Oil and stock returns: Frequency domain evidence

Cetin Ciner

Journal of International Financial Markets, Institutions and Money, 2013, vol. 23, issue C, 1-11

Abstract: This paper examines the relation between oil price changes and stock returns. By using recently developed frequency domain methods, the study shows that there is significant time variation in the linkage between oil and equities. Oil price shocks with less than 12-month persistency have a negative impact on stock returns, while shocks with persistency between 12 and 36 months are associated with positive stock returns. Hence, the analysis supports the view that not all oil price movements are alike and, and joint rises in oil and stock market can in fact be observed. The implications of the findings for participants in financial markets and policy makers are discussed.

Keywords: Oil; Frequency domain tests; Stock returns (search for similar items in EconPapers)
JEL-codes: F4 G1 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (70)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1042443112000790
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:23:y:2013:i:c:p:1-11

DOI: 10.1016/j.intfin.2012.09.002

Access Statistics for this article

Journal of International Financial Markets, Institutions and Money is currently edited by I. Mathur and C. J. Neely

More articles in Journal of International Financial Markets, Institutions and Money from Elsevier
Bibliographic data for series maintained by Catherine Liu ().