New Insights into the US Stock Market Reactions to Energy Price Shocks
Anthony Miloudi () and
Muhammad Shahbaz ()
MPRA Paper from University Library of Munich, Germany
This paper investigates the relationship between S&P 500 prices, viewed as a US economic barometer, and a set of energy prices, including WTI, gasoline, heating, diesel and natural gas prices, using the Quantile Autoregressive Distributed Lags (QARDL) model recently developed by Cho et al. (2015). The empirical results show a negative long-and short-run relationship between WTI crude oil and Henry Hub natural gas prices on the one side and S&P 500 stock prices on the other side, only for medium and high quantiles. The findings of Wald tests indicate a nonlinear and asymmetric pass-through from energy price shocks to aggregate US stock market prices. These results show that crude oil and natural gas are key economic variables to explain short run and long run stock market dynamics. They provide further insights into how energy price shocks are transmitted to stock market prices.
Keywords: Energy Price Shocks; Stock Market Prices; Quantile ARDL; Cointegration (search for similar items in EconPapers)
JEL-codes: A10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ene, nep-mac and nep-reg
Date: 2018-02-05, Revised 2018-02-18
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Journal Article: New insights into the US stock market reactions to energy price shocks (2018)
Working Paper: New insights into the US stock market reactions to energy price shocks (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:84778
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