 Interplay between oil prices, country risks, and stock returns in the context of global conflict: A PVAR approachQingyuan Dong, Qunyang Du and Anna Min Du Research in International Business and Finance, 2024, vol. 72, issue PB Abstract: Employing the panel vector autoregressive (PVAR) modeling, we analyze the interplay among oil prices, country risks, and stock returns across twenty-nine economies from February 2005 to August 2020. We find that, in the short run, rising oil prices temporarily boost stock prices by reducing country risk. However, over longer horizons, reductions in country risk are linked to lower stock returns. Moreover, in the interaction between stock and oil markets we identify the heterogeneity of three forms of country risk: economic, financial, and political, particularly when comparing developed and developing economies. Findings, offering new insights into the linkages between oil and stock markets, especially in the context of increased global conflict context, are of much value for investment strategies and policy formulations aimed at mitigating risk. Keywords: Oil prices; Country risks; Stock returns; Correlation; Panel vector autoregression model (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:72:y:2024:i:pb:s0275531924003386 DOI: 10.1016/j.ribaf.2024.102545 Access Statistics for this article Research in International Business and Finance is currently edited by T. Lagoarde Segot More articles in Research in International Business and Finance from Elsevier |
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