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Oil Price Shocks and the Canadian Stock Market Tan, Ruiqi; Dai, Wei

Abstract

In this paper, we use monthly data from 1992 to 2022 and a structural VAR model to investigate the effects of oil supply shocks, aggregate demand shocks, and oil-specific demand shocks in the global crude oil market on the Canadian stock market. Our analysis reveals that these shocks affect the S&P/TSX Composite Index and various sector-specific indices in different ways. Specifically, the response of the Canadian market to oil-specific demand shocks diverges notably from the U.S. market, highlighting Canada’s unique position as an oil-exporting country. In the long run, oil price shocks account for over 10% of the variation in the composite index and as much as 35% in the Energy sector index.

Item Metadata

Title
Oil Price Shocks and the Canadian Stock Market
Creator
Tan, Ruiqi; Dai, Wei
Publisher
Multidisciplinary Digital Publishing Institute
Date Issued
2024-11-18
Description
In this paper, we use monthly data from 1992 to 2022 and a structural VAR model to investigate the effects of oil supply shocks, aggregate demand shocks, and oil-specific demand shocks in the global crude oil market on the Canadian stock market. Our analysis reveals that these shocks affect the S&P/TSX Composite Index and various sector-specific indices in different ways. Specifically, the response of the Canadian market to oil-specific demand shocks diverges notably from the U.S. market, highlighting Canada’s unique position as an oil-exporting country. In the long run, oil price shocks account for over 10% of the variation in the composite index and as much as 35% in the Energy sector index.
Subject
oil price shocks; Canada; stock market; structural VAR; sectorial indices
Genre
Article
Type
Text
Language
eng
Date Available
2024-11-29
Provider
Vancouver : University of British Columbia Library
Rights
CC BY 4.0
DOI
10.14288/1.0447380
URI
http://hdl.handle.net/2429/89763
Affiliation
Arts and Social Sciences, Irving K. Barber Faculty of (Okanagan); Non UBC; Economics, Philosophy and Political Science, Department of (Okanagan)
Citation
Journal of Risk and Financial Management 17 (11): 518 (2024)
Publisher DOI
10.3390/jrfm17110518
Peer Review Status
Reviewed
Scholarly Level
Faculty; Researcher
Rights URI
https://creativecommons.org/licenses/by/4.0/
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DSpace

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CC BY 4.0