The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data

By Stavros Degiannakis *, George Filis, Renatas Kizys. 2014

178 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/d8a162decdb61c9fa44fe536d3f89aa044120789

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Citations in the corpus

The impact of oil-market shocks on stock returns in major oil-exporting countries (2018, background): “used by a number of authors to investigate the impact of oil-market shocks on financial markets (e.g., Zhu et al., 2017; Degiannakis et al., 2014; Abhyankar et al., 2013; Wang et al., 2013; Basher et al., 2012; Apergis and Miller, 2009; and Kilian and Park, 2009).”
The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship (2015, unknown): “The data in Degiannakis et al. (2014) are for Eurostoxx 50 index from January 1999-December 2010.”
Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “…the concept that supply-side oil price shocks do not exercise any effects anymore on either the economy or the financial markets (see, inter alia, Degiannakis et al., 2014; Abhyankar et al., 2013; Kang and Ratti, 2013; Baumeister and Peersman, 2012; Basher et al., 2012; Lippi and Nobili, 2012;…”
Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, background): “In addition, our findings offer support to Degiannakis et al. (2014) who report that aggregate demand shocks affect stock market volatility.”
Dynamic spillovers of oil price shocks and economic policy uncertainty (2014, background): “…authors have documented the significance of disentangling oil price shocks in order to assess their true impact on the economy (see, among others, Degiannakis et al., 2014; Baumeister and Peersman, 2013; Lippi and Nobili, 2012; Kilian and Lewis, 2011; Filis et al., 2011; Kilian and Park, 2009).”
Time-Varying Effect of Oil Market Shocks on the Stock Market (2015, unknown): “Degiannakis et al. (2014) show that a rise in price of oil associated with increased aggregate demand significantly raises stock market volatility in Europe.”
HOW DOES STOCK MARKET VOLATILITY REACT TO OIL PRICE SHOCKS? (2017, unknown): “1 Conversely, most academics would agree that the price of crude oil is endogenous [Kilian (2008b)] and that it is driven by the combination of demand and supply side innovations [Hamilton (2013)].2 However, the channels of transmission of energy price shocks and their impacts on macroeconomic and f”
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “…volatility (see, inter alia , Ready, 2017; Kang et al., 2017; Angelidis et al., 2015; Kang et al. 2015a; Fang and You, 2014; Gupta and Modise, 2013; Antonakakis et al., 2013; Abhyankar et al., 2013; Degiannakis et al., 2014; Kang and Ratti, 2013; Baumeister and Peersman, 2013; Basher et al., 2012).”
The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries (2016, methodology): “This assumption has been used by several authors (see e.g. Kilian (2008b), Kilian and Park (2009), Degiannakis et al. (2014) and Güntner (2014)) and is supported by empirical evidence in Kilian and Vega (2011).”