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

Research in International Business and Finance, ISSN: 0275-5319, Vol: 58, Page: 101515
2021
  • 15
    Citations
  • 0
    Usage
  • 14
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    15
    • Citation Indexes
      15
  • Captures
    14

Article Description

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.

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