a r t i c l e i n f o JEL classification: C23 E44 Q43 Keywords: Crude oil shocks Stock market prices Panel data Asymmetric adjustment Granger causality This paper proposes a panel threshold cointegration approach to investigate the relationship between crude oil shocks and stock markets for the OECD and non-OECD panel from January 1995 to December 2009. Nonlinear cointegration is confirmed for ...

Based on a vector autoregressive model and dynamic conditional correlation generalized heteroskedasticity model, this study explores the relation between international crude oil market Chinese energy stock market. The findings suggest positive one-way spillover effect of returns China’s returns. Furthermore, two markets is time varying.

This paper examines whether occupancy of seats affects stock returns airline companies and how this relationship is affected by WTI oil prices. Our approach combines revenues (occupancy) costs (oil prices) for 33 U.S. from 1990 to 2019. Using travel capacity utilization data carriers at monthly frequency exploiting fixed-effects regression models, we document a positive relation between returns...

This article investigates the relationship between daily crude oil prices and exchange rates. Functional data analysis is used to show the clustering pattern of exchange rates and oil prices over the time period through high dimensional visualizations. We select exchange rates for important currencies related to crude oil prices by using the objective Bayesian variable selection method. The sel...

In the light of finite oil reserves, Persian Gulf oil-exporting economies have recently undertaken major investments in their domestic travel and tourism industries. Building on Bayesian SVAR model global market Baumeister Hamilton (2019), we investigate conditional comovement airline stock returns with real prices response to structural supply demand shocks. We find that investing Datastream W...

Abstract This paper explores price (momentum and contrarian) effects their timing parameters on the days characterised by abnormal returns following ones in two commodity markets. Specifically, using daily gold oil data over period 01.01.2009–31.03.2020 hypotheses are tested: (H1) there is a time gap between detection of an return day end that day, (H2) after occur; (H3) 1-day have identifiable...