Nonlinear effects of oil shocks on stock returns: a Markov-switching approach
Year: 2008
Type: article
Abstract: Using Markov-switching models, we investigate whether oil price shocks have nonlinear effects on stock returns. Empirical evidence from a set of international stock indexes suggests that an increase in oil prices has a negative and significant impact on stock prices in one state of the economy, whereas this effect is significantly dampened in another state of the economy. Furthermore, it is shown that changes in oil prices or in oil price volatility do not lead to a higher probability of switching between regimes.
Source: Applied Economics
Author: Juan C. Reboredo
Institution: Universidade de Santiago de Compostela
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1971900541