文章基本信息

标题：Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model
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作者：Afees A. Salisu ; Rangan Gupta ; Riza Demirer 等
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2022
卷号：15
期号：8
页码：1-26
DOI：10.3390/jrfm15080355
语种：English
出版社：MDPI, Open Access Journal
摘要：This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows us to capture the transmission of local and global shocks, while simultaneously accounting for individual-country peculiarities. Utilising a recently developed model-free, robust estimate of oil price uncertainty, we document a statistically significant and negative effect of uncertainty shocks emanating from oil prices on the large majority of global stock markets, with the adverse effect of oil price uncertainty shocks found to be stronger for emerging economies as well as net oil-exporting nations. Interestingly, however, global stock markets exhibit a great deal of heterogeneity in their recovery following oil uncertainty shocks as some experience rapid corrections in stock valuations while others suffer from extended slumps. While the results are sensitive to the oil uncertainty measure utilised, they suggest that country diversification in the face of rising oil market uncertainty can still be beneficial for global investors as global stock markets exhibit a rather heterogeneous pattern in their recovery rates against oil market shocks.
关键词：oil price uncertainty shocks;international equity markets;global vector autoregressive model