The impact of oil price volatility on stock markets: Evidences from oil-importing countries

Young C. Joo and Sung Y. Park

Energy Economics, 2021, vol. 101, issue C

Abstract: This study investigates the effects of oil price volatility on stock markets. We consider the stock returns of ten major oil-importing countries: China, France, Germany, India, Italy, Japan, Korea, the Netherlands, Spain, and the U.S. from May 2001 to December 2019. To obtain a complete picture of the relationship between oil price volatility and stock returns, we apply both quantile regression and quantile-on-quantile regression approaches. Our empirical results indicate that oil price uncertainty has asymmetrical effects on stock returns; moreover, these asymmetric behaviors vary depending on not only the level of stock returns but also oil market conditions. The results show that increasing oil price volatility has a negative effect on stock returns when both oil price volatility and stock returns are low. However, when stock returns are high and oil price volatility is low, rising oil price volatility causes an increase in stock returns.

Keywords: Oil volatility index; Oil-importing countries; Quantile regression; Quantile-on-quantile regression (search for similar items in EconPapers)
JEL-codes: G14 G15 Q41 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321003091

DOI: 10.1016/j.eneco.2021.105413

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