Oil Price Shocks and American Depositary Receipt Stock Returns

Research in International Business and Finance, DOI/10.1016/j.ribaf.2017.07.040, Forthcoming

48 Pages Posted: 28 Jul 2017

See all articles by Shahil Sharma

Shahil Sharma

Texas A&M University (TAMU) - San Antonio

Date Written: 2017

Abstract

In this paper we examine the impact of oil price shocks on twelve countries American Depositary Receipt (ADR) returns using monthly data from 1999.01 to 2014.12. The results show that oil price shocks have a positive and statistically significant impact on ADR return in all twelve countries. These results are robust to the inclusion of other explanatory variables such as oil price volatility and the spillover of the United States stock market. Further analysis shows that this effect is stronger in the post financial crisis time period compared to the pre-financial crisis time period.

Keywords: Oil Price Shocks, ADR Returns, Financial Crisis, Oil Price Volatility

JEL Classification: F30, G12, G15, Q43

Suggested Citation

Sharma, Shahil, Oil Price Shocks and American Depositary Receipt Stock Returns (2017). Research in International Business and Finance, DOI/10.1016/j.ribaf.2017.07.040, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3002092

Shahil Sharma (Contact Author)

Texas A&M University (TAMU) - San Antonio ( email )

One University Way
San Antonio, TX 78224
United States

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