Oil price risk in the Spanish stock market: An industry perspective

Economic Modelling - Tập 37 - Trang 280-290 - 2014
Pablo Moya-Martínez1, Román Ferrer-Lapeña2, Francisco Escribano-Sotos3
1Faculty of Social Science, Cuenca, University of Castilla-La Mancha, C/ Santa Teresa Jornet, s/n, 16071 Cuenca, Spain
2Faculty of Economics, Valencia, University of Valencia, Av. Tarongers, s/n, 46022 Valencia, Spain
3Faculty of Economic and Business Sciences, Albacete, University of Castilla-La Mancha, Plaza de la Universidad, 1, 02071 Albacete, Spain

Tài liệu tham khảo

Aloui, 2012, Assessing the impacts of oil price fluctuations on stock returns in emerging markets, Econ. Model., 29, 2686, 10.1016/j.econmod.2012.08.010 Alvarez, 2011, The impact of oil price changes on Spanish and euro area consumer price inflation, Econ. Model., 28, 422, 10.1016/j.econmod.2010.08.006 Apergis, 2009, Do structural oil-market shocks affect stock prices?, Energy Econ., 31, 569, 10.1016/j.eneco.2009.03.001 Arouri, 2011, Does crude oil moves stock markets in Europe? A sector investigation, Econ. Model., 28, 1716, 10.1016/j.econmod.2011.02.039 Arouri, 2010, Oil prices, stock markets and portfolio investment: evidence from sector analysis in Europe over the last decade, Energy Policy, 38, 4528, 10.1016/j.enpol.2010.04.007 Arouri, 2012, Oil prices and stock markets in GCC countries: empirical evidence from panel analysis, Int. J. Financ. Econ., 17, 242, 10.1002/ijfe.443 Arouri, 2012, On the impacts of oil price fluctuations on European equity markets: volatility spillover and hedging effectiveness, Energy Econ., 34, 611, 10.1016/j.eneco.2011.08.009 Bai, 1998, Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47, 10.2307/2998540 Bai, 2003, Computation and analysis of multiple structural change models, J. Appl. Econ., 18, 1, 10.1002/jae.659 Ballester, 2011, Linear and nonlinear interest rate sensitivity of Spanish banks, Span. Rev. Financ. Econ., 9, 35, 10.1016/j.srfe.2011.09.002 Bartram, 2002, The interest rate exposure of nonfinancial corporations, Eur. Financ. Rev., 6, 101, 10.1023/A:1015024825914 Boyer, 2007, Common and fundamental factors in stock returns of Canadian oil and gas companies, Energy Econ., 29, 428, 10.1016/j.eneco.2005.12.003 Broadstock, 2012, Oil shocks and their impact on energy related stocks in China, Energy Econ., 34, 1888, 10.1016/j.eneco.2012.08.008 Cong, 2008, Relationships between oil price shocks and stock market: an empirical analysis from China, Energy Policy, 36, 3544, 10.1016/j.enpol.2008.06.006 Cuñado, 2005, Oil prices, economic activity and inflation: evidence for some Asian countries, Q. Rev. Econ. Financ., 45, 65, 10.1016/j.qref.2004.02.003 De Miguel, 2009, Disentangling the effects of oil shocks: the role of rigidities and monetary policy, Energy J., 30, 193, 10.5547/ISSN0195-6574-EJ-Vol30-NoSI2-9 Driesprong, 2008, Striking oil: another puzzle?, J. Financ. Econ., 89, 307, 10.1016/j.jfineco.2007.07.008 El-Sharif, 2005, Evidence on the nature and extent of the relationship between oil prices and equity values in the UK, Energy Econ., 27, 819, 10.1016/j.eneco.2005.09.002 Elyasiani, 1998, Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: a GARCH-M model, J. Bank. Financ., 22, 535, 10.1016/S0378-4266(98)00003-X Elyasiani, 2011, Oil price shocks and industry stock returns, Energy Econ., 33, 966, 10.1016/j.eneco.2011.03.013 Faff, 1999, Oil price risk and the Australian stock market, J. Energy Financ. Dev., 4, 69, 10.1016/S1085-7443(99)00005-8 Fan, 2011, What has driven oil prices since 2000? A structural change perspective, Energy Econ., 33, 1082, 10.1016/j.eneco.2011.05.017 Ferrer, 2010, Linear and nonlinear interest rate exposure in Spain, Manag. Financ., 36, 431 Filis, 2011, Dynamic correlation between stock market and oil prices: the case of oil-importing and oil-exporting countries, Int. Rev. Financ. Anal., 20, 152, 10.1016/j.irfa.2011.02.014 Gogineni, 2010, Oil and the stock market: an industry