The Impact of Oil Price Shocks on the U.S. Stock Market: A Note on the Roles of U.S. And Non-U.S. Oil Production

19 Pages Posted: 22 Oct 2015

See all articles by Wensheng Kang

Wensheng Kang

Ronald A. Ratti

Western Sydney University - Department of Economics & Finance

Joaquin Vespignani

University of Tasmania - School of Economics and Finance

Date Written: 2015-09-01

Abstract

Kilian and Park (IER 50 (2009), 1267–1287) find shocks to oil supply are relatively unimportant to understanding changes in U.S. stock returns. We examine the impact of both U.S. and non-U.S. oil supply shocks on stock returns in light of the unprecedented expansion in U.S. oil production since 2009. Our results underscore the importance of the disaggregation of world oil supply and of the recent extraordinary surge in the U.S. oil production for analysing impact on U.S. stock prices. We also show that stock returns respond very differently at the industrial level to non-U.S. and U.S. oil supply shocks.

JEL Classification: E44, G12, Q43

Suggested Citation

Kang, Wensheng and Ratti, Ronald A. and Vespignani, Joaquin, The Impact of Oil Price Shocks on the U.S. Stock Market: A Note on the Roles of U.S. And Non-U.S. Oil Production (2015-09-01). Globalization and Monetary Policy Institute Working Paper No. 249, Available at SSRN: https://ssrn.com/abstract=2677103 or http://dx.doi.org/10.24149/gwp249

Ronald A. Ratti

Western Sydney University - Department of Economics & Finance ( email )

Sydney, NSW 1797
Australia

Joaquin Vespignani

University of Tasmania - School of Economics and Finance ( email )

Commerce Building,
Sandy Bay Campus
Sandy Bay, TAS, Tasmania 7005
Australia

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