ASSESSING THE SPILLOVER OF SHOCKS FROM THE OIL MARKET TO THE STOCK MARKET OF DIFFERENT INDUSTRY SECTORS IN AMERICA- A QUANTILE REGRESSION APPROACH

被引:0
|
作者
Bakic, Sanja [1 ]
机构
[1] Univ Novi Sad, Fac Econ Subotica, Segedinski Put 9-11, Subotica 24000, Serbia
关键词
oil; shocks; returns; stocks; quantiles; PRICE SHOCKS; CRUDE-OIL; DYNAMICS; IMPACT;
D O I
10.5937/sjm19-46308
中图分类号
C93 [管理学];
学科分类号
12 ; 1201 ; 1202 ; 120202 ;
摘要
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.
引用
收藏
页码:33 / 49
页数:17
相关论文
共 50 条
  • [31] Extreme risk spillover of the oil, exchange rate to Chinese stock market: Evidence from implied volatility indexes
    Chen, Lin
    Wen, Fenghua
    Li, Wanyang
    Yin, Hua
    Zhao, Lili
    ENERGY ECONOMICS, 2022, 107
  • [32] The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach
    Das, Debojyoti
    Kannadhasan, M.
    INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2020, 69 : 563 - 581
  • [33] Impacts of oil implied volatility shocks on stock implied volatility in China: Empirical evidence from a quantile regression approach
    Xiao, Jihong
    Hu, Chunyan
    Ouyang, Guangda
    Wen, Fenghua
    ENERGY ECONOMICS, 2019, 80 : 297 - 309
  • [34] Role of oil shocks in US stock market volatility: A new insight from GARCH-MIDAS perspective
    Ghani, Usman
    Zhu, Bo
    Ghani, Maria
    Khan, Nasir
    Khan, Raja Danish Akbar
    RESOURCES POLICY, 2023, 85
  • [35] Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns
    Jammazi, Rania
    Aloui, Chaker
    ENERGY POLICY, 2010, 38 (03) : 1415 - 1435
  • [36] Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS
    Ji, Qiang
    Liu, Bing-Yue
    Zhao, Wan-Li
    Fan, Ying
    INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2020, 68
  • [37] Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression
    You, Wanhai
    Guo, Yawei
    Zhu, Huiming
    Tang, Yong
    ENERGY ECONOMICS, 2017, 68 : 1 - 18
  • [38] OIL PRICE SHOCKS, STOCK MARKET BEHAVIOR, AND PORTFOLIO RISK MANAGEMENT: EVIDENCE FROM MAJOR OIL IMPORTING - EXPORTING MARKETS
    Jaghoubi, Salma
    JOURNAL OF ORGANIZATIONAL BEHAVIOR RESEARCH, 2019, 4 (02): : 219 - 234
  • [39] Stock market dependence in crisis periods: Evidence from oil price shocks and the Qatar blockade
    Benlagha, Noureddine
    RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2020, 54
  • [40] Crude oil market autocorrelation: Evidence from multiscale quantile regression analysis
    Sun, Jie
    Zhao, Xiaojun
    Xu, Chao
    ENERGY ECONOMICS, 2021, 98