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

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

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.

Citation

Swaray, R., Salisu, A. A., & Oloko, T. (2017). U.S. stocks in the presence of oil price risk: Large cap vs. small cap. Economics and business letters, 6(4), 116-124. https://doi.org/10.17811/ebl.6.4.2017.116-124

• Journal Article Type: Article
• Acceptance Date: Mar 8, 2018
• Online Publication Date: Mar 18, 2018
• Publication Date: 2017-12
• Deposit Date: Aug 13, 2018
• Publicly Available Date: Aug 13, 2018
• 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
• Public URL: https://hull-repository.worktribe.com/output/764910
• Publisher URL: https://www.unioviedo.es/reunido/index.php/EBL/article/view/12376