Exploring the nexus between oil prices and sectoral stock prices: Nonlinear evidence from Kuwait stock exchange

References

• Apergis, N., & Miller, S. (2009). Do structural oil - market shocks affect stock prices? Energy Economics, 31, 569–575.10.1016/j.eneco.2009.03.001
   Web of Science ®Google Scholar
• Arouri, M. (2011). Does crude oil move stock markets in Europe? A sector investigation. Economic Modelling, 28, 1716–1725.10.1016/j.econmod.2011.02.039
   Web of Science ®Google Scholar
• Arouri, M., & Nguyen, D. (2010). Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade. Energy Policy, 38, 4528–4539.10.1016/j.enpol.2010.04.007
   Web of Science ®Google Scholar
• Arouri, M., Jouini, J., & Nguyen, D. (2011). Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management. Journal of International Money and Finance, 30, 1387–1405.10.1016/j.jimonfin.2011.07.008
   Web of Science ®Google Scholar
• Arouri, M., Juini, J., & Nguyen, D. (2013). On the relationship between world oil prices and GCC stock markets. Journal of Quantitative Economics, 10, 98–120.
   Google Scholar
• Balcilar, M., & Ozdemir, Z. A. (2013). The causal nexus between oil prices and equity market in the U.S.: A regime switching model. Energy Economics, 39, 271–282.10.1016/j.eneco.2013.04.014
   Web of Science ®Google Scholar
• Bernanke, B. (2016). The relationship between stocks and oil prices. Brookings. Retrieved from https://www.brookings.edu/blog/ben-bernanke/2016/02/19/the-relationship-between-stocks-and-oil-prices/
   Google Scholar
• Blanchard, O., & Galí, J. (2007). Real wage rigidities and the new Keynesian model. Journal of Money, Credit, and Banking, 39, 35–65.10.1111/jmcb.2007.39.issue-s1
   Web of Science ®Google Scholar
• Boyer, M., & Filion, D. (2007). Common and fundamental factors in stock returns of Canadian oil and gas companies. Energy Economics, 29, 428–453.10.1016/j.eneco.2005.12.003
   Web of Science ®Google Scholar
• Broadstock, D., Cao, H., & Zhang, D. (2012). Oil shocks and their impact on energy related stocks in China. Energy Economics, 34, 1888–1895.10.1016/j.eneco.2012.08.008
   Web of Science ®Google Scholar
• Broadstock, D., & Filis, G. (2014). Oil price shocks and stock market returns: New evidence from the United States and China. Journal of International Financial Markets, Institutions and Money, 33, 417–433.10.1016/j.intfin.2014.09.007
   Web of Science ®Google Scholar
• Caporale, G., Menla Ali, F., & Spagnolo, N. (2015). Oil price uncertainty and sectoral stock returns in China: A time-varying approach. China Economic Review, 34, 311–321.10.1016/j.chieco.2014.09.008
   Web of Science ®Google Scholar
• Cong, R., Weo, Y., & Jiao, J. (2013). Relationship between oil price shocks and stock market. An empirical analysis from China. Energy Policy, 36, 3544–3553.
   Web of Science ®Google Scholar
• Degiannakis, S., Filis, G., & Floros, C. (2013). Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment. Journal of International Financial Markets, Institutions & Money, 26, 175–191.10.1016/j.intfin.2013.05.007
   Web of Science ®Google Scholar
• Demirer, R., Jategaonkar, S., & Khalifa, A. (2015). Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries. Energy Economics, 49, 132–140.10.1016/j.eneco.2015.02.010
   Web of Science ®Google Scholar
• Driesprong, G., Jacobsen, B., & Maat, B. (2008). Striking oil: Another puzzle? Journal of Financial Economics, 89, 307–327.
   Web of Science ®Google Scholar
• Elliott, G., Rothenberg, T. J., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64, 813–836.10.2307/2171846
   Web of Science ®Google Scholar
• El-Sharif, I., Brown, D., Burton, B., Nixon, B., & Russell, A. (2005). Evidence on the nature and extent of the relationship between oil prices and equity values in the UK. Energy Economics, 27, 819–830.10.1016/j.eneco.2005.09.002
   Web of Science ®Google Scholar
• Elyasiani, E., Mansur, I., & Odusami, B. (2011). Oil price shocks and industry stock returns. Energy Economics, 33, 966–974.10.1016/j.eneco.2011.03.013
   Web of Science ®Google Scholar
• Faff, R., & Brailsford, T. (1999). Oil price risk and the Australian stock market. Journal of Energy Finance and Development, 4, 69–87.10.1016/S1085-7443(99)00005-8
   Google Scholar
• Ghosh, S., & Kanjilal, K. (2014). Oil price shocks on Indian economy: Evidence from Toda Yamamoto and Markov regime-switching VAR. Macroeconomics and Finance in Emerging Market Economies, 7, 122–139.10.1080/17520843.2013.856333
   Google Scholar
• Gogineni, S. (2010). Oil and the stock market: An industry level analysis. Financial Review, 45, 995–1010.10.1111/fire.2010.45.issue-4
   Google Scholar
• Granger, C. (1988). Some recent development in a concept of causality. Journal of Econometrics, 39, 199–211.10.1016/0304-4076(88)90045-0
   Web of Science ®Google Scholar
• Hamma, W., Jarboui, A., & Ghorbel, A. (2014). Effect of oil price volatility on Tunisian stock market at sector-level and effectiveness of hedging strategy. Procedia Economics and Finance, 13, 109–127.10.1016/S2212-5671(14)00434-1
   Google Scholar
