Disaggregated oil shocks and stock-market tail risks : evidence from a panel of 48 economics
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Sheng, Xin | |
| dc.contributor.author | Pierdzioch, Christian | |
| dc.contributor.author | Ji, Qiang | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2022-01-19T09:23:02Z | |
| dc.date.issued | 2021-12 | |
| dc.description.abstract | 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. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2023-01-17 | |
| dc.description.librarian | hj2022 | en_ZA |
| dc.description.sponsorship | The National Natural Science Foundation of China | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/ribaf | en_ZA |
| dc.identifier.citation | Gupta, R., Sheng, X., Pierdzioch, C. & Ji, Q. 2021, 'Disaggregated oil shocks and stock-market tail risks: Evidence from a panel of 48 economics', Research in International Business and Finance, vol. 58, art. 101515, pp. 1-10. | en_ZA |
| dc.identifier.issn | 0275-5319 | |
| dc.identifier.other | 10.1016/j.ribaf.2021.101515 | |
| dc.identifier.uri | http://hdl.handle.net/2263/83394 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2021 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Research in International Business and Finance, vol. 58, art. 101515, pp. 1-10, 2021. doi : 10.1016/j.ribaf.2021.101515. | en_ZA |
| dc.subject | Oil shocks | en_ZA |
| dc.subject | Tail risks | en_ZA |
| dc.subject | International stock markets | en_ZA |
| dc.subject | Local projection model | en_ZA |
| dc.subject | Impulse response functions | en_ZA |
| dc.title | Disaggregated oil shocks and stock-market tail risks : evidence from a panel of 48 economics | en_ZA |
| dc.type | Postprint Article | en_ZA |