Oil price and automobile stock return co-movement: A wavelet coherence analysis
Debdatta Pal and
Subrata K. Mitra
Economic Modelling, 2019, vol. 76, issue C, 172-181
This paper explores possible co-movement between oil price and automobile stock return in a joint time-frequency domain. Daily price series from August 01, 1996 to June 20, 2017 is used in this analysis. The results indicate that the co-movement between oil price and automobile stock return is strong during November, 2000–December, 2002 and March, 2006–December, 2009. The co-movement is found to be more pronounced in the long-term and stock return is sensitive to the higher oil price emanating from the demand shock. This contravenes the conventional wisdom that crude oil is always counter-cyclical to the automobile stocks. For investor, this weakens the probable gain from including oil asset in a portfolio of automobile stocks as crude oil does not offer cushion against bearish automobile stock markets during the crisis period.
Keywords: Co-movement; Crude oil; Automobile stock; Wavelet analysis (search for similar items in EconPapers)
JEL-codes: C32 C63 Q41 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:76:y:2019:i:c:p:172-181
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