Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach

By Aktham Issa Maghyereh. 2006

244 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/b387865578d2c9387f3783be0e90d33c201b886c

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Citations in the corpus

Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries (2014, background): “Brent crude oil was chosen, as a proxy of world oil price, due to the fact that this type of oil represents the 60% of the world oil daily consumption (Maghyereh, 2004).”
The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes (2016, background): “42 For instance, seeMollick andAssefa (2013), Awartani andMaghyereh (2013), and Tsai”
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013, unknown): “This type of oil is chosen, as a proxy of world oil price, due to the fact that it represents the 60% of the world oil daily consumption (Maghyereh, 2004).”
Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “World oil prices are approximated by Brent crude oil, considering that this type of oil represents 60% of the world oil daily consumption (Maghyereh, 2004).”
Does the source of oil price shocks matter for South African stock returns? A structural VAR approach (2013, background): “The existing literature has so far mainly concentrated on assessing the impact of global oil market shocks on the stock returns of developed economies (see Aktham, 2004; Ono, 2011; Kilian and Park, 2009; Park and Ratti, 2007; Guntner, 2011; Apergis and Miller, 2008; Al-Fayoumi, 2009). In general, th”
The relationship between energy and equity markets: evidence from volatility impulse response functions (2014, background): “Maghyereh (2004) finds that oil shocks have no significant impact on stock index returns in 22 emerging economies;”
Oil shocks and their impact on energy related stocks in China (2012, methodology): “Maghyereh (2004) uses a VAR model to study the relationship in 22 emerging economies.”
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (2014, background): “Brent crude oil is chosen, as a proxy of world oil price, due to the fact that this type of oil represents the 60% of the world oil daily consumption (Maghyereh, 2004).”