Publication:
Asymmetric effects of oil price fluctuations in international stock markets

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dc.affiliation.dptoUC3M. Departamento de EstadĂ­sticaes
dc.contributor.authorRamos, SofĂ­a B.
dc.contributor.authorVeiga, Helena
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de EstadĂ­sticaen
dc.date.accessioned2010-02-18T11:12:31Z
dc.date.available2010-02-18T11:12:31Z
dc.date.issued2010-02
dc.description.abstractNew evidence on the way oil price fluctuations affect international stock markets is provided in analysis of the exposure of 43 stock markets. Oil price spikes depress international stock markets, but oil price drops do not necessarily increase stock market returns. Moreover, the volatility of oil prices has a negative impact on international stock market returns. Both these effects apply only to stock markets of developed countries. Emerging market returns are not sensitive to oil price variations. In addition, the asymmetry of oil price changes impacts oil volatility; i.e., when oil prices soar, oil volatility also increases, while negative oil price changes dampen volatility. Finally, oil price fluctuations are a factor in creating downside risk for international country investment.en
dc.format.mimetypeapplication/pdf
dc.identifier.repecws100904
dc.identifier.urihttps://hdl.handle.net/10016/6918
dc.language.isoengen
dc.relation.ispartofseriesUC3M Working papers. Statistics and Econometricsen
dc.relation.ispartofseries10-04en
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadĂ­sticaes
dc.subject.otherAsymmetryen
dc.subject.otherMultifactor asset pricing Modelsen
dc.subject.otherOil pricesen
dc.subject.otherPanel dataen
dc.subject.otherQuantile regressionen
dc.subject.otherVolatilityen
dc.titleAsymmetric effects of oil price fluctuations in international stock marketsen
dc.typeworking paper*
dspace.entity.typePublication
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