Oil Prices and the Stock Markets: Evidence from High Frequency Data

The Energy Journal, Forthcoming

30 Pages Posted: 3 Apr 2019

See all articles by Sajjadur Rahman

Sajjadur Rahman

Texas A&M University

Apostolos Serletis

University of Calgary - Department of Economics

Date Written: March 11, 2019

Abstract

We use the highest frequency data that have ever been studied before to investigate the relationship between the price of oil and stock market returns. In the context of a bivariate (identified using heteroscedasticity in daily data) structural VAR in stock market returns and the change in the price of oil, we find evidence that positive oil price shocks have negative and statistically significant effects on stock market returns. Our results are robust to the use of different types of market returns, including aggregate and disaggregate U.S. market returns, aggregate and disaggregate U.S. excess returns, returns of the energy sector, returns of the major oil and gas companies, and global, eurozone, and some country specific stock market returns. They are also robust to the use of weekly data.

Keywords: Oil Price Shocks; Heteroscedasticity; VAR Model

JEL Classification: C32; E32; E52

Suggested Citation

Rahman, Sajjadur and Serletis, Apostolos, Oil Prices and the Stock Markets: Evidence from High Frequency Data (March 11, 2019). The Energy Journal, Forthcoming. Available at SSRN: https://ssrn.com/abstract=3351322 or http://dx.doi.org/10.2139/ssrn.3351322

Sajjadur Rahman

Texas A&M University

Langford Building A
798 Ross St.
College Station, TX 77843-3137
United States

Apostolos Serletis (Contact Author)

University of Calgary - Department of Economics ( email )

2500 University Drive, NW
Calgary, Alberta T2N 1N4
Canada
403 220-4091 (Phone)
403 282-5262 (Fax)

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