Oil and the stock markets

• 成果类型: Article
• 署名作者: Jones, CM; Kaul, G
• 署名单位: University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329368
• 发表日期: 1996
• 页码: 463-491
• 关键词: EXPECTED RETURNS; real activity; predictability; RISK

摘要

We test whether the reaction of international stock markets to oil shocks can be justified by current and future changes in real cash flows and/or changes in expected returns. We find that in the postwar period, the reaction of United States and Canadian stock prices to oil shocks can be completely accounted for by the impact of these shocks on real cash flows alone. In contrast, in both the United Kingdom and Japan, innovations in oil prices appear to cause larger changes in stock prices than can be justified by subsequent changes in real cash flows or by changing expected returns.