create a website

The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries. (2021). Zolfaghari, Mehdi ; Sahabi, Bahram.
In: Review of Managerial Science.
RePEc:spr:rvmgts:v:15:y:2021:i:7:d:10.1007_s11846-020-00413-0.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 107

References cited by this document

Cocites: 58

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Do oil price shocks have any implications for stock return momentum?. (2022). Balakumar, Suganya ; Dash, Saumya Ranjan ; Kang, Sang Hoon ; Maitra, Debasish.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:75:y:2022:i:c:p:637-663.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Abbas G, Bashir U, Wang S, Zebende GF, Ishfaq M (2019) The return and volatility nexus among stock market and macroeconomic fundamentals for China. Phys A Stat Mech Appl 526:1–29.

  2. Abourachid H, Kubo A, Orbach S (2017) Momentum strategies in European equity markets: perspectives on the recent financial and European debt crises. Finance Res Lett 23:147–151.

  3. Arouri MEH, Rault C (2012) Oil prices and stock markets in GCC countries: empirical evidence from panel analysis. Int J Finance Econ 17(3):242–253.

  4. Avramov D, Chordia T, Jostova G, Philipov A (2007) Momentum and credit rating. J Finance 62(5):2503–2520.

  5. Bahmani-Oskooee M, Saha S (2016) Do exchange rate changes have symmetric or asymmetric effects on stock prices? Glob Finance J 31:57–72.

  6. Balvers R, Wu Y (2006) Momentum and mean reversion across national equity markets. J Empir Finance 13:24–48.

  7. Banz RW (1981): The relationship between return and market value of common stocks. J Finance Econ 9(1):3–18.

  8. Barroso P, Santa-Clara P (2015) Momentum has its moments. J Finance Econ 116(1):111–120.

  9. Basher SA, Haug AA, Sadorsky P (2018) The impact of oil-market shocks on stock returns in major oil-exporting countries. J Int Money Finance 86:264–280.

  10. Basu S (1983) The relationship between earnings yield, market value and return for NYSE common stocks: further evidence. J Finance Econ 12:129–156. https://doi.org/10.1016/0304-405X(83)90031-4 .

  11. Bencivenga C, D’Ecclesia RL, Triulzi U (2012) Oil prices and the financial crisis. RMS 6(3):227–238.
    Paper not yet in RePEc: Add citation now
  12. Bhar R, Malliaris AG (2011) Dividends, momentum, and macroeconomic variables as determinants of the us equity premium across economic regimes. Rev Behav Finance 3(1):27–53.

  13. Bianchi RJ, Drew ME, Fan JH (2015) Combining momentum with reversal in commodity futures. J Bank Finance 59:423–444.

  14. Bohl MT, Czaja MG, Kaufmann P (2016) Momentum profits, market cycles, and rebounds: evidence from Germany. Q Rev Econ Finance 61:139–159.

  15. Bollerslev T (1986) Generalized autoregressive conditional heteroscedasticity. Econometrics 31:307–327.

  16. Butt HA, Virk NS (2017) Momentum profits and time varying illiquidity effect. Finance Res Lett 20:253–259.

  17. Cakici N, Tan S (2014) Size, value, and momentum in developed country equity returns: macroeconomic and liquidity exposures. J Int Money Finance 44:179–209.

  18. Chan K, Hameed A, Tong W (2000) Profitability of momentum strategies in the international equity markets. J Finance Quant Anal 35:153–172.
    Paper not yet in RePEc: Add citation now
  19. Chang RP, Ko KC, Nakano S, Rhee SG (2018) Residual momentum in Japan. J Empir Finance 45:283–299.

  20. Chen CD, Cheng CM, Demirer R (2017) Oil and stock market momentum. Energy Econ 68:151–159.

  21. Cheng Q, Liu X, Zhu X (2019) Cryptocurrency momentum effect: DFA and MF-DFA analysis. Phys A 526:120847.

  22. Chiang IHE, Hughen KW (2017) Do oil futures prices predict stock returns? J Bank Finance 79:129–141.

  23. Chordia T, Shivakumar L (2002) Momentum, business cycle, and time-varying expected return. J Finance 57:985–1019.
    Paper not yet in RePEc: Add citation now
  24. Chu X, Gu Z, Zhou H (2019) Intraday momentum and reversal in Chinese stock market. Finance Res Lett 30:83–88.