level analysis, Financ. Rev., 45, 995, 10.1111/j.1540-6288.2010.00282.x Gómez-Loscos, 2011, The impact of oil shocks on the Spanish economy, Energy Econ., 33, 1070, 10.1016/j.eneco.2011.05.016 Hamilton, 1983, Oil and the macroeconomy since World War II, J. Polit. Econ., 9, 228, 10.1086/261140 Hamilton, 2009, Understanding crude oil prices, Energy J., 39, 179 Hirtle, 1997, Derivatives, portfolio composition, and bank holding company interest rate risk exposure, J. Financ. Serv. Res., 12, 243, 10.1023/A:1007930904536 Huang, 1996, Energy shocks and financial markets, J. Futur. Mark., 16, 1, 10.1002/(SICI)1096-9934(199602)16:1<1::AID-FUT1>3.0.CO;2-Q Jammazi, 2012, Oil shock transmission to stock market returns: wavelet-multivariate Markov switching GARCH approach, Energy, 37, 430, 10.1016/j.energy.2011.11.011 Jammazi, 2012, Cross dynamics of oil–stock interactions: a redundant wavelet analysis, Energy, 44, 750, 10.1016/j.energy.2012.05.017 Jammazi, 2010, Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns, Energy Policy, 38, 1415, 10.1016/j.enpol.2009.11.023 Jammazi, 2010, Wavelet decomposition and regime shifts: assessing the effects of crude oil, Energy Policy, 38, 1415, 10.1016/j.enpol.2009.11.023 Jareño, 2008, Spanish stock market sensitivity to real interest and inflation rates: an extension of the Stone two-factor model with factors of the Fama and French three-factor model, Appl. Econ., 40, 3159, 10.1080/00036840600994187 Jiménez-Rodríguez, 2005, Oil price shocks and real GDP growth: empirical evidence for some OECD countries, Appl. Econ., 37, 201, 10.1080/0003684042000281561 Jones, 1996, Oil and the stock markets, J. Financ., 51, 463, 10.1111/j.1540-6261.1996.tb02691.x Kalman, 1960, A new approach to linear filtering and prediction problems, J. Basic Eng., 82, 35, 10.1115/1.3662552 Kilian, 2009, The impact of oil price shocks on the U.S. stock market, Int. Econ. Rev., 50, 1267, 10.1111/j.1468-2354.2009.00568.x Lee, 2011, The impact of oil price shocks on stock market activities: asymmetric effect with quantile regression, Math. Comput. Simul., 81, 1910, 10.1016/j.matcom.2011.03.004 Li, 2012, Oil prices and stock market in China: a sector analysis using panel cointegration with multiple breaks, Energy Econ., 34, 1951, 10.1016/j.eneco.2012.08.027 Liu, 1997, On segmented multivariate regressions, Stat. Sin., 7, 497 McSweeney, 2008, A comparative analysis of oil as a risk factor in Australian industry stock returns, 1980–2006, Stud. Econ. Financ., 25, 131, 10.1108/10867370810879447 Miller, 2009, Crude oil and stock markets: stability, instability, and bubbles, Energy Econ., 31, 559, 10.1016/j.eneco.2009.01.009 Mohanty, 2011, Oil risk exposure: the case of the U.S. oil and gas sector, Financ. Rev., 46, 165, 10.1111/j.1540-6288.2010.00295.x Mohanty, 2011, Oil price movements and stock market returns: evidence from Gulf Cooperation Council (GCC) countries, Glob. Financ. J., 22, 42, 10.1016/j.gfj.2011.05.004 Nandha, 2008, Does oil move equity prices? A global view, Energy Econ., 30, 986, 10.1016/j.eneco.2007.09.003 Narayan, 2011, New evidence on oil price and firm returns, J. Bank. Financ., 35, 3253, 10.1016/j.jbankfin.2011.05.010 Park, 2008, Oil price shocks and stock markets in the U.S. and 13 European countries, Energy Econ., 30, 2587, 10.1016/j.eneco.2008.04.003 Ramos, 2011, Risk factors in oil and gas industry returns: international evidence, Energy Econ., 33, 525, 10.1016/j.eneco.2010.10.005 Reilly, 2007, Analysis of the interest rate sensitivity of common stocks, J. Portf. Manag., 33, 85, 10.3905/jpm.2007.684757 Sadorsky, 1999, Oil price shocks and stock market activity, Energy Econ., 21, 449, 10.1016/S0140-9883(99)00020-1 Sweeney, 1986, The pricing of interest rate risk: evidence from the stock market, J. Financ., 41, 393, 10.1111/j.1540-6261.1986.tb05044.x Zhu, 2011, Crude oil shocks and stock markets: a panel threshold cointegration approach, Energy Econ., 33, 987, 10.1016/j.eneco.2011.07.002