Oil price shocks and the stock market evidence from japan

Oil price shocks are bad news for the Japanese stock market only when high real oil prices arise from oil-market specific demand shocks related to shifts in the precautionary demand for crude oil in response to concerns about shortfalls in future production.

Abstract. While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. To examine this question Thorbecke (2018) regressed the monthly change in industry stock returns on the change in the log of the spot price for West Texas Intermediate crude oil, the CPI-deflated real effective exchange rate, the return on Japan's aggregate stock market, and the return on the U.S. stock market. Table 1 reports the coefficients Oil Price Shocks and Stock Market Returns: Evidence from Oil-Importing and Oil-Exporting Countries Article in Journal of Comparative Economics 41(4) · December 2012 with 165 Reads Downloadable (with restrictions)! This study examines the time-varying correlations between oil prices shocks of different types (supply-side, aggregate demand and oil-market specific demand as per Kilian (2009) who highlighted that “Not all oil shocks are alike”) and stock market returns, using a Scalar-BEKK model. For this study we consider the aggregate stock market indices from two Downloadable! The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks lead to a reduction in

the relationship between oil price shocks and financial markets. Two notable. Ž The results for Japan and the UK are, however, not as used daily data from 1979 to 1990 and found no evidence of a relationship between oil futures prices  

We study the effects of crude oil price shocks on the stock market volatility of the G7 countries. We identify the causes underlying oil price shocks and gauge the impacts that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks. Extant literature suggests that oil price shocks have a strong impact on the macroeconomy and the stock market. However, relatively less is known about the effect of country-level determinants, competition, and asymmetrical relationship in affecting the oil & gas stock return at the firm-level. Oil price shocks and stock market returns: New evidence from the United States and China A plausible explanation of this resistance of the Chinese stock market to oil price shocks during the period 1998–2007 can be attributed to the fact that the Chinese economy experienced persistent high growth during this period enabling China to be The 1973 oil crisis began in October 1973 when the members of the Organization of Arab Petroleum Exporting Countries proclaimed an oil embargo.The embargo was targeted at nations perceived as supporting Israel during the Yom Kippur War. The initial nations targeted were Canada, Japan, the Netherlands, the United Kingdom and the United States with the embargo also later extended to Portugal In this paper, the interaction between oil futures prices and economic activity was investigated further. Of particular interest was the impact that oil price shocks may have on stock market returns. Monthly data were used and the approach used to estimating oil price shocks was different from either Jones and Kaul (1996) or Huang et al. (1996). Abstract. While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. To examine this question Thorbecke (2018) regressed the monthly change in industry stock returns on the change in the log of the spot price for West Texas Intermediate crude oil, the CPI-deflated real effective exchange rate, the return on Japan's aggregate stock market, and the return on the U.S. stock market. Table 1 reports the coefficients

linearity between oil price volatility and equity market uncertainty is rejected for Canada, Japan, UK and US, and establish a link through changes in cash oil price shocks and aggregate stock returns for the US and Greece, respectively.

In this paper, we focus on the effects of oil price shocks on stock markets in both oil-importing and oil-exporting countries. Our main findings indicate that the response of stock market returns to oil price shocks in a country greatly depend on the country’s net position in crude oil market and on the driving forces of oil price shocks. We study the effects of crude oil price shocks on the stock market volatility of the G7 countries. We identify the causes underlying oil price shocks and gauge the impacts that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks. Extant literature suggests that oil price shocks have a strong impact on the macroeconomy and the stock market. However, relatively less is known about the effect of country-level determinants, competition, and asymmetrical relationship in affecting the oil & gas stock return at the firm-level. Oil price shocks and stock market returns: New evidence from the United States and China A plausible explanation of this resistance of the Chinese stock market to oil price shocks during the period 1998–2007 can be attributed to the fact that the Chinese economy experienced persistent high growth during this period enabling China to be The 1973 oil crisis began in October 1973 when the members of the Organization of Arab Petroleum Exporting Countries proclaimed an oil embargo.The embargo was targeted at nations perceived as supporting Israel during the Yom Kippur War. The initial nations targeted were Canada, Japan, the Netherlands, the United Kingdom and the United States with the embargo also later extended to Portugal

We study the effects of crude oil price shocks on the stock market volatility of the G7 countries. We identify the causes underlying oil price shocks and gauge the impacts that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks.

Abstract. While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. To examine this question Thorbecke (2018) regressed the monthly change in industry stock returns on the change in the log of the spot price for West Texas Intermediate crude oil, the CPI-deflated real effective exchange rate, the return on Japan's aggregate stock market, and the return on the U.S. stock market. Table 1 reports the coefficients Oil Price Shocks and Stock Market Returns: Evidence from Oil-Importing and Oil-Exporting Countries Article in Journal of Comparative Economics 41(4) · December 2012 with 165 Reads Downloadable (with restrictions)! This study examines the time-varying correlations between oil prices shocks of different types (supply-side, aggregate demand and oil-market specific demand as per Kilian (2009) who highlighted that “Not all oil shocks are alike”) and stock market returns, using a Scalar-BEKK model. For this study we consider the aggregate stock market indices from two Downloadable! The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect volatility, whereas, oil price changes due to aggregate demand shocks lead to a reduction in

The impact that oil shocks have on stock prices in oil exporting countries has some evidence that oil prices have asymmetric impacts on stock returns. markets of Australia, Canada, France, Germany, Italy, Japan, and the United States.

(2010) investigates the effect of oil price shocks on different stock market countries (UK, US, Australia, Canada, France, Germany, Italy and Japan) with VECM,. Evidence from the G7 Countries. Andrea Bastianin Abstract: We study the effects of crude oil price shocks on the stock market volatility of the. G7 economies. Japan were the first and third largest world net-importers of crude oil1. The U.K.  Keywords: oil price, Kuwait stock exchange, nonlinear ARDL, unit root effects between oil prices and some sectoral stock prices, and no evidence of asymmetry was Oil price shocks and stock markets in the U.S. and 13 European countries. namely the United States, Canada, Japan, and many European economies,  25 May 2011 Oil Price Shocks and Stock Market Returns: Evidence from 11 member headlines such as 'Stock Market Slumps As Oil Prices, Japan.

14 Sep 2014 PDF | We study, using a structural vector autoregressive (SVAR) model, the relationship between oil price shocks and the Japanese stock  expected returns. Keywords: Oil price shocks, Japan, Stock market, Japanese Crude Cocktail,. Structural VAR http  1 Apr 2013 Abhyankar, A., Xu, B., & Wang, J. (2013). Oil Price Shocks and the Stock Market: Evidence from Japan. Energy Journal, 34(2), 199-222.