Oil Prices and the Stock Markets: Evidence from High Frequency Data

Sajjadur Rahmana and Apostolos Serletis

The Energy Journal, 2019, vol. 40, issue 2_suppl, 101-130

Abstract: We use the highest frequency data that have ever been studied before to investigate the relationship between the price of oil and stock market returns. In the context of a bivariate (identified using heteroscedasticity in daily data) structural VAR in stock market returns and the change in the price of oil, we find evidence that positive oil price shocks have negative and statistically significant effects on stock market returns. Our results are robust to the use of different types of market returns, including aggregate and disaggregate U.S. market returns, aggregate and disaggregate U.S. excess returns, returns of the energy sector, returns of the major oil and gas companies, and global, eurozone, and some country specific stock market returns. They are also robust to the use of weekly data.

Keywords: Oil price shocks; Heteroscedasticity; VAR model (search for similar items in EconPapers)
Date: 2019
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Journal Article: Oil Prices and the Stock Markets: Evidence from High Frequency Data (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:sae:enejou:v:40:y:2019:i:2_suppl:p:101-130

DOI: 10.5547/01956574.40.SI2.srah

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