The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries

22 Pages Posted: 19 Jan 2016

See all articles by Andrea Bastianin

Andrea Bastianin

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS); Università degli Studi di Milano-Bicocca - Center for European Studies (CefES)

Francesca Conti

Fondazione Eni Enrico Mattei (FEEM)

Matteo Manera

University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS); Fondazione Eni Enrico Mattei (FEEM), Milan, Italy

Date Written: October 2015

Abstract

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks. On the contrary, demand shocks impact significantly on the variability of the G7 stock markets.

Keywords: Volatility, Oil Price Shocks, Oil Price, Stock Prices, Structural VAR

JEL Classification: C32, C58, E44, Q41, Q43

Suggested Citation

Bastianin, Andrea and Conti, Francesca and Manera, Matteo, The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries (October 2015). FEEM Working Paper No. 99.2015. Available at SSRN: https://ssrn.com/abstract=2718048 or http://dx.doi.org/10.2139/ssrn.2718048

Andrea Bastianin

Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) ( email )

Piazza dell'Ateneo Nuovo, 1
Milan, 20126
Italy

Università degli Studi di Milano-Bicocca - Center for European Studies (CefES)

U6 Building
Viale Piero e Alberto Pirelli, 22
Milano, 20126
Italy

Francesca Conti

Fondazione Eni Enrico Mattei (FEEM)

C.so Magenta 63
Milano, 20123
Italy

Matteo Manera (Contact Author)

University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) ( email )

Via Bicocca degli Arcimboldi, 8
Milan, 20126
Italy
+39 02 6448 5819 (Phone)
+39 02 6448 5878 (Fax)

HOME PAGE: http://www.matteomanera.it

Fondazione Eni Enrico Mattei (FEEM), Milan, Italy ( email )

Corso Magenta, 63
Milan, 20123
Italy
+39 02 520 36944 (Phone)

HOME PAGE: http://www.feem.it

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