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
Date Written: 2017
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
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