The Impact Of Oil Price Shocks On Stock Market Returns: Comparing The G-7 Countries

• Main Authors: Huang-Ching Wu, 吳皇青
• Other Authors: Chin-Chia Liang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/80741031079928252198

碩士 === 大葉大學 === 管理學院碩士在職專班 === 100 === In this paper we investigate the relationship of short dynamic association between stock price and oil price and interest rates among G-7. We add oil price variables in this study an empirical study, by using of panel vector autoregression estimation model (Panel VAR), and use oil prices, stock prices and interest rates three variables of Panel Data. Monthly data are obtained from DataStream, which spanned from 2001:1 to 2010:11 are used. The impulse response function indicate that the oil price shock is positive impact on stock prices, implying that variation in stock market is explained by oil price volatility. Moreover, the results of variance decomposition analysis in the short run have shown that oil price is important factor of stock market. The results provide policy implications that can be used as guiding tools for monetary policy and investment decisions.