Essays On The Effects Of Oil Price Shocks On The U.s. Stock Returns

<p>This research investigates the effect of changes in oil prices and oil price volatility on the U.S. stock returns. The first essay tests whether the sign and the size of oil price shocks matter for the U.S. stock returns. The results suggest a linear model provides a good approximation to the response of real stock returns to real oil price innovations. However, this is not the case when the model is specified in terms of the nominal price of crude oil.Using a modified structural VAR to accommodate GARCH-in-Mean errors, the second essay studies the direct effects of oil price uncertainty on the U.S. stock returns at the aggregate and sectoral levels. We also simulate the response of U.S. stock returns to positive and negative oil price shocks, to examine whether the responses to positive and negative shocks are symmetric.Estimation results suggest that there is no statistically significant effect of oil price volatility on the U.S. stock returns. Moreover, the impulse responses indicate that oil price increases and decreases have symmetric effects on the U.S. stock returns. Using high frequency data, thethird essay addresses the issue of uncertainty in oil prices and its effect on U.S. stock returns, taking into account the day of the week effect. The results suggest that the-day-of-the-week effect is present in both the mean and volatility equations. The results also show that the U.S. stock market is sensitive to oil price variations not only at the aggregate level but also across some industries, such as chemicals, entertainment, and retail, where uncertainty in oil prices proves to have positive and statistically significant effect.</p>

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Open Access Dissertation

Discipline thesis:degree_discipline

Economics

Year dc:date.available

2013

Author dc:creator

• Alsalman, Zeina Nashaat

Contributors dc:contributor

• Ana Maria Herrera

• Economics
• Oil, Gas, and Energy

Repository record dc:identifier

https://digitalcommons.wayne.edu/oa_dissertations/828

OAI identifier oai:identifier

oai:digitalcommons.wayne.edu:oa_dissertations-1827