Oil and stock returns

dc.contributor.author	Δεγιαννάκης, Σταύρος	el
dc.contributor.author	Φίλης, Γεώργιος	el
dc.contributor.author	Φλώρος, Χρήστος	el
dc.date.accessioned	2015-05-17T22:20:50Z
dc.date.available	2015-05-17T22:20:50Z
dc.date.issued	2015-05-18
dc.identifier.uri	http://hdl.handle.net/11400/10640
dc.rights	Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ηνωμένες Πολιτείες	*
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/3.0/us/	*
dc.source	http://www.sciencedirect.com/science/article/pii/S104244311300036X#	el
dc.subject	Diag-VECH GARCH
dc.subject	Dynamic correlation
dc.subject	Δυναμική συσχέτιση
dc.subject	Multivariate heteroskedastic framework
dc.subject	Πολυπαραγοντικό ετεροσκεδαστικό πλαίσιο
dc.subject	Oil price returns
dc.subject	Η τιμή του πετρελαίου επιστρέφει
dc.subject	Oil price shocks
dc.subject	Διαταραχές των τιμών του πετρελαίου
dc.subject	Stock market sectors
dc.subject	Τομείς της χρηματιστηριακής αγοράς
dc.title	Oil and stock returns	en
heal.type	journalArticle
heal.secondaryTitle	evidence from european industrial sector indices in a time-varying environment	en
heal.classification	Environmental sciences
heal.classification	Finance
heal.classification	Περιβαλλοντικές επιστήμες
heal.classification	Οικονομία
heal.classificationURI	http://id.loc.gov/authorities/subjects/sh92004048
heal.classificationURI	http://id.loc.gov/authorities/subjects/sh2007010582
heal.classificationURI	N/A-Περιβαλλοντικές επιστήμες
heal.classificationURI	N/A-Οικονομία
heal.identifier.secondary	doi:10.1016/j.intfin.2013.05.007
heal.language	el
heal.access	campus
heal.recordProvider	Τεχνολογικό Εκπαιδευτικό Ίδρυμα Αθήνας. Σχολή Διοίκησης και Οικονομίας. Τμήμα Διοίκησης Επιχειρήσεων. Κατεύθυνση Διοίκηση Επιχειρήσεων	el
heal.publicationDate	2013-10
heal.bibliographicCitation	Degiannakis, S., Filis, G. and Floros, C. (2013). Oil and stock returns: evidence from european industrial sector indices in a time-varying environment. "Journal of International Financial Markets, Institutions and Money", vol. 26, October 2013. pp. 175-181. Available from: http://www.sciencedirect.com/science/article/pii/S104244311300036X#. [Accessed 20/06/2013]	en
heal.abstract	The time-varying correlation between oil prices returns and European industrial sector indices returns, considering the origin of the oil price shock, is investigated. A time-varying multivariate heteroskedastic framework is employed to test the above hypothesis based on data from 10 European sectors. The contemporaneous correlations suggest that the relationship between sector indices and oil prices change over time and they are industry specific. In addition, the supply-side oil price shocks result in low to moderate positive correlation levels, the precautionary demand oil price shocks lead to almost zero correlation levels, whereas the aggregate demand oil price shocks generate significant changes in the correlation levels (either positive or negative). Both the origin of the oil price shock and the type of industry are important determinants of the correlation level between industrial sectors’ returns and oil prices. Prominent among the results is the fact that during the financial crisis of 2008 some sectors were providing diversification opportunities to investors dealing with the crude oil market.	en
heal.journalName	Journal of International Financial Markets, Institutions and Money	en
heal.journalType	peer-reviewed
heal.fullTextAvailability	true