Asymmetric effects of oil price fluctuations in international stock markets

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dc.contributor.author Ramos, Sofía B.
dc.contributor.author Veiga, Helena
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2010-02-18T11:12:31Z
dc.date.available 2010-02-18T11:12:31Z
dc.date.issued 2010-02
dc.identifier.uri http://hdl.handle.net/10016/6918
dc.description.abstract New 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.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 10-04
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Asymmetry
dc.subject.other Multifactor asset pricing Models
dc.subject.other Oil prices
dc.subject.other Panel data
dc.subject.other Quantile regression
dc.subject.other Volatility
dc.title Asymmetric effects of oil price fluctuations in international stock markets
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws100904
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