کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1139941 | 956704 | 2011 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
The impact of oil price shocks on stock market activities: Asymmetric effect with quantile regression
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
سایر رشته های مهندسی
کنترل و سیستم های مهندسی
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چکیده انگلیسی
This paper examines the impact of changes in real oil prices on the real stock returns of G7 countries. In addition to investigating the asymmetric effect of oil price shocks on stock returns, we also examine the effect of the performances of stock markets themselves, which are relevant to firms’ strategies in the future. Although the responses of stock markets to oil price shocks are diverse among G7 countries, we present the inconsistent reflections of stock markets based on their performances. In many cases, quantile regression estimates are quite different from OLS models. These results carry crucial implications for the linkage between oil and stock markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 81, Issue 9, May 2011, Pages 1910–1920
Journal: Mathematics and Computers in Simulation - Volume 81, Issue 9, May 2011, Pages 1910–1920
نویسندگان
Chien-Chiang Lee, Jhih-Hong Zeng,