How do oil supply and demand shocks affect Asian stock markets?

Wee Koh

    Research output: Contribution to journalArticle

    Abstract

    This paper examines how oil market shocks affect Asian stock prices using the structural vector autoregression (VAR) approach. Global oil supply and demand shocks are disentangled using sign restrictions and elasticity bounds. Oil price increases are bad news only if the source is from oil-market-specific demand shifts. Northeast Asian stock markets are more resilient as investors' expectation of continued economic growth outweighs the adverse effect of higher oil prices. Increased global economic activity also stimulates stock prices. Global oil shocks are more important in explaining variability in Asian stock returns compared with the United States, suggesting different dynamics in Asia.
    Original languageEnglish
    Pages (from-to)1-18
    JournalMacroeconomics and Finance in Emerging Market Economies
    Volume10
    Issue number1
    DOIs
    Publication statusPublished - 2017

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