• Hammoudeh, S., & Choi, K. (2006). Behavior of GCC stock markets and impacts of US oil and financial markets. Research in International Business and Finance, 20, 22–44.10.1016/j.ribaf.2005.05.008
   Google Scholar
• Hammoudeh, S., & Li, H. (2005). Oil sensitivity and systematic risk in oil-sensitive stock indices. Journal of Economics and Business, 57, 1–21.10.1016/j.jeconbus.2004.08.002
   Google Scholar
• Hammoudeh, S., Yuan, Y., & McAleer, M. (2009). Shock and volatility spillovers among equity sectors of the Gulf Arab stock markets. The Quarterly Review of Economics and Finance, 49, 829–842.10.1016/j.qref.2009.04.004
   Google Scholar
• Herrera, A., & Pesavento, E. (2009). Oil price shocks, systematic monetary policy, and the “great moderation”. Macroeconomic Dynamics, 13, 107–137.10.1017/S1365100508070454
   Web of Science ®Google Scholar
• Huang, S., An, H., Gao, X., & Huang, X. (2015). Identifying the multiscale impacts of crude oil price shocks on the stock market in China at the sector level. Physica A: Statistical Mechanics and its Applications, 434, 13–24.10.1016/j.physa.2015.03.059
   Web of Science ®Google Scholar
• Jouini, J. (2013). Return and volatility interaction between oil prices and stock markets in Saudi Arabia. Journal of Policy Modeling, 35, 1124–1144.10.1016/j.jpolmod.2013.08.003
   Web of Science ®Google Scholar
• Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99, 1053–1069.10.1257/aer.99.3.1053
   Web of Science ®Google Scholar
• Kilian, L., & Park, C. (2009). The impact of oil price shocks on the u.s. stock market. International Economic Review, 50, 1267–1287.10.1111/iere.2009.50.issue-4
   Web of Science ®Google Scholar
• Kisswani, K., & Nusair, Salah A. (2013). Non-linearities in the dynamics of oil prices. Energy Economics, 36, 341–353.10.1016/j.eneco.2012.09.007
   Web of Science ®Google Scholar
• Lardic, S., & Mignon, V. (2008). Oil prices and economic activity: An asymmetric cointegration approach. Energy Economics, 30, 847–855.10.1016/j.eneco.2006.10.010
   Web of Science ®Google Scholar
• Lee, B., Yang, C., & Huang, B. (2012). Oil price movements and stock markets revisited: A case of sector stock price indexes in the G-7 countries. Energy Economics, 34, 1284–1300.10.1016/j.eneco.2012.06.004
   Web of Science ®Google Scholar
• Lescaroux, F., & Mignon, V. (2008). On the influence of oil prices on economic activity and other macroeconomic and financial variables. OPEC Energy Review, 32, 343–380.10.1111/opec.2008.32.issue-4
   Google Scholar
• Li, S., Zhu, H., & Yu, K. (2012). Oil prices and stock market in China: A sector analysis using panel cointegration with multiple breaks. Energy Economics, 34, 1951–1958.10.1016/j.eneco.2012.08.027
   Web of Science ®Google Scholar
• Louis, R., & Balli, F. (2014). Oil price and stock market synchronization in Gulf cooperation council countries. Emerging Markets Finance and Trade, 50, 22–51.10.2753/REE1540-496X500102
   Web of Science ®Google Scholar
• Miller, J., & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31, 559–568.10.1016/j.eneco.2009.01.009
   Web of Science ®Google Scholar
• Mohanty, S., Nandha, M., Turkistani, A., & Alaitani, M. (2011). Oil price movements and stock market returns; Evidence from Gulf cooperation council (GCC) countries. Global Finance Journal, 22, 42–55.10.1016/j.gfj.2011.05.004
   Google Scholar
• Moya-Martínez, P., Ferrer-Lapeña, R., & Escribano-Sotos, F. (2014). Oil price risk in the Spanish stock market: An industry perspective. Economic Modelling, 37, 280–290.10.1016/j.econmod.2013.11.014
   Web of Science ®Google Scholar
• Nandha, M., & Faff, R. (2008). Does oil move equity prices? A global view. Energy Economics, 30, 986–997.10.1016/j.eneco.2007.09.003
   Web of Science ®Google Scholar
• Narayan, P., Narayan, S., & Smyth, R. (2007). Are oil shocks permanent or temporary? Panel data evidence from crude oil and NGL production in 60 countries. Energy Economics, 30, 919–936.
   Web of Science ®Google Scholar
• Park, J., & Ratti, R. (2008). Oil price shocks and stock markets in the U.S. and 13 European countries. Energy Economics, 30, 2587–2608.10.1016/j.eneco.2008.04.003
   Web of Science ®Google Scholar
• Pesaran, M., Shin, Y., & Smith, R. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289–326.10.1002/(ISSN)1099-1255
   Web of Science ®Google Scholar
• Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy Economics, 23, 17–28.10.1016/S0140-9883(00)00072-4
   Web of Science ®Google Scholar
• Shin, Y., Yu, B., & Greenwood-Nimmo, M. (2011). Modelling asymmetric cointegration and dynamic multiplier in a nonlinear ARDL framework. New York, NY: Mimeo.
   Google Scholar
• Zarour, B. (2006). Wild oil prices, but brave stock markets! The case of GCC stock markets. Operational Research, 6, 145–162.10.1007/BF02941229
   Google Scholar
• Zhang, Y. (2013). The Links between the price of oil and the value of US dollar. International Journal of Energy Economics and Policy, 3, 341–351.
   Google Scholar
• Zhu, H., Su, X., Guo, Y., & Ren, Y. (2016). The asymmetric effect of oil price shocks on the Chinese stock market: Evidence from a Quantile Impulse response perspective. Sustainability, 8, 1–19.
   Web of Science ®Google Scholar