  25. Chui ACW, Titman S, Wei KCJ (2010) Individualism and momentum around the world. Journal of Finance 65:361–392.

  26. Cunado J, de Gracia FP (2014) Oil price shocks and stock market returns: evidence for some European countries. Energy Econ 42:365–377.

  27. Daniel K, Moskowitz TJ (2016) Momentum crashes. J Finance Econ 122(2):221–247.
    Paper not yet in RePEc: Add citation now
  28. Demir I, Muthuswamy J, Walter T (2004) Momentum returns in Australian equities: the influence of size, risk, liquidity and return computation. Pac Basin Finance J 12:143–158.

  29. Erdogan S, Gedikli A, Çevik Eİ (2020) Volatility spillover effects between islamic stock markets and exchange rates: evidence from three emerging countries. Borsa Istanbul Rev. (in Press).
    Paper not yet in RePEc: Add citation now
  30. Fama EF (1981) Stock returns, real activity, inflation, and money. Am Econ Rev 71:545–565.

  31. Fama EF, French KR (1992) The cross-section of expected stock returns. J Finance 47(2):427–465.

  32. Fayyad A, Daly K (2011) The impact of oil price shocks on stock market returns: comparing GCC countries with the UK and USA. Emerg Mark Rev 12:61–78.

  33. Feng J, Wang Y, Yin L (2017) Oil volatility risk and stock market volatility predictability: evidence from G7 countries. Energy Econ 68:240–254.

  34. Galariotis EC, Holmes P, Ma XS (2007) Contrarian and momentum profitability revisited: evidence from the London Stock Exchange 1964–2005. J Multinatl Finance Manag 17(5):432–447.

  35. Garcia R, Perron P (1996) An analysis of the real interest rate under regime shifts. Rev Econ Stat 78:111–125.

  36. González M, Nave J, Rubio G (2018) Macroeconomic determinants of stock market betas. J Empir Finance 45:26–44.

  37. Gray S (1996) Modeling the conditional distribution of interest rates as a regime-switching process. J Finance Econ 42:27–62.
    Paper not yet in RePEc: Add citation now
  38. Griffin JM, Ji X, Martin S (2003) Momentum investing and business cycle risk: evidence from pole to pole. J Finance 58:2515–2547.

  39. Grobys K, Sapkota N (2019) Cryptocurrencies and momentum. Econ Lett 180:6–10.

  40. Gulen H, Xing Y, Zhang L (2011) Value versus growth: time-varying expected stock returns. Finance Manag 40:381–407.

  41. Günay S (2016) Is political risk still an issue for Turkish stock market? Borsa Istanb Rev 16(1):21–31.
    Paper not yet in RePEc: Add citation now
  42. Haas M, Mittnik S, Paolella M (2004) A new approach to Markov switching GARCH models. Finance Econom 4:493–530.

  43. Hamilton JD (1989) A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica 57(2):357–384.

  44. Hanauer M (2014) Is Japan different? Evidence on momentum and market dynamics. Int Rev Finance 14:141–160.

  45. Ho KY, Shi Y, Zhang Z (2013) How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches. N Am J Econ Finance 26:436–456.

  46. Hon MT, Tonks I (2003) Momentum on the UK stock market. J Multinatl Finance Manag 13:43–70.

  47. Jarque C, Bera A (1980) Efficient tests for normality homoscedasticity and serial independence of regression residuals. Econ Lett 6:255–259.

  48. Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: implications for stock market efficiency. J Finance 48:65–91.

  49. Ji X (2016) Momentum: further evidence from Australia. Finance Res Lett 18:234–236.

  50. Ji X, Martin JS, Yao Y (2017) Macroeconomic risk and seasonality in momentum profits. J Finance Mark 36:76–90.

  51. Jiang X, Han L, Yin L (2019) Currency strategies based on momentum, carry trade and skewness. Phys A 517:121–131.

  52. Kasman S, Vardar G, Tunç G (2011) The impact of interest rate and exchange rate volatility on banks’ stock returns and volatility: evidence from Turkey. Econ Model 28:1328–1334.

  53. Kim B, Suh S (2018) Sentiment-based momentum strategy. Int Rev Finance Anal 58:52–68.

  54. Kim D, Roh TY, Min BK, Byun SJ (2014) Time-varying expected momentum profits. J Bank Finance 49:191–215.

  55. Klaanssen F (2002) Improving GARCH volatility forecasts with regime-switching GARCH. Empir Econ 27:363–394.
    Paper not yet in RePEc: Add citation now
  56. Kosc K, Sakowski P, Ślepaczuk R (2019) Momentum and contrarian effects on the cryptocurrency market. Phys A 523:691–701.

