Impact of Oil Price on Australian Stock Market Returns

Hui Li and Raul Paraco ()
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Hui Li: La Trobe University, Australia

Review of Pacific Basin Financial Markets and Policies (RPBFMP), 2018, vol. 21, issue 03, 1-27

Abstract: We observe a positive correlation between an oil price factor and the All Ordinaries Index of the Australian stock market. Furthermore, an asymmetrical effect is observed when the sample is divided into sub-periods. A more pervasive stock market response is observed when the price of oil displays a positive trend. We also study the influence of oil shocks on the stock returns of specific Australian industries. As expected, the energy and material sectors exhibit a positive response to oil disturbances, whereas the financial and industrial sectors show a negative relation to oil shocks. The utility and consumer discretionary sectors exhibit a lower sensitivity to oil shocks.

Keywords: Oil price; stock market return; Australian stock market (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (6)

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DOI: 10.1142/S0219091518500182

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