University of Hull logo

U.S. stocks in the presence of oil price risk: Large cap vs. small cap

Swaray, Raymond; Salisu, Afees Adebare; Oloko, Tirimisiyu

Authors

Dr Raymond Swaray R.Swaray@hull.ac.uk
Senior Lecturer (Associate Professor) in Economics

Afees Salisu

Tirimisiyu Oloko



Contributors

Afees Salisu
Other

Tirimisiyu F. Oloko
Other

Abstract

This study queries the act of making generalization about the dynamics of returns and volatility spillovers between oil price and U.S. stocks by merely considering only large cap stocks. It argues that this kind of generalization may be misleading, as the reactions of large cap, mid cap and small cap stocks to change in oil prices are not expected to be uniform. Our findings show that it is incorrect to make such generalization when considering oil risk/volatility spillovers from oil to U.S. stock, as evidence shows that oil price volatility impacts more on mid cap and small cap than large cap.

Journal Article Type Article
Publication Date 2017-12
Electronic ISSN 2254-4380
Peer Reviewed Peer Reviewed
Volume 6
Issue 4
Pages 116-124
DOI https://doi.org/10.17811/ebl.6.4.2017.116-124
Publisher URL https://www.unioviedo.es/reunido/index.php/EBL/article/view/12376
Copyright Statement © Ediuno. Ediciones de la Universidad de Oviedo / Oviedo University Press

The works are published in the online edition of the journal under a Creative Commons Attribution-Non Commercial-Non Derives 3.0 Spain (legal text). You can copy, use, distribute, transmit and publicly display, provided that: i) you cite the author and the original source of publication (journal, publisher and URL of the work), ii) they are not used for commercial purposes, iii) mentions the existence and specifications of this license.

Files

Article (297 Kb)
PDF

Copyright Statement
© Ediuno. Ediciones de la Universidad de Oviedo / Oviedo University Press

The works are published in the online edition of the journal under a Creative Commons Attribution-Non Commercial-Non Derives 3.0 Spain (legal text). You can copy, use, distribute, transmit and publicly display, provided that: i) you cite the author and the original source of publication (journal, publisher and URL of the work), ii) they are not used for commercial purposes, iii) mentions the existence and specifications of this license.



You might also like


Downloadable Citations