東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

The Impact of Oil Supply Shocks on S...

Liu, Jingjing.

Linked to FindBook

Google Book

Amazon

博客來

The Impact of Oil Supply Shocks on S&P 500 Return from 1975 to 2019.

Record Type:	Electronic resources : Monograph/item
Title/Author:	The Impact of Oil Supply Shocks on S&P 500 Return from 1975 to 2019./
Author:	Liu, Jingjing.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2020,
Description:	29 p.
Notes:	Source: Masters Abstracts International, Volume: 82-06.
Contained By:	Masters Abstracts International82-06.
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28256134
ISBN:	9798557002912

The Impact of Oil Supply Shocks on S&P 500 Return from 1975 to 2019.
Liu, Jingjing.

The Impact of Oil Supply Shocks on S&P 500 Return from 1975 to 2019. - Ann Arbor : ProQuest Dissertations & Theses, 2020 - 29 p.

Source: Masters Abstracts International, Volume: 82-06.

Thesis (M.A.)--California State University, Fullerton, 2020.

This item must not be sold to any third party vendors.

The thesis investigates the impact of oil supply shocks on the real S&P composite return from 1975 to 2019, using multivariate VAR (vector auto-regression) approach with three sample periods. The objective of the study is to illustrate the impact of oil supply shocks on the S&P composite returns while distinguishing the origins. Impulse response functions (IRF) and forecast error variance decomposition (FEVD) are used to interpret the empirical results. We find that, the impact of foreign and domestic oil supply on S&P real return varies over time. From 1975 to 2007, foreign oil supply shock explained a larger percentage of the variations in the S&P composite return than domestic oil supply shock did. In the era after the Great Recession, the domestic oil supply become more impactful than the foreign oil supply on the variation in U.S. stock returns, as foreign oil production shocks explain 3.8% while domestic oil supply shocks explain about 6% of the variation in the S&P 500 real return. We also notice that, the stock return has become more sensitive to oil price shocks over the past decade. This might be a reflection of the country's new role as a first-tier oil producer in the global market now.

ISBN: 9798557002912Subjects--Index Terms:

FEVD

The Impact of Oil Supply Shocks on S&P 500 Return from 1975 to 2019.
LDR:02311nmm a2200361 4500 001 2276219
005 20210427130841.5
008 220723s2020 ||||||||||||||||| ||eng d
020 $a 9798557002912
035 $a (MiAaPQ)AAI28256134
035 $a AAI28256134
040 $a MiAaPQ $c MiAaPQ
100 1 $a Liu, Jingjing. $3 1679605
245 1 4 $a The Impact of Oil Supply Shocks on S&P 500 Return from 1975 to 2019.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2020
300 $a 29 p.
500 $a Source: Masters Abstracts International, Volume: 82-06.
500 $a Advisor: Best, Gabriela.
502 $a Thesis (M.A.)--California State University, Fullerton, 2020.
506 $a This item must not be sold to any third party vendors.
520 $a The thesis investigates the impact of oil supply shocks on the real S&P composite return from 1975 to 2019, using multivariate VAR (vector auto-regression) approach with three sample periods. The objective of the study is to illustrate the impact of oil supply shocks on the S&P composite returns while distinguishing the origins. Impulse response functions (IRF) and forecast error variance decomposition (FEVD) are used to interpret the empirical results. We find that, the impact of foreign and domestic oil supply on S&P real return varies over time. From 1975 to 2007, foreign oil supply shock explained a larger percentage of the variations in the S&P composite return than domestic oil supply shock did. In the era after the Great Recession, the domestic oil supply become more impactful than the foreign oil supply on the variation in U.S. stock returns, as foreign oil production shocks explain 3.8% while domestic oil supply shocks explain about 6% of the variation in the S&P 500 real return. We also notice that, the stock return has become more sensitive to oil price shocks over the past decade. This might be a reflection of the country's new role as a first-tier oil producer in the global market now.
590 $a School code: 6060.
653 $a FEVD
653 $a IRF
653 $a Oil supply
653 $a S&P composite return
653 $a Shale Revolution
653 $a VAR
690 $a 0501
710 2 $a California State University, Fullerton. $b Economics. $3 3282596
773 0 $t Masters Abstracts International $g 82-06.
790 $a 6060
791 $a M.A.
792 $a 2020
793 $a English
856 4 0 $u https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=28256134