Does oil move equity prices? A global view

By M. Nandha, R. Faff. 2008

697 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/57c8bc974ee27bbc503129a24dddd8b411291ee1

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Citations in the corpus

Risk factors in oil and gas industry returns: International evidence (2011, background): “Finally, Oberndorfer (2009) finds that oil price hikes lead to an appreciation in gas stocks in European countries.”
Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “…Chatziantoniou, 2013; Ciner, 2013; Lee and Chiou, 2011; Laopodis, 2011; Filis, 2010; Chen, 2009; Miller and Ratti, 2009; Driesprong et al., 2008; Nandha and Faff, 2008; O'Neill et al., 2008; Park and Ratti, 2008; Bachmeier, 2008; Henriques and Sadorsky, 2008; Sadorsky, 2001; Papapetrou, 2001;…”
Oil prices and transport sector returns: an international analysis (2009, background): “Nandha and Faff (2008) analyse 35 global sector indices and find that oil price rises have a negative impact on equity returns for all sectors except mining, and oil and gas.”
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “For instance, Nandha and Faff (2008), who analyze 35 Datastream ® global industry indices, report that positive oil price changes have a positive effect on the Mining and Oil & Gas industries.”
The Role of Macroeconomic Variables on Stock Market Index in China and India (2011, background): “Another study by Nandha and Faff (2008) also indicated that increase in oil price has a negative effect on stock returns for most sectors except mining and some related industries such as oil and gas industries.”
On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2012, background): “Nandha and Faff (2008) question the short-run link between oil prices and thirty-five Datastream global industries and show that the rise in oil price has a negative impact for all industries except Oil & Gas.”
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2012, background): “…to oil price movements differs across different industries depending on the nature of the sector activity and the capacity of the industry to absorb and transmit the oil risk to its consumers and other economic sectors (Hammoudeh and Li, 2004; Boyer and Filion, 2007; Nandha and Faff, 2008).”
Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries (2017, neutral): “Indirect effects are also important as oil prices traditionally correlate negatively with real economic activity (Mork, 1994), while empirical evidence seems to support this claim (Nandha and Faff, 2008).”
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013, positive): “On the other hand, the time-varying correlation estimates are in line with the studies of Scholtens and Yurtsever (2012) and Nandha and Faff (2008) who report a positive relationship between oil price returns or oil price shocks and the Oil&Gas and Mining sectors returns.”
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011, background): “Other authors, such as Filis (2010), Chen (2009), Miller and Ratti (2009), Nandha and Faff (2008), O'Neill et al. (2008), Park and Ratti (2008), Driesprong et al. (2008), Ciner (2001) and Gjerde and Sættem (1999) have also provide evidence towards such a negative relationship.”