ASSESSING THE SPILLOVER OF SHOCKS FROM THE OIL MARKET TO THE STOCK MARKET OF DIFFERENT INDUSTRY SECTORS IN AMERICA- A QUANTILE REGRESSION APPROACH
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作者:
Bakic, Sanja
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Univ Novi Sad, Fac Econ Subotica, Segedinski Put 9-11, Subotica 24000, SerbiaUniv Novi Sad, Fac Econ Subotica, Segedinski Put 9-11, Subotica 24000, Serbia
Bakic, Sanja
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机构:
[1] Univ Novi Sad, Fac Econ Subotica, Segedinski Put 9-11, Subotica 24000, Serbia
The research problem of this paper examines the impact of Brent oil price shocks on stock returns of nine companies from the US market, operating in three different industrial sectors. The observation period covers 2015 to 2023. The research process involves determining the impact of shock transmission using a quantile regression approach. The results show that most of the evaluated quantile parameters are highly statistically significant, i.e. with more than 99% probability. The estimated quantile parameters have the property of being able to observe the spillover effects of shocks in different states of the economy, such as recession, normal state and expansion. The research results suggest that the spillover of shocks from the Brent oil market is most pronounced in the automotive industry sector, that is, in the companies that are most dependent on oil for energy. The significance of the research is reflected in the lack of existing research that deals with the impact of the most important commodity in the world on the prices of company shares with the application of this methodology, which is also a contribution to science. Finally, the results of this research are very relevant for making investment decisions for economic policy makers, investors and company management.
机构:
Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Chen, Lin
Wen, Fenghua
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Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Shanghai Lixin Univ Accounting & Finance, Sch Finance, Shanghai 201209, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Wen, Fenghua
Li, Wanyang
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机构:
Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Li, Wanyang
Yin, Hua
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Cent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
Yin, Hua
Zhao, Lili
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机构:
Hainan Univ, Sch Econ, Haikou 570228, Hainan, Peoples R ChinaCent South Univ, Sch Business, Changsha 410083, Hunan, Peoples R China
机构:
Majmaah Univ, Coll Business Adm, Dept Business Adm, Majmaah 11952, Saudi Arabia
Univ Tunis El Manar, Int Finance Grp Tunisia, Tunis, TunisiaMajmaah Univ, Coll Business Adm, Dept Business Adm, Majmaah 11952, Saudi Arabia