  57. Lesmond DA, Schill MJ, Zhou C (2004) The illusory nature of momentum profits. J Finance Econ 71(2):349–380.

  58. Li Q, Cheng K, Yang Z (2017) Response pattern of stock returns to international oil price shocks: from the perspective of China’s oil industrial chain. Appl Energy 185:1821–1831.

  59. Li X, Miffre J, Brooks C, O’Sullivan N (2008) Momentum profits and time-varying unsystematic risk. J Bank Finance 32:541–558.

  60. Liang CC, Lin JB, Hsu HC (2013) Reexamining the relationships between stock prices and exchange rates in ASEAN-5 using panel Granger causality approach. Econ Model 32:560–563.

  61. Lin C, Ko KC, Feng ZX, Yang NT (2016) Market dynamics and momentum in the Taiwan stock market. Pac Basin Finance J 38:59–75.

  62. Liu LX, Zhang L (2008) Momentum profits, factor pricing, and macroeconomic risk. Rev Finance Stud 21:2417–2448.

  63. Liu W, Norma S, Xu X (1999) The profitability of momentum investing. J Bus Finance Account 26:1043–1091.

  64. Marcucci J (2005) Forecasting stock market volatility with regime-switching GARCH model. Working paper. Department of Economics, University of California at San Dieago.

  65. Mensah L, Obi P, Bokpin G (2017) Cointegration test of oil price and us dollar exchange rates for some oil dependent economies. Res Int Bus Finance 42:304–311.

  66. Mensi W (2019) Global financial crisis and co-movements between oil prices and sector stock markets in Saudi Arabia: a VaR based wavelet. Borsa Istanb Rev 19(1):24–31.

  67. Mitra R (2017) Stock market and foreign exchange market integration in South Africa. World Dev Perspect 6:32–34.

  68. Mnif AT (2017) Political uncertainty and behavior of Tunisian stock market cycles: structural unobserved components time series models. Res Int Bus Finance 39:206–214.

  69. Moller S, Rangvid J (2015) End-of-the-year economic growth and time-varying expected returns. J Finance Econ 115:136–154.

  70. Mollick AV, Sakaki H (2019) Exchange rates, oil prices and world stock returns. Resour Policy 61:585–602.

  71. Morelli D (2014) Momentum profits and conditional time-varying systematic risk. J Int Finance Mark Inst Money 29:242–255.

  72. Narayan P, Narayan S (2010) Modelling the impact of oil prices on Vietnam’s stock prices. Appl Energy 87:356–361.

  73. Narayan PK, Bach Phan DH (2016) Momentum strategies for Islamic stocks. Pac Basin Finance J 42:96–112.
    Paper not yet in RePEc: Add citation now
  74. Narayan PK, Phan DHB (2017) Momentum strategies for Islamic stocks. Pac Basin Finance J 42:96–112.

  75. Naughton T, Truong C, Veeraraghavan M (2008) Momentum strategies and stock returns: Chinese evidence. Pac Basin Finance J 16:476–492.

  76. Nejad MK, Jahantigh F, Rahbari H (2016) The long run relationship between oil price risk and Tehran stock exchange returns in presence of structural breaks. Proc Econ Finance 36:201–209.
    Paper not yet in RePEc: Add citation now
  77. Orlov V (2016) Currency momentum, carry trade, and market illiquidity. J Bank Finance 67:1–11.

  78. Perez-Quiros G, Timmermann A (2000) Firm size and cyclical variations in stock returns. J Finance 55:1229–1262.

  79. Phillips PE, Perron PI (1988) Testing for a unit root in time series regression. Biometrika 75:335–346.
    Paper not yet in RePEc: Add citation now
  80. Reboredo JC, Ugolini A (2016) Quantile dependence of oil price movements and stock returns. Energy Econ 54:33–49.

  81. Reverte C (2016) Corporate social responsibility disclosure and market valuation: evidence from Spanish listed firms. RMS 10(2):411–435.

  82. Richards A (1997) Winner looser reversals in national stock market indices: can they be explained. J Finance 52:2129–2144.

