Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment
نویسندگان
چکیده
منابع مشابه
Oil price uncertainty and sectoral stock returns in China: A time-varying approach
Article history: Received 20 June 2014 Received in revised form 25 September 2014 Accepted 26 September 2014 Available online 5 October 2014 This paper investigates the time-varying impact of oil price uncertainty on stock prices in China using weekly data on ten sectoral indices over the period January 1997–February 2014. The estimation of a bivariate VAR-GARCH-in-mean model suggests that oil ...
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ژورنال
عنوان ژورنال: Journal of International Financial Markets, Institutions and Money
سال: 2013
ISSN: 1042-4431
DOI: 10.1016/j.intfin.2013.05.007