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- W3217576958 endingPage "102461" @default.
- W3217576958 startingPage "102461" @default.
- W3217576958 abstract "This paper examines the impact of oil price shocks on global equities. The focus is on the heterogeneity of responses to stocks depending on three characteristics: the type of the shock; whether the country is an oil importer/exporter; the bull/bear state of the stock market. We utilise the Kilian (2009) structural VAR to distil the oil price shocks and regress stock returns on these oil shocks using a quantile regression. In addition to oil price shocks, we consider the role of both economic policy uncertainty and stock market volatility. The results reveal that equity markets in oil-importing economies do not exhibit specific patterns in response to oil shocks, whereas those in oil-exporting economies are affected by precautionary oil demand shocks. Across these markets, precautionary demand shocks have a positive effect on stock markets, although for the GCC nations it predominantly impacts only during bear markets." @default.
- W3217576958 created "2021-12-06" @default.
- W3217576958 creator A5053737675 @default.
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- W3217576958 creator A5084268715 @default.
- W3217576958 date "2022-03-01" @default.
- W3217576958 modified "2023-10-16" @default.
- W3217576958 title "Oil shocks and equity returns during bull and bear markets: The case of oil importing and exporting nations" @default.
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- W3217576958 doi "https://doi.org/10.1016/j.resourpol.2021.102461" @default.
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