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New insights into the US stock market reactions to energy price shocks

Abstract : This paper investigates the relationship between S&P 500 prices, viewed as a US economic barometer, and a set of energy prices, including WTI, gasoline, heating, diesel and natural gas prices, using the Quantile Autoregressive Distributed Lags (QARDL) model recently developed by Cho et al. (2015). The empirical results show a negative long-and short-run relationship between WTI crude oil and Henry Hub natural gas prices on the one side and S&P 500 stock prices on the other side, only for medium and high quantiles. The findings of Wald tests indicate a nonlinear and asymmetric pass-through from energy price shocks to aggregate US stock market prices. These results show that crude oil and natural gas are key economic variables to explain short run and long run stock market dynamics. They provide further insights into how energy price shocks are transmitted to stock market prices.
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https://hal-audencia.archives-ouvertes.fr/hal-01876918
Contributor : Ramzi Benkraiem <>
Submitted on : Wednesday, September 19, 2018 - 9:15:52 AM
Last modification on : Wednesday, April 1, 2020 - 1:50:19 AM

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Ramzi Benkraiem, Amine Lahiani, Anthony Miloudi, Shahbaz Muhammad. New insights into the US stock market reactions to energy price shocks. Journal of International Financial Markets, Institutions and Money, Elsevier, 2018, 56 (september), pp.169-187. ⟨10.1016/j.intfin.2018.02.004⟩. ⟨hal-01876918⟩

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