Do higher oil prices push the stock market into bear territory?
Resource
Energy Economics, 32(2), 490-495
Journal
Energy Economics
Journal Volume
32
Journal Issue
2
Pages
490-495
Date Issued
2010
Author(s)
Abstract
This paper investigates whether a higher oil price pushes the stock market into bear territory, by using time-varying transition-probability Markov-switching models. It examines different measures of oil price shocks. Empirical evidence from monthly returns on the Standard & Poor's S&P 500 price index suggests that an increase in oil prices leads to a higher probability of a bear market emerging. © 2009 Elsevier B.V. All rights reserved.
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Type
journal article
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