Linkages between oil price shocks and stock returns revisited (Energy Economics forthcoming)

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When last checked on July 16, 2019, this study was forthcoming in the journal Energy Economics.



Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Firmin Doko Tchatoka, Virginie Masson, Sean Parry Linkages between oil price shocks and stock returns revisited Energy Economics forthcoming - - C01, C14, C31, G15 Oil prices, Stock returns, Quantile regression

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
- - - Quantile regression - 1988:1–2016:12 USA, China, Japan, India, Canada, Russia, Norway, Malaysia, Philippines, Thailand, 5 other countries -

This article is a replication of

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Nicholas Sim, Hongtao Zhou Oil prices, US stock return, and the dependence between their quantiles J Banking & Finance 2015 55 1-8 G10, C01, C14, G14 Oil prices, Stock return, Local linear regression, Quantile regression 2 - wide sense (new data) 2 - different results - 1 - yes -

References

DOI: 10.1016/j.eneco.2018.02.016 IDEAS: p/adl/wpaper/2018-01.html EconPapers: RePEc:adl:wpaper:2018-01


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