FEEM working papers "Note di lavoro" series
2015 .099

The Impacts of Oil Price Shocks on Stock Market Volatility: Evidence from the G7 Countries


Authors: Andrea Bastianin, Francesca Conti, Matteo Manera
Series: Energy: Resources and Markets  
Editor: Matteo Manera
Type: Journal
Keywords: Volatility, Oil Price Shocks, Oil Price, Stock Prices, Structural VAR
JEL n.: C32, C58, E44, Q41, Q43
JEL: Energy Policy
Pages: Vol. 98, Pages 160–169
Date: 11/2016

Abstract

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility. We show that stock market volatility does not respond to oil supply shocks. On the contrary, demand shocks impact significantly on the variability of the G7 stock markets.

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Suggested citation: Andrea Bastianin, Francesca Conti, Matteo Manera, The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries, Energy Policy, Volume 98, November 2016, Pages 160-169, ISSN 0301-4215, http://dx.doi.org/10.1016/j.enpol.2016.08.020
 

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