Stock market reaction to oil price shocks: A comparison between an oil-exporting economy and an oil-importing economy
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jung, H. | - |
dc.contributor.author | Park, C. | - |
dc.date.accessioned | 2021-09-07T20:44:26Z | - |
dc.date.available | 2021-09-07T20:44:26Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2011 | - |
dc.identifier.issn | 1229-2893 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/114678 | - |
dc.description.abstract | In this study, we assess the responses of aggregate stock returns and their volatility in the face of oil price shocks in the Norwegian and Korean markets. Both Norway and Korea are small open economies; the former exports oil, and the latter imports it. We determine herein that the responses of aggregate stock returns and volatility differ substantially, depending on the underlying cause of the oil price rise and depending on whether an economy exports or imports oil. Additionally, a larger portion of stock return variations in small open economies can be explained by the world crude oil market as opposed to the US market; this implies that the small open economies have more oil-dependent technology and limited access to the global financial market. Finally, the results of our analysis of the conditional covariance measure indicate that the responses of stock returns and volatility are not based on a risk-return tradeoff relationship. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.title | Stock market reaction to oil price shocks: A comparison between an oil-exporting economy and an oil-importing economy | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Park, C. | - |
dc.identifier.scopusid | 2-s2.0-80053541341 | - |
dc.identifier.bibliographicCitation | Journal of Economic Theory and Econometrics, v.22, no.3, pp.1 - 29 | - |
dc.relation.isPartOf | Journal of Economic Theory and Econometrics | - |
dc.citation.title | Journal of Economic Theory and Econometrics | - |
dc.citation.volume | 22 | - |
dc.citation.number | 3 | - |
dc.citation.startPage | 1 | - |
dc.citation.endPage | 29 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.identifier.kciid | ART001587920 | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scopus | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | Oil demand shocks | - |
dc.subject.keywordAuthor | Oil prices | - |
dc.subject.keywordAuthor | Oil supply shocks | - |
dc.subject.keywordAuthor | Stock returns | - |
dc.subject.keywordAuthor | Volatility | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.