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The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries

Andrea Bastianin (), Francesca Conti and Matteo Manera ()

Energy Policy, 2016, vol. 98, issue C, 160-169

Abstract: We study the effects of crude oil price shocks on the stock market volatility of the G7 countries. We identify the causes underlying oil price shocks and gauge the impacts that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks. On the contrary, demand shocks impact significantly on the volatility of the G7 stock markets. Our results suggest that economic policies and financial regulation activities designed to mitigate the adverse effects of unexpected oil price movements should be designed by looking at the source of the oil price shocks.

Keywords: Stock Price Volatility; Oil Price Shocks; G7 countries (search for similar items in EconPapers)
JEL-codes: C32 E44 Q41 (search for similar items in EconPapers)
Date: 2016
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Related works:
Working Paper: The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries (2016) Downloads
Working Paper: The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries (2015) Downloads
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