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Oil price shocks and stock return volatility: new evidence based on volatility impulse response analysis

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posted on 2023-06-09, 14:41 authored by Sercan Eraslan, Faek Menla AliFaek Menla Ali
We use volatility impulse response analysis to quantify the size and the persistence of different types of oil price shocks on oil and stock return volatility dynamics. Our results show that precautionary demand followed by aggregate demand-side shocks, compared to supply-side ones, have higher positive and persistent effects on stock return volatility whereas the correlations between the two variables are mostly affected by the former shocks.

History

Publication status

  • Published

File Version

  • Accepted version

Journal

Economics Letters

ISSN

0165-1765

Publisher

Elsevier

Volume

172

Page range

59-62

Department affiliated with

  • Accounting and Finance Publications

Research groups affiliated with

  • Business and Finance Research Group Publications

Full text available

  • Yes

Peer reviewed?

  • Yes

Legacy Posted Date

2018-08-23

First Open Access (FOA) Date

2020-02-21

First Compliant Deposit (FCD) Date

2018-08-23

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