RT Generic
T1 Asymmetric effects of oil price fluctuations in international stock markets
A1 Ramos, Sofía B.
A1 Veiga, Helena
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB New evidence on the way oil price fluctuations affect international stock markets isprovided in analysis of the exposure of 43 stock markets. Oil price spikes depressinternational stock markets, but oil price drops do not necessarily increase stock marketreturns. Moreover, the volatility of oil prices has a negative impact on internationalstock market returns. Both these effects apply only to stock markets of developedcountries. 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, oilvolatility also increases, while negative oil price changes dampen volatility. Finally, oilprice fluctuations are a factor in creating downside risk for international countryinvestment.
YR 2010
FD 2010-02
LK https://hdl.handle.net/10016/6918
UL https://hdl.handle.net/10016/6918
LA eng
DS e-Archivo
RD 3 jun. 2024