New evidence on oil price and firm returns

By Paresh Kumar Narayan, S. Sharma. 2011

531 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/f437009632ac571daba3341b833099895e9a9ad5

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In Economics and Econometrics

Citations in the corpus

Time-Varying Effect of Oil Market Shocks on the Stock Market (2015, unknown): “This keeps the dimension of parameter space manageable and is consistent with much of the existing literature such as the choice of a lag length of 7 in Apergis and Miller (2009) and of 4 in Degiannakis et al. (2013).3 3 In their linear (time-invariant) VAR models, Apergis and Miller (2009) and Degi”
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013, unknown): “The Asian crisis caused a small positive increase in correlation levels, especially for the Financials, Oil&Gas, Consumer Goods, Health, Retail and Utilities sectors.”
Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “Some interesting studies include those by Degiannakis et al. (2013), Scholtens and Yurtsever (2012), Arouri (2012), Broadstock et al. (2012), Narayan and Sharma (2011), Arouri (2011), Elyasiani et al. (2011), Mohanty et al. 1 It is not immediately clear why this surge of study has been within the…”
Uncertainty and crude oil market volatility: new evidence (2020, background): “A large amount of literature reveals the driving forces of macroeconomic fundamentals and speculative factors on oil price volatility (see, e.g. Dees et al. 2007; Narayan and Narayan 2010; Mu and Ye 2011; Narayan and Sharma 2011; Kilian and Murphy 2014; Pan et al. 2017; Yi et al. 2018).”
Oil price and stock returns of consumers and producers of crude oil (2015, background): “…difficulty in assessing the impact of information on the value of stocks; and (b) when investors react to information at different points in time, which, as Narayan and Sharma (2011) argue, maybe a result of the fact that some investors are relatively more conservative to information than others.”
Crude oil prices and clean energy stock indices: Lagged and asymmetric effects with quantile regression (2021, result): “Motivated by this hypothesis, some studies document significant 88 lagged effects of energy prices on conventional stock markets [25-26].”
Oil shocks and stock markets: dynamic connectedness under the prism of recent geopolitical and economic unrest (2017, background): “…interest to understand the effects of oil prices on stock markets (some recent studies include those by Filis and Chatziantoniou, 2014; Asteriou and Bashmakova, 2013; Ciner, 2013; Lee and Chiou, 2011; Laopodis, 2011; Narayan and Sharma, 2011; Filis, 2010; Chen, 2010; Miller and Ratti, 2009).”
How COVID-19 drives connectedness among commodity and financial markets: Evidence from TVP-VAR and causality-in-quantiles techniques (2020, background): “They further suggest that information at the sectoral-level should not be neglected while analyzing the spillovers between these two markets (see also Ma et al., 2019; Broadstock and Filis, 2014; Zhang and Cao, 2013; Degiannakis et al., 2013; Narayan and Sharma, 2011).”