Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

Abstract The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March 2020. We adopt a similar approach to Kilian (Am...

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Bibliographic Details
Main Authors: Yonghong Jiang, Gengyu Tian, Bin Mo
Format: Article
Language:English
Published: SpringerOpen 2020-12-01
Series:Financial Innovation
Subjects:
Oil supply shock
Oil aggregate demand shock
Oil specific demand shock
Stock market
Spillover effect
Quantile-on-quantile
Online Access:https://doi.org/10.1186/s40854-020-00208-y

Internet

https://doi.org/10.1186/s40854-020-00208-y

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