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1. 1. The Impact of Oil Price Shocks on Stock Returns of European Industries

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jonas Von Werder; Yue Lin; [2016]
   Keywords : vector autoregressive model; oil prices; oil price volatility; asymmetric oil price effects; financial crisis;

   Abstract : Using a VAR approach, we investigate the sensitivity of European industry returns to linear oil price changes and oil price volatility for a period from January 1995 until December 2015. We show that the response to a change in the price of oil is varying across industries and across the sample period. READ MORE