The Impact of Oil Price Shocks on the US Stock Market: A Note on the Roles of US and Non-US Oil Production

12 Pages Posted: 12 Jun 2016 Last revised: 16 Jun 2016

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: June 9, 2016

Abstract

Kilian and Park (IER 50 (2009), 1267-287) 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 U.S. 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. A positive U.S. oil supply shock has a positive impact on U.S. real stock returns. Oil demand and supply shocks are of comparable importance in explaining U.S. real stock returns when supply shocks from U.S. and non-U.S. oil production are identified.

Keywords: Oil prices, Stock returns, U.S. oil production

JEL Classification: E44, G12, Q43

Suggested Citation

Kang, Wensheng and Ratti, Ronald A. and Vespignani, Joaquin, The Impact of Oil Price Shocks on the US Stock Market: A Note on the Roles of US and Non-US Oil Production (June 9, 2016). CAMA Working Paper No. 33/2016 , Available at SSRN: https://ssrn.com/abstract=2793615 or http://dx.doi.org/10.2139/ssrn.2793615

Ronald A. Ratti

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

Sydney, NSW 1797
Australia

Joaquin Vespignani (Contact Author)

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

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

No contact information is available for Wensheng Kang

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