The Impact of Oil Price Shocks on Stock Markets

DOI

10.2991/jahp-19.2019.58How to use a DOI?

Keywords

oil prices; stock markets; SVAR

Abstract

This paper investigates the impact of oil price shocks on stock returns in China and the U.S. Oil price shock is decomposed into three different structural shocks using SVAR model. The effects of oil price shock on stock returns are analyzed employing impulse response function and variance decomposition. The results show that the direction, magnitude and duration of the impact of oil price shock on stock returns are related to the driving factors behind it. Oil price shock has a significant impact on U.S. stock returns, while the impact on China's stock market is insignificant except for the impact of oil-market specific shock. The results of variance decomposition indicate that the contribution of oil price shocks on stock returns is greater than that of interest rate shocks and inflation rate shocks.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Ting Li
PY  - 2019/09
DA  - 2019/09
TI  - The Impact of Oil Price Shocks on Stock Markets
BT  - Proceedings of the 4th International Conference on Economy, Judicature, Administration and Humanitarian Projects (JAHP 2019)
PB  - Atlantis Press
SP  - 267
EP  - 273
SN  - 2352-5428
UR  - https://doi.org/10.2991/jahp-19.2019.58
DO  - 10.2991/jahp-19.2019.58
ID  - Li2019/09
ER  -