Stock market reaction to oil price shocks: A comparison between an oil-exporting economy and an oil-importing economy
- Authors
- Jung, H.; Park, C.
- Issue Date
- 2011
- Keywords
- Oil demand shocks; Oil prices; Oil supply shocks; Stock returns; Volatility
- Citation
- Journal of Economic Theory and Econometrics, v.22, no.3, pp.1 - 29
- Indexed
- SCOPUS
KCI
- Journal Title
- Journal of Economic Theory and Econometrics
- Volume
- 22
- Number
- 3
- Start Page
- 1
- End Page
- 29
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/114678
- ISSN
- 1229-2893
- 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.
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Collections - College of Political Science & Economics > Department of Economics > 1. Journal Articles
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