Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea

Energy Economics

Volumn 33, Issue 5, 2011, Pages 975-986

  Masih, Rumi ^a   Peters, Sanjay ^b   De Mello, Lurion ^c  

^a JP Morgan Chase & Co   (United States)

^b IESE BUSINESS SCHOOL   (Spain)

^c MACQUARIE UNIVERSITY   (Australia)

Author keywords

Emerging markets; Generalized variance decompositions; Impulse response functions; Industrial production; Oil price shocks; Real stock price

Indexed keywords

EMERGING MARKETS; GENERALIZED VARIANCE; IMPULSE RESPONSE FUNCTIONS; INDUSTRIAL PRODUCTION; OIL PRICE SHOCKS; STOCK PRICE;

COMMERCE; CRUDE OIL; DECOMPOSITION; ECONOMICS; IMPULSE RESPONSE; PUBLIC POLICY; RISK MANAGEMENT; STRUCTURAL ANALYSIS; TIME SERIES;

COSTS;

CRUDE OIL; DECOMPOSITION ANALYSIS; ECONOMIC ACTIVITY; ECONOMIC IMPACT; ENERGY POLICY; ERROR CORRECTION; FINANCIAL CRISIS; INDUSTRIAL PRODUCTION; MARKET CONDITIONS; PRICE DYNAMICS; RISK ASSESSMENT; TIME SERIES ANALYSIS;

SOUTH KOREA;

EID: 80052144225     PISSN: 01409883     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eneco.2011.03.015     Document Type: Article

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