Do oil price asymmetric effects on the stock market persist in multiple time horizons?

详细信息    查看全文

• 作者：Shupei Huang ; Haizhong An ; ^{ahz369@163.com} ; Xiangyun Gao ; Xiaoqi Sun
• 关键词：Oil price ; Stock ; Asymmetric effects ; Multiscale
• 刊名：Applied Energy
• 出版年：2017
• 出版时间：1 January 2017
• 年：2017
• 卷：185
• 期：part_P2
• 页码：1799-1808
• 全文大小：660 K
• 卷排序：185

文摘

There are no asymmetric effects of oil prices on stock return across the multiscale. Oil price increase and decrease both have significant influence on stock returns. The effect on stock returns of oil price changes is greater than the exchange rate. The responses of the stock market to the oil price changes increase in the long term.