Eraslan, Sercan and Menla Ali, Faek (2018) Oil price shocks and stock return volatility: new evidence based on volatility impulse response analysis. Economics Letters, 172. pp. 59-62. ISSN 0165-1765

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Abstract

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.

Item Type:	Article
Schools and Departments:	University of Sussex Business School > Accounting and Finance
Research Centres and Groups:	Business and Finance Research Group
Depositing User:	Faek Menla Ali
Date Deposited:	23 Aug 2018 10:30
Last Modified:	21 Feb 2020 02:00
URI:	http://sro.sussex.ac.uk/id/eprint/78172

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