Understanding the Oil price-Stock market return nexus

ISBN-13: 9783639719222 / Angielski / Miękka / 2014 / 180 str.

Jammazi Rania

Opis

Recent spikes in oil prices have thrown light on how stock market may be impacted by oil price shocks. The task in this book is to try to find approaches which can explain the main basic characteristics of stock market returns and/or CO prices thereby appropriately analyze the relationship between them. This book conducts three empirical analyzes of the oil-stock relationship for five developed countries using distinct novel approaches. In the first chapter, we test for the existence of this underlying relationship based on a new wavelet approach. The second chapter assesses the impact of nonlinear oil price increases to the stock market returns in presence of structural changes using an MS-EGARCH model. In the final chapter, we combine the wavelet with a trivariate BEKK-MSG model to examine whether there exists a transmission of shocks and/or volatility from real CO changes to real stock market returns.

O autorze

Rania Jammazi is Assistant Professor of Finance at the university of Management sciences and Economics of Sousse in Tunisia. She graduated with a Doctorate from the Faculty of Management and Economic Sciences of Tunis in 2013. She has published several research papers in Energy Economics, Energy Policy and Energy the international Journal.