Review paper

Do oil price asymmetric effects on the stock market persist in multiple time horizons?

Volume: 185, Pages: 1799 - 1808
Published: Jan 1, 2017
Abstract
The oil price could exert asymmetric effects on the stock market. Does this effect persist in various time horizons? To answer this multiscale puzzle, we combine the wavelet transform and the vector autoregression model to examine the dynamic relations between the oil price increase or decrease and stock returns at various time horizons. This paper finds evidence that for each time horizon, both the oil price increase and decrease have...
Paper Details
Title
Do oil price asymmetric effects on the stock market persist in multiple time horizons?
Published Date
Jan 1, 2017
Volume
185
Pages
1799 - 1808
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