Διερεύνηση της σχέσης των μεταβολών στην τιμή του πετρελαίου με τις χρηματιστηριακές αποδόσεις στις ΗΠΑ

Παναγόπουλος, Αθανάσιος

Master Thesis

Author

Παναγόπουλος, Αθανάσιος

Date

2018-02

Abstract

This paper investigates the relationship between stock returns and changes in oil prices for USA. Based on the original paper of Jones and Kaul (1996), we examine whether oil shocks affect stock returns significantly or not. We also examine whether the reaction of stock returns to oil shocks can be justified by current and future changes in real cash flows and/or changes in expected returns. Our findings suggest that oil shocks have had a significant and detrimental effect on the stock market of USA. The findings also suggest that these oil shocks are correctly evaluated by the stock market. However, taking into consideration any changes in expected returns induced by oil shocks, the results are puzzling, leading us to the upshot that we cannot decide confidently whether stock market is rational or not.

Postgraduate Studies Programme

Χρηματοοικονομική και Τραπεζική με κατεύθυνση στην Χρηματοοικονομική Ανάλυση για Στελέχη

Department

Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

Number of pages

Language

Greek

URI

https://dione.lib.unipi.gr/xmlui/handle/unipi/11164

Collections

Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικής

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