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Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics

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posted on 2023-08-30, 19:07 authored by Rangan Gupta, Xin Sheng, Christian Pierdzioch, Qiang Ji
We analyse the impact of oil supply, global economic activity, oil-specific consumption demand, and oil-inventory demand shocks on equity-market tail risks of a panel of 48 developed and emerging economies over the monthly period from 1975:01 to 2017:12. We find that, oil supply, global economic activity, and oil-inventory demand shocks reduce tail risks, but oil-specific consumption demand shock increases tail risks, with these effects stronger in oil-exporting economies. Our results have important implications for investors and policymakers.

History

Refereed

  • Yes

Volume

58

Page range

101515

Publication title

Research in International Business and Finance

ISSN

0275-5319

Publisher

Elsevier

File version

  • Accepted version

Language

  • eng

Legacy posted date

2021-10-04

Legacy creation date

2021-10-04

Legacy Faculty/School/Department

Faculty of Business & Law

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