  83. Roll R (1981) A possible explanation of the small firm effect. J Finance 36(4):879–888.

  84. Rossi F, Harjoto MA (2019) Corporate non-financial disclosure, firm value, risk, and agency costs: evidence from Italian listed companies. Rev Manag Sci. https://doi.org/10.1007/s11846-019-00358-z .
    Paper not yet in RePEc: Add citation now
  85. Sagi JS, Seasholes MS (2007) Firm-specific attributes and the cross section of momentum. J Finance Econ 84:389–434.

  86. Saona P, San Martín P (2018) Determinants of firm value in Latin America: an analysis of firm attributes and institutional factors. RMS 12(1):65–112.

  87. Sarwar SM, Muradoglu G (2013) Macroeconomic risks, idiosyncratic risks and momentum profits. Borsa Istanb Rev 13:99–114.

  88. Saurabh S, Dey K (2020) Unraveling the relationship between social moods and the stock market: evidence from the United Kingdom. J Behav Exp Finance 26:100300.

  89. Scheurle P, Spremann K (2010) Size, book-to-market, and momentum during the business cycle. RMS 4(3):201–215.
    Paper not yet in RePEc: Add citation now
  90. Shi Y, Feng L (2016) A discussion on the innovation distribution of the Markov regime-switching GARCH model. Econ Model 53:278–288.

  91. Silge L, Wöhrmann A (2019) Market reaction to asymmetric cost behavior: the impact of long-term growth expectations. Rev Manag Sci. https://doi.org/10.1007/s11846-019-00341-8 .
    Paper not yet in RePEc: Add citation now
  92. Singhal S, Choudhary S, Biswal PC (2019) Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: evidence from Mexico. Resour Policy 60:255–261.

  93. Stanley HE, Plerou V, Gabaix X (2008) A statistical physics view of financial fluctuations: evidence for scaling and universality. Phys A 387(15):3967–3981.

  94. Susmel R, Engle RF (1994) Hourly volatility spillovers between international equity markets. Int Money Finance 13(1):3–25.

  95. Tsai I (2012) The relationship between stock price index and exchange rate in Asian markets: a quantile regression approach. J Int Finance Mark Inst Money 22(3):609–621.

  96. Vo XV, Truong QB (2018) Does momentum work? Evidence from Vietnam stock market. J Behav Exp Finance 17:10–15.

  97. Wang C, Huang H, Huang C (2012) Momentum and contrarian corresponding to the coincident economic indicator on the Taiwan stock market. Emerg Mark Finance Trade 48(1):29–40.

  98. Wang J, Wu Y (2011) Risk adjustment and momentum sources. J Bank Finance 35:1427–1435.

  99. Wang KQ, Xu J (2015) Market volatility and momentum. J Empir Finance 30:79–91.

  100. Wei Y, Guo X (2017) Oil price shocks and China’s stock market. Energy 140(1):185–197.
    Paper not yet in RePEc: Add citation now
  101. Yang Y, Göncü A, Pantelous AA (2018) Momentum and reversal strategies in Chinese commodity futures markets. Int Rev Finance Anal 60:177–196.

  102. Yau HY, Nieh CC (2009) Testing for cointegration with threshold effect between stock prices and exchange rates in Japan and Taiwan. Jpn World Econ 21:292–300.

  103. Yu L, Fung HG, Leung WK (2019) Momentum or contrarian trading strategy: which one works better in the Chinese stock market. Int Rev Econ Finance 62:87–105.

  104. Zhang XF (2006) Information uncertainty and stock returns. J Finance 61:105–136.

  105. Zhuang C (2018) Improving performance of exchange rate momentum strategy using volatility information. Phys A 510:741–753.

  106. Zolfaghari M, Sahabi B (2017) Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach. J Comput Appl Math 317:274–289.
    Paper not yet in RePEc: Add citation now
  107. Zwergel B, Heiden S (2014) Intraday futures patterns and volume–volatility relationships: the German evidence. RMS 8(1):29–61.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Systemic risk prediction using machine learning: Does network connectedness help prediction?. (2024). Wang, Gang-Jin ; Zhu, You ; Chen, Yan ; Xie, Chi.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000796.

    Full description at Econpapers || Download paper

  2. Uncertainties and green bond markets: Evidence from tail dependence. (2023). Lin, Boqiang ; Su, Tong.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:28:y:2023:i:4:p:4458-4475.

    Full description at Econpapers || Download paper

  3. The relationship between macroeconomic variables and stock market indices: evidence from Central and Eastern European countries. (2023). Ligocka, Marie.
    In: Eastern Journal of European Studies.
    RePEc:jes:journl:y:2023:v:14:p:76-107.

