THE IMPACT OF OIL PRICE UNCERTAINTY ON US STOCK RETURNS
Abstract
Oil price uncertainty has a negative and significant impact on stock returns during the period of 2003–2020 but not the earlier period of 1984–2002. The impact of stock price uncertainty on oil returns for both periods is not significant. Oil price uncertainty is important in examining stock price movement, particularly during years of financial crises. Cross-market causalities in returns and volatilities are not significant in both directions.
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