EconPapers    
Economics at your fingertips  
 

Oil prices, US stock return, and the dependence between their quantiles

Nicholas Sim and Hongtao Zhou

Journal of Banking & Finance, 2015, vol. 55, issue C, 1-8

Abstract: In this article, we examine the relationship between oil prices and US equities by proposing a novel quantile-on-quantile (QQ) approach to construct estimates of the effect that the quantiles of oil price shocks have on the quantiles of the US stock return. This approach captures the dependence between the distributions of oil price shocks and the US stock return and uncovers two nuance features in the oil–stock relationship. First, large, negative oil price shocks (i.e. low oil price shock quantiles) can affect US equities positively when the US market is performing well (i.e. at high US return quantiles). Second, while negative oil price shocks could affect the US stock market, the influence of positive oil price shocks is weak, which suggests that the relationship between oil prices on the US equities is asymmetric.

Keywords: Oil prices; Stock return; Local linear regression; Quantile regression (search for similar items in EconPapers)
JEL-codes: C01 C14 G10 G14 (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (377)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426615000217
Full text for ScienceDirect subscribers only

Related works:
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:eee:jbfina:v:55:y:2015:i:c:p:1-8

DOI: 10.1016/j.jbankfin.2015.01.013

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

 
Page updated 2024-12-28
Handle: RePEc:eee:jbfina:v:55:y:2015:i:c:p:1-8