    Full description at Econpapers || Download paper

  4. Dynamic correlation and risk resonance among industries of Chinese stock market: New evidence from time–frequency domain and complex network perspectives. (2023). Li, Jiang-Cheng ; Zhong, Guang-Yan ; Tao, Chen.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:614:y:2023:i:c:s0378437123001139.

    Full description at Econpapers || Download paper

  5. Crude oil market and Nigerian stocks: An asymmetric information spillover approach. (2022). Lin, Boqiang ; Okorie, David.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4002-4017.

    Full description at Econpapers || Download paper

  6. Procyclical volatility in Chinese stock markets. (2022). Jiang, Ying ; Liu, Xiaoquan ; Fei, Tianlun ; Deschamps, Bruno.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01020-0.

    Full description at Econpapers || Download paper

  7. The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries. (2021). Zolfaghari, Mehdi ; Sahabi, Bahram.
    In: Review of Managerial Science.
    RePEc:spr:rvmgts:v:15:y:2021:i:7:d:10.1007_s11846-020-00413-0.

    Full description at Econpapers || Download paper

  8. Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns. (2020). Vo, Xuan Vinh ; Bouri, Elie ; Alqahtani, Abdullah.
    In: Economic Analysis and Policy.
    RePEc:eee:ecanpo:v:68:y:2020:i:c:p:239-249.

    Full description at Econpapers || Download paper

  9. Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2017). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam .
    In: MPRA Paper.
    RePEc:pra:mprapa:80435.

    Full description at Econpapers || Download paper

  10. Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model. (2017). Khalifa, Ahmed ; Bertuccelli, Pietro ; Alsarhan, Abdulwahab A.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:39:y:2017:i:pa:p:307-314.

    Full description at Econpapers || Download paper

  11. On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis. (2017). JAWADI, Fredj ; ben ameur, hachmi ; Louhichi, Wael ; Cheffou, Abdoulkarim Idi.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2017-11.

    Full description at Econpapers || Download paper

  12. Time–frequency featured co-movement between the stock and prices of crude oil and gold. (2016). Huang, Xuan ; Gao, Xiangyun.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:444:y:2016:i:c:p:985-995.

    Full description at Econpapers || Download paper

  13. Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models. (2016). Ghosh, Sajal ; Singhal, Shelly.
    In: Resources Policy.
    RePEc:eee:jrpoli:v:50:y:2016:i:c:p:276-288.

    Full description at Econpapers || Download paper

  14. Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2016). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:48:y:2016:i:c:p:209-220.

    Full description at Econpapers || Download paper

  15. Oil price and stock market co-movement: What can we learn from time-scale approaches?. (2016). Guesmi, Khaled ; Ftiti, Zied ; Abid, Ilyes.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:46:y:2016:i:c:p:266-280.

    Full description at Econpapers || Download paper

  16. Dependence and risk management in oil and stock markets. A wavelet-copula analysis. (2016). Reboredo, Juan ; Jammazi, Rania.
    In: Energy.
    RePEc:eee:energy:v:107:y:2016:i:c:p:866-888.

    Full description at Econpapers || Download paper

  17. The global interdependence among oil-equity nexuses. (2016). Jia, Xiaoliang ; Gao, Xiangyun ; Huang, Shupei ; Wen, Shaobo.
    In: Energy.
    RePEc:eee:energy:v:107:y:2016:i:c:p:259-271.

    Full description at Econpapers || Download paper

  18. The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes. (2016). Maghyereh, Aktham ; Bouri, Elie ; Awartani, Basel.
    In: Energy Economics.
    RePEc:eee:eneeco:v:57:y:2016:i:c:p:78-93.

    Full description at Econpapers || Download paper

  19. On oil-US exchange rate volatility relationships: An intraday analysis. (2016). JAWADI, Fredj ; Louhichi, Wael ; ben Ameur, Hachmi ; Cheffou, Abdoulkarim Idi.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:59:y:2016:i:c:p:329-334.

    Full description at Econpapers || Download paper

  20. Do oil producing countries offer international diversification benefits? Evidence from GCC countries. (2016). Charfeddine, Lanouar ; Mimouni, Karim.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:57:y:2016:i:c:p:263-280.

    Full description at Econpapers || Download paper

  21. Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia. (2016). Haque, Mohammad Imdadul ; Afsal, E M.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2016-03-27.

