RT info:eu-repo/semantics/article
T1 Stock market volatility and oil shocks: A study of G7 economies
A1 Cadena Silva, Javier Patricio
A1 Sanz Lara, José Ángel
A1 Rodríguez Fernández, José Miguel
K1 Oil shocks
K1 Oil price volatility
K1 VAR-GARCH model
K1 G7 economies
K1 Stock market volatility
K1 53 Ciencias Económicas
AB Oil shocks have caused economic recessions over the years, affecting various markets, especially the stock market. The objective of this study is to analyze how global oil price index variable and shocks related to supply, economic activity, demand, and inventory affect the volatility and dynamics of G7 countries' stock market indices in the context of the 2014 oil shock. Using monthly data from January 2003 to September 2023, a combined methodology of Vector AutoRegressive (VAR) and Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) models was applied to capture mean and conditional volatility dynamics, complemented with exponential GARCH (EGARCH) models to detect asymmetries. The results indicate that oil shocks have a significant impact on stock index volatility, with Canada, Japan and the UK showing high sensitivity, especially during and after the 2014 oil shock. Negative shocks affect volatility more than positive ones. Therefore, economic policies to mitigate extreme volatility and reduce economic uncertainty are necessary. Moreover, for oil-dependent economies, such as Canada, their vulnerability to oil price fluctuations needs to be reduced. This study provides a comprehensive understanding of the influence of oil shocks on the volatility and dynamics of G7 stock markets, offering valuable implications for policymaking and future research.
PB Elsevier
SN 1057-5219
YR 2025
FD 2025
LK https://uvadoc.uva.es/handle/10324/76983
UL https://uvadoc.uva.es/handle/10324/76983
LA eng
NO International Review of Financial Analysis, 2025, vol. 103, p. 104218
NO Producción Científica
DS UVaDOC
RD 12-ago-2025