Asymmetric effects of oil price fluctuations in international stock markets

Sofia Ramos and Helena Veiga

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: New evidence on the way oil price fluctuations affect international stock markets is provided in analysis of the exposure of 43 stock markets. Oil price spikes depress international stock markets, but oil price drops do not necessarily increase stock market returns. Moreover, the volatility of oil prices has a negative impact on international stock market returns. Both these effects apply only to stock markets of developed countries. Emerging market returns are not sensitive to oil price variations. In addition, the asymmetry of oil price changes impacts oil volatility; i.e., when oil prices soar, oil volatility also increases, while negative oil price changes dampen volatility. Finally, oil price fluctuations are a factor in creating downside risk for international country investment.

Keywords: Multifactor; asset; pricing; Models; Oil; prices; Panel; data; Quantile; regression; Volatility; Asymmetry (search for similar items in EconPapers)
Date: 2010-02
New Economics Papers: this item is included in nep-ene
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Citations: View citations in EconPapers (3)

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