    Full description at Econpapers || Download paper

  22. US stock market regimes and oil price shocks. (2015). Filis, George ; Degiannakis, Stavros ; Angelidis, Timotheos.
    In: MPRA Paper.
    RePEc:pra:mprapa:80436.

    Full description at Econpapers || Download paper

  23. Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2015). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam .
    In: MPRA Paper.
    RePEc:pra:mprapa:72082.

    Full description at Econpapers || Download paper

  24. The extreme-value dependence between the crude oil price and Chinese stock markets. (2015). Lv, Xin ; Chen, Qian.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:39:y:2015:i:c:p:121-132.

    Full description at Econpapers || Download paper

  25. Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level. (2015). Huang, Xuan ; Gao, Xiangyun.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:434:y:2015:i:c:p:13-24.

    Full description at Econpapers || Download paper

  26. US stock market regimes and oil price shocks. (2015). Filis, George ; Degiannakis, Stavros ; Angelidis, Timotheos.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:28:y:2015:i:c:p:132-146.

    Full description at Econpapers || Download paper

  27. Effects of oil price shocks on the stock market performance: Do nature of shocks and economies matter?. (2015). LE, Thai-Ha ; Chang, Youngho.
    In: Energy Economics.
    RePEc:eee:eneeco:v:51:y:2015:i:c:p:261-274.

    Full description at Econpapers || Download paper

  28. Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries. (2015). Khalifa, Ahmed ; Demirer, Riza ; Jategaonkar, Shrikant P. ; Khalifa, Ahmed A. A., .
    In: Energy Economics.
    RePEc:eee:eneeco:v:49:y:2015:i:c:p:132-140.

    Full description at Econpapers || Download paper

  29. Regional and global spillovers and diversification opportunities in the GCC equity sectors. (2015). Demirer, Riza ; Balcilar, Mehmet ; Hammoudeh, Shawkat.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:24:y:2015:i:c:p:160-187.

    Full description at Econpapers || Download paper

  30. Causality in distribution between European stock markets and commodity prices: Using independence test based on the empirical copula. (2014). Wanat, Stanisław ; Papież, Monika ; Śmiech, Sławomir.
    In: MPRA Paper.
    RePEc:pra:mprapa:57706.

    Full description at Econpapers || Download paper

  31. Stock markets and energy prices. (2014). Basher, Syed ; Abul, Basher Syed.
    In: MPRA Paper.
    RePEc:pra:mprapa:53863.

    Full description at Econpapers || Download paper

  32. Financial and monetary policy responses to oil price shocks: evidence from oil-importing and oil-exporting countries. (2014). Filis, George ; Chatziantoniou, Ioannis.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:42:y:2014:i:4:p:709-729.

    Full description at Econpapers || Download paper

  33. Economic policy uncertainty, oil price shocks and GCC stock markets. (2014). Arouri, Mohamed ; Rault, Christophe.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-547.

    Full description at Econpapers || Download paper

  34. Oil price impact on financial markets:. (2014). Guesmi, Khaled ; Ftiti, Zied ; Creti, Anna.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-435.

    Full description at Econpapers || Download paper

  35. Oil Price and Financial Markets: Multivariate Dynamic Frequency Analysis. (2014). Guesmi, Khaled ; Ftiti, Zied ; Creti, Anna.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-121.

    Full description at Econpapers || Download paper

  36. Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns. (2014). Li, Sufang ; Zhu, Hui-Ming .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:29:y:2014:i:c:p:208-223.

    Full description at Econpapers || Download paper

  37. Wavelet-based evidence of the impact of oil prices on stock returns. (2014). Reboredo, Juan ; Rivera-Castro, Miguel A..
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:29:y:2014:i:c:p:145-176.

    Full description at Econpapers || Download paper

  38. Macroeconomic impacts of oil prices and underlying financial shocks. (2014). Chen, Wang ; Hamori, Shigeyuki ; Kinkyo, Takuji.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:29:y:2014:i:c:p:1-12.

    Full description at Econpapers || Download paper

  39. Crude oil: Commodity or financial asset?. (2014). Maystre, Nicolas ; Kaufmann, Robert ; Bicchetti, David ; Kulatilaka, Nalin ; Kolodziej, Marek .
    In: Energy Economics.
    RePEc:eee:eneeco:v:46:y:2014:i:c:p:216-223.

