Stock market volatility and oil shocks: A study of G7 economies

IF 7.5 1区经济学 Q1 BUSINESS, FINANCE

International Review of Financial Analysis Pub Date : 2025-04-01 DOI:10.1016/j.irfa.2025.104218

Javier Patricio Cadena-Silva , José Ángel Sanz Lara , José Miguel Rodríguez Fernández

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引用次数: 0

Abstract

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.

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股市波动和石油冲击：七国集团经济研究

多年来，石油危机造成了经济衰退，影响到各个市场，尤其是股票市场。本研究的目的是分析2014年石油危机背景下，全球石油价格指数变量和与供应、经济活动、需求和库存相关的冲击如何影响G7国家股票市场指数的波动和动态。利用2003年1月至2023年9月的月度数据，采用向量自回归（VAR）和广义自回归条件异方差（GARCH）模型相结合的方法来捕捉平均和条件波动动态，并辅以指数GARCH （EGARCH）模型来检测不对称。结果表明，石油冲击对股指波动有显著影响，其中加拿大、日本和英国表现出较高的敏感性，尤其是在2014年石油冲击期间和之后。负面冲击对波动性的影响大于正面冲击。因此，有必要采取缓解极端波动和减少经济不确定性的经济政策。此外，对于依赖石油的经济体，如加拿大，需要减少它们对油价波动的脆弱性。本研究提供了石油冲击对七国集团股票市场波动性和动态的影响的全面理解，为政策制定和未来的研究提供了有价值的启示。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Review of Financial Analysis BUSINESS, FINANCE-

CiteScore

10.30

自引率

9.80%

发文量

366

期刊介绍： The International Review of Financial Analysis (IRFA) is an impartial refereed journal designed to serve as a platform for high-quality financial research. It welcomes a diverse range of financial research topics and maintains an unbiased selection process. While not limited to U.S.-centric subjects, IRFA, as its title suggests, is open to valuable research contributions from around the world.