Publication Type
Journal Article
Version
acceptedVersion
Publication Date
7-2022
Abstract
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 anomalies. In contrast, oil supply shocks and oil-specific demand shocks have little impact. Similar results are also found in the industry analysis. Interestingly, the link between aggregate demand shocks and anomalies is the strongest among firms with either small size or high idiosyncratic risks. The documented effects are robust after controlling for investor sentiment as well as several well-known macroeconomic or market factors. Our findings are consistent with but also extend the sentiment-based explanation in that we show that uncertainty also plays a role in explaining stock market anomalies.
Keywords
aggregate demand shocks, investor sentiment, oil supply shocks, oil-specific shocks, stock market anomalies
Discipline
Finance | Finance and Financial Management
Research Areas
Finance
Publication
Financial Management
Volume
51
Issue
2
First Page
573
Last Page
612
ISSN
0046-3892
Identifier
10.1111/fima.12377
Publisher
Wiley
Embargo Period
9-3-2022
Citation
ZHU, Zhaobo; SUN, Licheng; Jun TU; and JI, Qiang.
Oil price shocks and stock market anomalies. (2022). Financial Management. 51, (2), 573-612.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/6875
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1111/fima.12377