    Full description at Econpapers || Download paper

  40. Wavelet dynamics for oil-stock world interactions. (2014). Madaleno, Mara ; Pinho, Carlos.
    In: Energy Economics.
    RePEc:eee:eneeco:v:45:y:2014:i:c:p:120-133.

    Full description at Econpapers || Download paper

  41. The relationship between energy and equity markets: Evidence from volatility impulse response functions. (2014). Wohar, Mark ; Olson, Eric ; Vivian, Andrew J..
    In: Energy Economics.
    RePEc:eee:eneeco:v:43:y:2014:i:c:p:297-305.

    Full description at Econpapers || Download paper

  42. Linkages between emerging and developed equity markets: Empirical evidence in the PMG framework. (2014). JOUINI, Jamel ; Boubaker, Sabri.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:29:y:2014:i:c:p:322-335.

    Full description at Econpapers || Download paper

  43. Revisiting the shock and volatility transmissions among GCC stock and oil markets: A further investigation. (2014). JOUINI, Jamel ; HARRATHI, Nizar.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:486-494.

    Full description at Econpapers || Download paper

  44. Oil price risk in the Spanish stock market: An industry perspective. (2014). Escribano Sotos, Francisco ; Ferrer-Lapea, Roman ; Moya-Martinez, Pablo ; Escribano-Sotos, Francisco.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:37:y:2014:i:c:p:280-290.

    Full description at Econpapers || Download paper

  45. Economic policy uncertainty, oil price shocks and GCC stock markets. (2014). Teulon, Frédéric ; AROURI, Mohamed ; Rault, Christophe.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-14-00507.

    Full description at Econpapers || Download paper

  46. The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data. (2014). Filis, George ; Degiannakis, Stavros ; Stavros Degiannakis, George Filis,, ; Kizys, Renatas.
    In: The Energy Journal.
    RePEc:aen:journl:ej35-1-03.

    Full description at Econpapers || Download paper

  47. Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment. (2013). Floros, Christos ; Filis, George ; Degiannakis, Stavros.
    In: MPRA Paper.
    RePEc:pra:mprapa:80495.

    Full description at Econpapers || Download paper

  48. Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries. (2013). Guesmi, Khaled ; Ftiti, Zied ; Creti, Anna.
    In: Working Papers.
    RePEc:hal:wpaper:hal-00822070.

    Full description at Econpapers || Download paper

  49. Can advanced markets help diversify risks in frontier stock markets? Evidence from Gulf Arab stock markets. (2013). Demirer, Riza.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:29:y:2013:i:c:p:77-98.

    Full description at Econpapers || Download paper

  50. Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment. (2013). Floros, Christos ; Filis, George ; Degiannakis, Stavros.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:26:y:2013:i:c:p:175-191.

    Full description at Econpapers || Download paper

  51. U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis. (2013). Mollick, Andre ; Assefa, Tibebe Abebe.
    In: Energy Economics.
    RePEc:eee:eneeco:v:36:y:2013:i:c:p:1-18.

    Full description at Econpapers || Download paper

  52. Stock markets in GCC countries and global factors: A further investigation. (2013). JOUINI, Jamel.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:80-86.

    Full description at Econpapers || Download paper

  53. Oil price impact on financial markets: co-spectral analysis for exporting versus importing countries. (2013). Guesmi, Khaled ; Ftiti, Zied ; Creti, Anna.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2013-11.

    Full description at Econpapers || Download paper

  54. Co-movement of oil and stock prices in the GCC region: A wavelet analysis. (2012). Omran, Mohammed ; Graham, Michael ; Nikkinen, Jussi ; Kivihaho, Jarno ; Akoum, Ibrahim.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:52:y:2012:i:4:p:385-394.

    Full description at Econpapers || Download paper

  55. Oil prices and stock market in China: A sector analysis using panel cointegration with multiple breaks. (2012). Li, Su-Fang ; Yu, Keming ; Zhu, Hui-Ming .
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:6:p:1951-1958.

    Full description at Econpapers || Download paper

  56. Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries. (2011). Floros, Christos ; Filis, George ; Degiannakis, Stavros.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:20:y:2011:i:3:p:152-164.

    Full description at Econpapers || Download paper

  57. Crude oil shocks and stock markets: A panel threshold cointegration approach. (2011). Li, Su-Fang ; Yu, Keming ; Zhu, Hui-Ming .
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:5:p:987-994.

    Full description at Econpapers || Download paper

  58. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-02 20:22:30 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.