Campus Only Senior Thesis
Bachelor of Arts
© 2012 Matthew Joseph Varghese
This paper attempts to assess the impact of price fluctuations in oil resulting from worldwide oil supply shocks on the real returns of the U.S. stock market, specifically the S&P 500, during the period of 1986 to 2011. While much past research has found an inverse relationship to exist between simply oil price increases and stock market returns, not many studies have been conducted that focus on the effects of shifts in oil supply. The model utilized, a variation of that used by Hamilton (2008), determines that changes in oil prices arising from oil supply shocks one quarter prior (t-1) and one year prior (t-4) have an effect on real stock returns. However, an F-test assessing the joint impact of the explanatory variables is unable to reject the null hypothesis that the joint effects of changes in oil prices arising from supply shocks have zero effect on the returns of the stock market.
Varghese, Matthew Joseph, "The Effects of Oil Supply Shocks on U.S. Stock Market Returns" (2012). CMC Senior Theses. 312.
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