Oil price risk in the Spanish stock market: An industry perspective

Pablo Moya-Martínez, Román Ferrer-Lapeña and Francisco Escribano-Sotos
Authors registered in the RePEc Author Service: Francisco Escribano Sotos ()

Economic Modelling, 2014, vol. 37, issue C, 280-290

Abstract: This study examines the sensitivity of the Spanish stock market at the industry level to movements in oil prices over the period 1993–2010, paying special attention to the presence of endogenously determined structural changes in the relationship between oil price changes and industry equity returns. The empirical results show that the degree of oil price exposure of Spanish industries is rather limited, although significant differences are found across industries. The oil price sensitivity is very weak in the 1990s, a period of fairly stable and low oil prices. Instead, the link between crude oil and stock prices seems to have increased during the 2000s, becoming primarily positive. This evidence highlights the key role played by aggregate demand-side oil price shocks associated with the global real economic activity in the link between oil price fluctuations and the Spanish stock market.

Keywords: Oil price; Stock market; Multiple structural breaks; Industry equity returns (search for similar items in EconPapers)
JEL-codes: C22 G12 Q43 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (66)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:37:y:2014:i:c:p:280-290

DOI: 10.1016/j.econmod.2013.11.014

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