Oil price shocks and stock market anomalies

Zhaobo Zhu (), Licheng Sun, Jun Tu and Qiang Ji
Additional contact information
Zhaobo Zhu: Audencia Business School
Licheng Sun: ODU - Old Dominion University [Norfolk]
Jun Tu: SIS - Singapore Management University
Qiang Ji: UCAS - University of Chinese Academy of Sciences [Beijing] - CAS - Chinese Academy of Sciences [Beijing]

Post-Print from HAL

Abstract: This paper provides a novel perspective to the nexus of oil prices and stock markets by examining the impact of oil price shocks on stock market anomalies. After decomposing oil price shocks into three types (Kilian, 2009), we find that aggregate demand shocks have the strongest influence on stock market anomalies. In contrast, oil supply shocks and oil specific demand shocks have little impact. Similar results are also found in the industry analysis. Interestingly, the link between aggregate demand shocks and anomalies are the strongest among firms with either small size or high idiosyncratic risks. The documented effects are robust after controlling for investor sentiment as well as several well-known macroeconomic or market factors. Our findings are consistent with but also extend the results of Stambaugh, Yu, and Yuan (2012) in that we show that uncertainty also plays a role in explaining stock market anomalies.

Keywords: Stock market anomalies; Oil supply shocks; Aggregate demand shocks; Oil specific shocks; Investor Sentiment (search for similar items in EconPapers)
Date: 2022-06-09
New Economics Papers: this item is included in nep-ene and nep-sea
Note: View the original document on HAL open archive server: https://audencia.hal.science/hal-03712237v1
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Financial Management, inPress

Downloads: (external link)
https://audencia.hal.science/hal-03712237v1/document (application/pdf)

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:hal:journl:hal-03712237

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().