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http://hdl.handle.net/10071/7252
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Title: Oil Price Asymmetric Effects: Answering the Puzzle in International Stock Markets
Authors: Ramos, S. B.
Veiga, H.
Keywords: Asymmetric effects
International stock markets
Oil prices
Panel data
Oil price volatility
Issue Date: 2013
Publisher: Elsevier
Abstract: 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.
Description: WOS:000319636700015 (Nº de Acesso Web of Science)
URI: http://www.sciencedirect.com/science/article/pii/S0140988313000601
https://ciencia.iscte-iul.pt/public/pub/id/11552
http://hdl.handle.net/10071/7252
ISSN: 0140-9883
Publisher version: The definitive version is available at: http://dx.doi.org/10.1016/j.eneco.2013.03.011
Appears in Collections:BRU-RI - Artigo em revista científica internacional com arbitragem científica

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