Wavelet Decomposition and Regime Shifts: Assessing the Effects of Crude Oil Shocks on Stock Market Returns

By Rania Jammazi, C. Aloui. 2010

178 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/f199c09226b01fcfb8b0c41dfc685cc2738aa657

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. George Filis
2. Stavros Degiannakis *
3. Ioannis Chatziantoniou
4. Vipin Arora
5. Rania Jammazi
6. Duc Khuong Nguyen
7. C. Aloui
8. Christos Floros

In Management Science and Operations Research

1. George Filis
2. Rania Jammazi
3. Stavros Degiannakis *
4. Ioannis Chatziantoniou
5. Christos Floros
6. Duc Khuong Nguyen

Citations in the corpus

• Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013, unknown): “There are authors, though, who voice the opinion that there is not any relationship between oil price shocks and stock market returns (Jammazi and Aloui, 2010; Cong et al., 2008; Huang et al., 1996).”
• Oil price risk in the Spanish stock market: An industry perspective (2014, background): “In addition, a number of recent studies have laid special emphasis on the changing nature of the relationship between oil and stock markets (Filis et al., 2011; Jammazi, 2012a; Jammazi and Aloui, 2010).”
• Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries (2014, result): “Contrary to the above, part of the literature finds that there is no relationship between oil price innovations and stock markets (see, inter alia, Jammazi and Aloui, 2010; Apergis and Miller, 2009; Cong, Wei, Jiao and Fan, 2008).”
• Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011, background): “Jammazi and Aloui (2010) and Apergis and Miller (2009) painted the same picture suggesting that oil prices do not affect stock market performance.”
• An improved wavelet–ARIMA approach for forecasting metal prices (2014, unknown): “…1998; Naccache, 2011), to examine co-movement between primary commodity prices (Conner and Rossiter, 2005; Tonn et al., 2010) and to analyse the relationship between crude oil prices and a range of macroeconomic variables (Aguiar-Conraria and Soares, 2011; Jammazi and Aloui, 2010; Naccache, 2011).”
• Assessing the impacts of oil price fluctuations on stock returns in emerging markets (2012, background): “Note that this contract is provided by 2 Examples include Ciner (2001) for the US stock markets, Papapetrou (2001) for the Greek stock market, and El-Sharif et al. (2005) for the UK evidence, Aloui and Jammazi (2009), and Jammazi and Aloui (2010) for G7 countries.”
• Oil shock transmission to stock market returns: Wavelet-multivariate Markov switching GARCH approach (2012, methodology): “The existing literature findings on this topic area can be categorized in four main strands2: The first includes papers that empirically support the existence of significant and negative relationship between oil and stock market returns (among some notorious studies, we cite for example Jones and Ka”
• Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “On the other hand, there are authors who maintain that oil price changes do not impact stock returns (see, inter alia , Al Janabi et al., 2010; Jammazi and Aloui, 2010; Apergis and Miller, 2009; Cong et al., 2008; Henriques and Sadorsky, 2008).”