We quantify the effect of a significant technological innovation, shale oil development, on asset prices. Using stock price changes on major news announcement days allows us to link aggregate stock price changes to shale development activity as well as other oil supply shocks. We exploit cross-sectional variation in industry portfolio returns on announcement days to construct a shale mimicking ...

All countries consume crude oil or oil products. Both producers and consumers are highly concerned about crude oil prices. The crude oil prices are being directly affecting by several factors such as economic, political, geopolitical, and technological, oil reserves, available stocks and weather conditions, among others. On other hand the crude oil prices fluctuations influence directly the wor...

In this paper, the effects of oil and gold prices on stock market index are investigated. We use a cointegrated vector autoregressive Markov-switching model to examine the nonlinear properties of these three variables during the period of January 2003 - December 2014. The Markov-switching vector-equilibrium-correction model with three regimes representing "deep recession", "mild recession" and ...

in this paper, we investigate variations of gold coin price and also probe to model the fluctuations and conditional variance of coin market returns. the data consist of daily market prices of gold coin over the 1380 – 1386 period. since volatility clustering is viewed in time series of returns, we employ arch (autoregressive conditional heteroskedasticity) methodology in order to model the var...

This paper aims to apply the quantile regression analysis to explore the impacts of the stock market trading value, change in international oil prices, and the US implementation of Quantitative easing monetary policy on Taiwan’s and Korea’s stock index returns. This study is in accordance with the 2008 US implementation of quantitative policy to conduct research on 53-month data collected from ...

This paper investigates the conditional correlations and volatility spillovers between the dollar exchange rate return, gold coin return and crude oil return to stock index return. Monthly returns in the 144 observations (2005 - 2017) are analyzed by constant conditional correlation, dynamic conditional correlation, VARMA-GARCH and VARMA-AGARCH models. So this paper presents interdependences in...

This paper performs an empirical investigation into the relationship between oil price and stock markets returns for seven countries (Kuwait, Oman, UAE, Bahrain, Qatar, UK and USA) by applying the Vector Auto Regression (VAR) analysis. During this period oil prices have tripled creating a substantial cash surplus for the Gulf Cooperation Council (GCC) Countries while simultaneously creating inc...

Using the threshold structural VAR model, this paper examines the multiheterogeneity impacts of international oil price shocks on Chinese stock market in the background of financialization. The research finds: (1) the effects of oil price shocks on stock returns are different across sectors and the responses of stock returns are larger in bear markets. The nonlinear effects of oil supply shocks...