Broadstock, David C.; Wang, Rui; Zhang, Dayong - In: Economic Systems 38 (2014) 3, pp. 451-467
We attempt to consolidate (at least in part) the vast literature on oil shocks and stock returns by decomposing the influence of oil shocks into two channels of effect: ‘direct’ and ‘indirect’. Using a simple empirical asset pricing model, it is shown that oil shocks can affect stocks...