Do higher oil prices push the stock market into bear territory?

Shiu-Sheng Chen

Energy Economics, 2010, vol. 32, issue 2, 490-495

Abstract: This paper investigates whether a higher oil price pushes the stock market into bear territory, by using time-varying transition-probability Markov-switching models. It examines different measures of oil price shocks. Empirical evidence from monthly returns on the Standard & Poor's S&P 500 price index suggests that an increase in oil prices leads to a higher probability of a bear market emerging.

Keywords: Oil; prices; Stock; returns (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (139)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:32:y:2010:i:2:p:490-495

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