Oil and the Stock Markets

J. OF FINANCE, Vol. 51 No. 2, June 1996

Posted: 10 Oct 1996

See all articles by Charles M. Jones

Charles M. Jones

Columbia Business School

Gautam Kaul

University of Michigan, Stephen M. Ross School of Business

Abstract

We test whether the reaction of international stock markets to oil shocks can be justified by current and future changes in real cash flows and/or changes in expected returns. We find that in the post-war period the reaction of U.S. and Canadian stock prices to oil shocks can be completely accounted for by the impact of these shocks on real cash flows alone. In contrast, in both the U.K. and Japan innovations in oil prices appear to cause larger changes in stock prices than can be justified by subsequent changes in real cash flows or by changing expected returns.

JEL Classification: G15

Suggested Citation

Jones, Charles M. and Kaul, Gautam, Oil and the Stock Markets. J. OF FINANCE, Vol. 51 No. 2, June 1996. Available at SSRN: https://ssrn.com/abstract=7805

Charles M. Jones

Columbia Business School ( email )

3022 Broadway
Uris Hall Rm 101
New York, NY 10027
United States
(212) 854-4109 (Phone)

HOME PAGE: http://https://www8.gsb.columbia.edu/cbs-directory/detail/cj88

Gautam Kaul (Contact Author)

University of Michigan, Stephen M. Ross School of Business ( email )

701 Tappan Street
Ann Arbor, MI MI 48109-1234
United States
734-764-9594 (Phone)
734-647-6861 (Fax)

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