Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2018.1426472
The nexus between oil prices and stock prices of oil, technology and transportation companies under multiple regime shifts
Komeil Shaeri
; Department of Banking and Finance, Eastern mediterranean University, Famagusta, turkey
Salih Katircioğlu
orcid.org/0000-0001-5108-9461
; Department of Banking and Finance, Eastern mediterranean University, Famagusta, turkey
Sažetak
This study investigates the interaction between crude oil prices and
the stock prices of oil, technology and transportation companies listed
on U.S. stock exchanges, using weekly data covering the period from
2 January 1990 to 3 February 2015. Considering the importance of
regime shifts or structural breaks in econometric analysis, this study
employs the Carrion-i-Silvestre, Kim, and Perron unit root tests and the
Maki cointegration tests, allowing for multiple breaks. Cointegration
results confirm the existence of long-run equilibrium relationships
between these stock indices, crude oil prices, short-term interest
rates and the S&P 500. These findings indicate that crude oil prices
and the other explanatory variables are long-run determinants of
the stock prices of oil, technology and transportation firms. Stock
prices of oil companies are positively affected by crude oil prices to
a greater degree than that of technology and transportation stocks.
Time-varying causality results show that West Texas Intermediate
crude oil (WTI) is relatively more likely to affect the stock prices of
these companies rather than to be affected by them. Evidently, it is
confirmed that financial crises have a substantial ability to intensify
the causal linkages between WTI and the stock indices of these
companies.
Ključne riječi
Crude oil prices; stock prices; structural breaks; breakpoint regression; time-varying causality
Hrčak ID:
206070
URI
Datum izdavanja:
3.12.2018.
Posjeta: 1.388 *