mondal D (2014) An empirical study on the dynamic relationship between oil prices and Indian stock market. Manag Financ 40(2):200–215
Zurück zum Zitat Sharma A, Giri S, Vardhan H, Surange S, Shetty R, Shetty V (2018) Relationship between crude oil prices and stock market: Evidence from India. Int J Energy Econ Policy 8(4):331–337 Sharma A, Giri S, Vardhan H, Surange S, Shetty R, Shetty V (2018) Relationship between crude oil prices and stock market: Evidence from India. Int J Energy Econ Policy 8(4):331–337
Zurück zum Zitat Stock JH (1987) Asymptotic properties of least squares estimators of cointegrating vectors. Econometrica 55:113–144CrossRef Stock JH (1987) Asymptotic properties of least squares estimators of cointegrating vectors. Econometrica 55:113–144CrossRef
Zurück zum Zitat Stock JH, Watson M (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61(4):783–820CrossRef Stock JH, Watson M (1993) A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica 61(4):783–820CrossRef
Zurück zum Zitat Wang KM (2012) Modelling the nonlinear relationship between CO2 emissions from oil and economic growth. Econ Model 29(5):1537–1547CrossRef Wang KM (2012) Modelling the nonlinear relationship between CO2 emissions from oil and economic growth. Econ Model 29(5):1537–1547CrossRef
Zurück zum Zitat Westerlund J, Sharma SS (2019) Panel evidence on the ability of oil returns in the G7 area. Energy Econ 77:3–12CrossRef Westerlund J, Sharma SS (2019) Panel evidence on the ability of oil returns in the G7 area. Energy Econ 77:3–12CrossRef
Metadaten
Titel
Stock and oil price returns in international markets: Identifying short and long-run effects
verfasst von
Theophilus Teye Osah
Andre Varella Mollick
Publikationsdatum
17.08.2022
Verlag
Springer US
Erschienen in
Journal of Economics and Finance / Ausgabe 1/2023
Print ISSN: 1055-0925
Elektronische ISSN: 1938-9744
DOI
https://doi.org/10.1007/s12197-022-09602-x

Weitere Artikel der Ausgabe 1/2023

Journal of Economics and Finance 1/2023 Zur Ausgabe

Premium Partner