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Applied Economics Volume 49, 2017 - Issue 25
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Original Articles

Asymmetric effects of oil price shocks on stock returns: evidence from a two-stage Markov regime-switching approach

Huiming ZhuCollege of Business Administration, Hunan University, Changsha, P.R. ChinaCorrespondence[email protected]
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,
Xianfang SuCollege of Business Administration, Hunan University, Changsha, P.R. ChinaView further author information
,
Wanhai YouSchool of Economics and Management, Fuzhou University, Fuzhou, P.R. ChinaView further author information
&
Yinghua RenCollege of Business Administration, Hunan University, Changsha, P.R. ChinaView further author information
Pages 2491-2507 | Published online: 09 Oct 2016

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Mukhriz Izraf Azman Aziz, Zaghum Umar, Mariya Gubareva, Tatiana Sokolova & Xuan Vinh Vo. (2022) ASEAN-5 forex rates and crude oil: Markov regime-switching analysis. Applied Economics 54:54, pages 6234-6253.
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Nicholas Apergis & Emmanuel Apergis. (2022) The role of Covid-19 for Chinese stock returns: evidence from a GARCHX model. Asia-Pacific Journal of Accounting & Economics 29:5, pages 1175-1183.
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Xiang Zhang & Lu Liu. (2020) Heterogeneous Impacts of International Oil Price Shocks on the Stock Market – Evidence from China. Emerging Markets Finance and Trade 56:12, pages 2749-2771.
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Libo Yin & Xiyuan Ma. (2020) Oil shocks and stock volatility: new evidence via a Bayesian, graph-based VAR approach. Applied Economics 52:11, pages 1163-1180.
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Mohammad Enamul Hoque, Low Soo Wah & Mohd Azlan Shah Zaidi. (2019) Oil price shocks, global economic policy uncertainty, geopolitical risk, and stock price in Malaysia: Factor augmented VAR approach. Economic Research-Ekonomska Istraživanja 32:1, pages 3700-3732.
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Sreelakshmi Ramesh, Sabuj Kumar Mandal & Perry Sadorsky. Does the source of oil price shock matter for Indian sectoral stock returns? A time-frequency approach to analyse dynamic connectedness and spillovers. Applied Economics 0:0, pages 1-18.
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Lalatendu Mishra & Rajesh H. Acharya. (2024) The Asymmetric Interaction Between Oil Price Change and Stock Returns of the Renewable Energy Companies in India: A Panel NARDL Approach. Asia-Pacific Financial Markets.
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Ahmed Bouteska, Taimur Sharif & Mohammad Zoynul Abedin. (2024) Does stock return affect decomposed energy shocks differently? Evidence from a time frequency quantile-based framework. International Review of Financial Analysis, pages 103128.
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Miramir Bagirov & Cesario Mateus. (2024) A Survey of Literature on the Interlinkage between Petroleum Prices and Equity Markets. Journal of Risk and Financial Management 17:1, pages 40.
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Isiaka Akande Raifu & Sebil Olalekan Oshota. (2022) Re-examining oil price-stock market returns nexus in Nigeria using a two-stage Markov regime switching approach. International Journal of Energy Sector Management 17:3, pages 489-509.
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Miramir Bagirov & Cesario Mateus. (2023) Understanding interlinkages between petroleum prices and equity markets: A comprehensive survey of empirical evidence. SSRN Electronic Journal.
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Mohammad Enamul Hoque & Soo-Wah Low. (2022) Impact of Industry-Specific Risk Factors on Stock Returns of the Malaysian Oil and Gas Industry in a Structural Break Environment. Mathematics 10:2, pages 199.
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Anastasios G. Malliaris & Mary Malliaris. (2021) What Microeconomic Fundamentals Drove Global Oil Prices during 1986–2020?. Journal of Risk and Financial Management 14:8, pages 391.
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Ling Lin, Zhongbao Zhou, Yong Jiang & Yangchen Ou. (2021) Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?. The North American Journal of Economics and Finance 57, pages 101398.
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Yong Jiang, Gang-Jin Wang, Chaoqun Ma & Xiaoguang Yang. (2021) Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model. International Review of Economics & Finance 72, pages 1-15.
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Renren Liu, Jianzhong Chen & Fenghua Wen. (2021) The nonlinear effect of oil price shocks on financial stress: Evidence from China. The North American Journal of Economics and Finance 55, pages 101317.
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Diego Escobari & Shahil Sharma. (2020) Explaining the nonlinear response of stock markets to oil price shocks. Energy 213, pages 118778.
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Elif Akay Toparlı, Abdurrahman Nazif Çatık & Mehmet Balcılar. (2019) The impact of oil prices on the stock returns in Turkey: A TVP-VAR approach. Physica A: Statistical Mechanics and its Applications 535, pages 122392.
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Manel Youssef & Khaled Mokni. (2019) Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?. Economies 7:3, pages 70.
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Mohammad Enamul Hoque & Mohd Azlan Shah Zaidi. (2018) The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives. International Journal of Finance & Economics 24:2, pages 991-1016.
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Shupei Huang, Haizhong An, Xuan Huang & Yue Wang. (2018) Do all sectors respond to oil price shocks simultaneously?. Applied Energy 227, pages 393-402.
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Muhammad Ali Nasir, Sabih Abass Rizvi & Matteo Rossi. (2017) A Treatise on Oil Price Shocks and their Implications for the UK Financial Sector: Analysis Based on Time‐Varying Structural VAR Model. The Manchester School 86:5, pages 586-621.
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Syed Abul Basher, Alfred A. Haug & Perry Sadorsky. (2018) The impact of oil-market shocks on stock returns in major oil-exporting countries. Journal of International Money and Finance 86, pages 264-280.
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