Oil price shocks and stock market anomalies

• Main Authors: ZHU, Zhaobo, SUN, Licheng, Jun TU, JI, Qiang
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: aggregate demand shocks; investor sentiment; oil supply shocks; oil-specific shocks; stock market anomalies; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/6875; https://ink.library.smu.edu.sg/context/lkcsb_research/article/7874/viewcontent/Oil_price_shocks_and_stock_market_anomalies_av.pdf
• Institution: Singapore Management University

This paper provides a novel perspective to the nexus of oil prices and stock markets by examining the impact of oil price shocks on stock market anomalies. After decomposing oil price shocks into three types , we find that aggregate demand shocks have the strongest influence on stock market anomalie...