Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment

By Stavros Degiannakis *, George Filis, Christos Floros. 2013

169 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/08323c12bca8432a95216187b96d81c7015de14f

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In Economics and Econometrics

Citations in the corpus

Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “A similar study is conducted by Degiannakis et al. (2013), who investigate ten European industrial sectors.”
Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “Some interesting studies include those by Degiannakis et al. (2013), Scholtens and Yurtsever (2012), Arouri (2012), Broadstock et al. (2012), Narayan and Sharma (2011), Arouri (2011), Elyasiani et al. (2011), Mohanty et al. 1 It is not immediately clear why this surge of study has been within the…”
Forecasting oil price realized volatility using information channels from other asset classes (2017, background): “1 See, for instance, Hamilton, 1983; Jones and Kaul (1996), Kilian and Park (2009), Filis (2010), Arouri et al.”
Oil price shocks and uncertainty: How stable is their relationship over time? (2018, methodology): “In addition, El Anshasy and Bradley (2012) claim that higher oil prices lead to greater government size for the oil-exporting countries.”
Oil volatility, oil and gas firms and portfolio diversification (2018, background): “Nevertheless, the focus is either on aggregate stock market data or industrial sectors (see, among others, Choi and Hammoudeh, 2010; Filis et al., 2011; Broadstock et al., 2012; Chang et al., 2013; Degiannakis et al., 2013; Antonakakis and Filis, 2013; Broadstock and Filis, 2014; Filis, 2014).”
Time-Varying Effect of Oil Market Shocks on the Stock Market (2015, unknown): “…manageable and is consistent with much of the existing literature such as the choice of a lag length of 7 in Apergis and Miller (2009) and of 4 in Degiannakis et al. (2013).3 3 In their linear (time-invariant) VAR models, Apergis and Miller (2009) and Degiannakis et al. (2013) make the selection…”
The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship (2015, unknown): “13 The time-varying relationship between the covariance of stock return and volatility and oil pricemovement could also be examined in terms of changes in the correlations between these variables along the lines of the time-varying multivariate heteroskedastic framework in Degiannakis et al. (2013).”
How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020, background): “They further suggest that information at the sectoral-level should not be neglected while analyzing the spillovers between these two markets (see also Ma et al., 2019; Broadstock and Filis, 2014; Zhang and Cao, 2013; Degiannakis et al., 2013; Narayan and Sharma, 2011).”
Oil Price Uncertainty and Sectoral Stock Returns in China: A Time-Varying Approach (2015, background): “(2011) and Degiannakis et al. (2013), who analysed respectively six net oil-importing and oil-exporting countries, and European industrial sector indices in a time-varying framework.”
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (2016, methodology): “For additional justification of using this mean equation, please see Degiannakis et al. (2013).”