Macro economy, stock market and oil prices: do meaningful relationships exist among their cyclical fluctuations?

By George Filis. 2010

284 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ff0b6a5eb2a2ca895f33ebe55f3d2ea73f5459fa

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In Economics and Econometrics

Citations in the corpus

Measuring contagion between energy market and stock market during financial crisis: A copula approach (2012, background): “Many recent papers have documented small but significantly negative connections between crude oil and stock markets (Chiou and Lee, 2009; Filis, 2010; Miller and Ratti, 2009; Nandha and Faff, 2008; Oberndorfer, 2009; Park and Ratti, 2008).”
Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “The next step in our analysis is to examine the aforementioned correlations during some key important events that triggered certain oil price shocks, similarly to Filis et al. (2011). Adapted from Filis et al. (2011), Table 2 summarises the oil price shocks over time as these have been identified by”
Dynamic spillovers of oil price shocks and economic policy uncertainty (2014, background): “More specifically, past evidence suggest that there are significant effects of oil prices on industrial production and inflation (see, inter alia, Filis and Chatziantoniou, 2013; Balke et al., 2010; Tang et al., 2010; Du et al., 2010; Filis, 2010; Peter Ferderer, 1997).”
Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011, background): “Other authors, such as Filis (2010), Chen (2009), Miller and Ratti (2009), Nandha and Faff (2008), O'Neill et al. (2008), Park and Ratti (2008), Driesprong et al. (2008), Ciner (2001) and Gjerde and Sættem (1999) have also provide evidence towards such a negative relationship.”
Clean energy industries and rare earth materials: Economic and financial issues (2013, background): “…second, rising oil prices also impact the discount rate used in the equity pricing formula used to value stocks because rising oil prices are often indicative of inflationary pressures, which central banks control by raising interest rates (Aloui et al 2012, Ewing and Thompson 2007, Filis 2010).”
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).”
The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data (2014, background): “Filis (2010), Chen (2009), Miller and Ratti (2009), Park and Ratti (2008), Driesprong et al. (2008) and Gjerde and Sættem (1999) second these ﬁndings by Sadorsky (1999) and Jones and Kaul (1996).”
Oil price shocks and uncertainty: How stable is their relationship over time? (2018, background): “Such finding is also in line with Kilian (2009). More specifically, OPEC usually decides not to reduce production levels to maintain its market share, as competition from other sides intensifies with undeniable example the shale oil production from the United States. The aforementioned findings find”
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, methodology): “…instance, Ghosh and Kanjilal, 2016; Filis and Chatziantoniou, 2014; Asteriou and Bashmakova, 2013; Ciner, 2013; Lee and Chiou, 2011; Laopodis, 2011; Filis, 2010; Chen, 2010; Miller and Ratti, 2009; Driesprong et al., 2008; Nandha and Faff, 2008; Park and Ratti, 2008; Bachmeier, 2008; Basher and…”
Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries (2014, background): “This negative relationship between oil prices and stock returns has also been documented by Filis (2010), Chen (2009), Miller and Ratti (2009), Driesprong, Jacobsen and Maat (2008), Nandha and Faff (2008), O'Neill, Penm and Terrell (2008), Park and Ratti (2008), Bachmeier (2008), Ciner (2001) and…”
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013, unknown): “Following a similar approach with Filis et al. (2011) and using the oil price shocks to assess whether changes in the aforementioned time-varying correlation could be due to the different origins of the oil price shocks, the present study adds to the existing literature as it provides some new insig”
COVID-19 and the Oil Price – Stock Market Nexus: Evidence From Net Oil-Importing Countries (2020, background): “The effect of this is a rise in stock prices due to higher future earnings and dividends (Filis, 2010; Jones & Kaul, 1996; Sadorsky, 1999).”
Forecasting oil price realized volatility using information channels from other asset classes (2017, background): “…realized volatility, can produce more accurate forecasts (see, 1 See, for instance, Hamilton, 1983; Jones and Kaul (1996), Kilian and Park (2009), Filis (2010), Arouri et al. (2011), Filis et al. (2011), Degiannakis et al. (2013), Rahman and Serletis (2011), Baumeister and Peersman (2013), Filis…”