Do Structural Oil-Market Shocks Affect Stock Prices?

By N. Apergis, Stephen M. Miller. 2009

747 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/a4aec3bfa35d6f8932cfa8dd6e4a9b2a3278398d

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Citations in the corpus

Oil price volatility and stock returns in the G7 economies (2016, background): “Most of this research identifies supply shocks through world oil production, shocks to crude oil demand induced by higher economic activity (through aggregate demand shocks), and remaining oil demand shocks as idiosyncratic (Apergis and Miller, 2009; Kilian and Park, 2009; Güntner, 2014). Güntner (2”
Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries (2016, background): “This finding is in line with the studies by Hamilton (2009), Kilian and Park (2009), Apergis and Miller (2009), Baumeister and Peersman (2012), Wang et al. (2013) and Kang et al. (2015), among others, which suggest that different oil shocks trigger different responses from the stock markets.”
Forecasting oil and stock returns with a Qual VAR using over 150 years of data (2017, background): “At the same time, there also exists a large literature, as discussed in Kilian and Park (2009), Apergis and Miller (2009), and Balcilar, Gupta and Wohar (forthcoming), that relates (short and long-run) movements in oil and stock markets with economic activity through direct channels (cash-flow,…”
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013, neutral): “Other authors who have considered the origin of the oil price shocks in their studies include Kilian and Lewis (2011), Filis et al. (2011), Apergis and Miller (2009), Lescaroux and Mignon (2009), Kilian (2008a) and Barsky and Kilian (2004), among others.”
Oil Price Shocks and the Stock Market: Evidence from Japan (2013, methodology): “Apergis and Miller (2009) criticize the use of both stationary and non-stationary variables in the VAR estimation in Kilian (2009) and Kilian and Park (2009).”
The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, methodology): “…oil shocks using a wide range of different econometric techniques including vector autoregressive (VAR) models (Huang et al., 1996; Sadorsky, 1999; Apergis and Miller, 2009; Fayyad and Daly, 2011; Park and Ratti, 2008), cointegration (Sadorsky, 1999; Park and Ratti, 2008), and vector…”
Time-Varying Effect of Oil Market Shocks on the Stock Market (2015, positive): “These results are consistent with Apergis and Miller (2009) who investigate the co-integration relationship in the oil market for eight countries.”
Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, background): “Apergis and Miller (2009) also provide empirical evidence suggesting that oil–specific demand shocks mildly affect stock market returns in Canada without specifying though whether this influence relates to turbulent or tranquil periods.”
On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2012, background): “…rate reflect economic conditions (inflation, interest rates, production costs, income, economic growth, and market confidence, etc.) which can be influenced by oil shocks (Apergis and Miller, 2009; Park and Ratti, 2008), stock prices may react significantly to patterns in oil price changes.”