Oil news shocks and the US stock market
Z Alsalman, AM Herrera, SK Rangaraju - Energy Economics, 2023 - Elsevier
We study the effect of oil news shocks on US aggregate and industry-level stock returns.
Using a Proxy-VAR and a sample from January 1973 to December 2019, we find no
significant effect on aggregate stock price index on impact, but a persistent and significant
drop at longer horizons. An important degree of heterogeneity is found in the industry-level
responses: stock returns for precious metals, coal, petroleum and natural gas, and utilities
increase significantly and persistently after the shock, whereas consumer goods, rubber and …
Using a Proxy-VAR and a sample from January 1973 to December 2019, we find no
significant effect on aggregate stock price index on impact, but a persistent and significant
drop at longer horizons. An important degree of heterogeneity is found in the industry-level
responses: stock returns for precious metals, coal, petroleum and natural gas, and utilities
increase significantly and persistently after the shock, whereas consumer goods, rubber and …
Oil News Shocks and the US Stock Market
AM Herrera, ZN Alsalman… - Available at SSRN …, 2023 - papers.ssrn.com
We study the effect of oil news shocks on US aggregate and industry-level stock returns.
Using a Proxy-VAR and a sample from January 1973 to December 2019, we find no
significant effect on aggregate stock price index on impact, but a persistent and significant
drop at longer horizons. An important degree of heterogeneity is found in the industry-level
responses: stock returns for precious metals, coal, petroleum and natural gas, and utilities
increase significantly and persistently after the shock, whereas consumer goods, rubber and …
Using a Proxy-VAR and a sample from January 1973 to December 2019, we find no
significant effect on aggregate stock price index on impact, but a persistent and significant
drop at longer horizons. An important degree of heterogeneity is found in the industry-level
responses: stock returns for precious metals, coal, petroleum and natural gas, and utilities
increase significantly and persistently after the shock, whereas consumer goods, rubber and …
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