 Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nationsSalem Adel Ziadat, David G. McMillan and Patrick Herbst Resources Policy, 2022, vol. 75, issue C Abstract: This paper examines the impact of oil price shocks on global equities. The focus is on the heterogeneity of responses to stocks depending on three characteristics: the type of the shock; whether the country is an oil importer/exporter; the bull/bear state of the stock market. We utilise the Kilian (2009) structural VAR to distil the oil price shocks and regress stock returns on these oil shocks using a quantile regression. In addition to oil price shocks, we consider the role of both economic policy uncertainty and stock market volatility. The results reveal that equity markets in oil-importing economies do not exhibit specific patterns in response to oil shocks, whereas those in oil-exporting economies are affected by precautionary oil demand shocks. Across these markets, precautionary demand shocks have a positive effect on stock markets, although for the GCC nations it predominantly impacts only during bear markets. Keywords: Stock returns; Oil shocks; Quantile regression; Oil-importers/exporters (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:75:y:2022:i:c:s0301420721004694 DOI: 10.1016/j.resourpol.2021.102461 Access Statistics for this article Resources Policy is currently edited by R. G. Eggert More articles in Resources Policy from Elsevier |
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