Oil Price Shocks and the Canadian Stock Market

Ruiqi Tan and Wei Dai ()
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Ruiqi Tan: Faculty of Economics, University of Cambridge, Cambridge CB3 9DD, UK
Wei Dai: Department of Economics, Philosophy and Political Science, University of British Columbia Okanagan, Kelowna, BC V1V 1V7, Canada

JRFM, 2024, vol. 17, issue 11, 1-14

Abstract: In this paper, we use monthly data from 1992 to 2022 and a structural VAR model to investigate the effects of oil supply shocks, aggregate demand shocks, and oil-specific demand shocks in the global crude oil market on the Canadian stock market. Our analysis reveals that these shocks affect the S&P/TSX Composite Index and various sector-specific indices in different ways. Specifically, the response of the Canadian market to oil-specific demand shocks diverges notably from the U.S. market, highlighting Canada’s unique position as an oil-exporting country. In the long run, oil price shocks account for over 10% of the variation in the composite index and as much as 35% in the Energy sector index.

Keywords: oil price shocks; Canada; stock market; structural VAR; sectorial indices (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2024
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