US stocks in the presence of oil price risk: Large cap vs. Small cap

Afees Salisu, Raymond Swaray () and Tirimisiyu Oloko
Additional contact information
Raymond Swaray: Economics Subject Group, University of Hull Business, University of Hull, Cottingham Road, UK

No 37, Working Papers from Centre for Econometric and Allied Research, University of Ibadan

Abstract: This study queries the act of making generalization about the dynamics of returns and volatility spillovers between oil price and U.S. stocks by merely considering only large cap stocks. It argues that this kind of generalization may be misleading, as the reactions of large cap, mid cap and small cap stocks to change in oil prices are not expected to be uniform. Our findings show that it is correct to make generalization about oil-U.S. stock relationship with large cap stocks when analysing return spillovers, but the generalization is incorrect when considering return volatility spillovers, particularly under falling and relatively stable oil prices.

Keywords: Market capitalization; U.S. stocks; oil price dynamics (search for similar items in EconPapers)
JEL-codes: G11 Q43 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2017-09
New Economics Papers: this item is included in nep-ene and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://cear.org.ng/index.php?option=com_docman&tas ... oad&gid=76&Itemid=29 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 403 Forbidden (http://cear.org.ng/index.php?option=com_docman&task=doc_download&gid=76&Itemid=29 [301 Moved Permanently]--> https://cear.org.ng/index.php?option=com_docman&task=doc_download&gid=76&Itemid=29)

Related works:
Journal Article: US stocks in the presence of oil price risk: Large cap vs. Small cap (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cui:wpaper:0037

Access Statistics for this paper

More papers in Working Papers from Centre for Econometric and Allied Research, University of Ibadan Contact information at EDIRC.
Bibliographic data for series maintained by Adeoye Omosebi ( this e-mail address is bad, please contact ).