quantile dependence of oil price movements and stock returns we examine the impact of quantile and interquantile oil price movements on different stock return quantiles by testing the hypothesis of equality in conditional and unconditional quantile distribution functions of stock returns we capture quantile dependence under different stock market conditions while taking into account different kinds of oil price movements by computing unconditional and conditional stock return quantiles through marginal models for stock returns and copula functions for oil stock dependence analyzing stock return data for three developed economies the us the uk and the european monetary union and the five brics countries brazil russia india china and south africa for 2000 to 2014 our results indicate that 1 the impact of extreme upward and downward oil price changes on upper and lower stock price quantiles was much smaller before compared to after crisis onset 2 the downside spillover effects were larger than the upside spillover effects for most countries before crisis onset and for all countries after crisis onset and 3 small positive and negative oil price movements had no impact on any stock return quantiles neither before nor after crisis onset

a profile of new venture success and failure in an emerging industry abstract this study examined three types of factors 1 the characteristics of the lead entrepreneur 2 startup processes undertaken during the founding of the firm and 3 firm behaviors after start up including management practices and strategic behaviors associated with new venture success and failure the research involved a field study of 26 small young firms 13 successful and 13 less successful or failed each engaged in the distribution of fresh juices in eight metropolitan centers about 30 of the total market in the united states both quantitative and qualitative data were collected through field work at each firm location a statistical analysis of data collected in a structured questionnaire was the primary method for testing the factors case studies of all of the firms were developed to provide qualitative support for the quantitative findings of the study results from these analyses indicated significant differences between successful and unsuccessful firms in all three categories lead entrepreneurs in successful firms were more likely to have been raised by entrepreneurial parents have had a broader business and more prior startup experience and believed they had less control of their success in business than unsuccessful entrepreneurs successful entrepreneurs seek to reduce risk in their businesses they work long hours have a personal investment in the firm and are good communicators successful firms were those initiated with ambitious goals lead entrepreneurs had a clear broad business idea which provided the adaptive torque required to overcome adversity confrontation and often a troubled financial condition effective startup or purchase required broad planning efforts that considered all aspects of the industry and firm successful firms spent more time planning 237 hours than unsuccessful firms 85 hours the use of outside professionals and advisors for help in solving specific problems during startup was important for success as well as the advice and information provided by other industry participants particularly customers and suppliers most ventures did not have written business plans nearly all purchased firms failed buyers of competitively troubled firms were negatively displaced generally unemployed managers who lacked broad management experience and while often well educated had no prior experience in purchasing a business successful firms were found to be more flexible participative and adaptive organizations these firms had employees who could perform the work duties of others and were likely to be managed in a way that provided these workers with the flexibility to modify their jobs to adapt to changing industry and organizational conditions lead entrepreneurs of successful firms were likely to spend more time communicating with partners customers suppliers and employees than the lead entrepreneurs of unsuccessful firms successful firms sought to become larger firms and embarked upon sales to broad sectors of the market successful firms achieved high market shares with market shares came higher financial returns less successful firms were restricted to narrow market sectors consisting of smaller customers and those more difficult to service while customer service remained an important concern the commodity nature of fresh juices failed to support differentiation and the narrowly focused firm was typified by high product costs and unprofitable operations

the impact of crude oil prices on financial market indicators copula approach abstract oil price changes have varying impacts on the financial indicators of global markets and economies this study aims to explore the dependence structure between crude oil prices and stock market indices as well as the exchange rates in a number of economies categorized with respect to their status as developing emerging markets and oil importer exporter countries dependence structures in this study are evaluated in considerable depth using copula models the broad time period covered allows the investigation of the effect of global financial crisis on the mentioned dependence structure an additional feature of this study is the inclusion of 1 to 30 day analysis to capture the variation of dependence on duration change to serve these aims as well as arima and garch models various copula measures are used to illustrate the level of the association additionally a special focus on the turkish case is given to illustrate its sensitivity to oil prices we find that exchange rates and stock indices of most oil exporter countries show higher oil price dependency whereas emerging oil importer markets are less vulnerable to price fluctuations considerable impacts were found for the global crisis and the continuing recent sharp decrease in oil prices

measuring the incentives to learn in colombia using new quantile regression approaches abstract this paper employs newly developed quantile regression techniques to investigate a policy that could differentially affect students performance the colombian vouchers were assigned using lotteries and were renewable as long as the students maintained satisfactory academic progress this second aspect of the program may provide incentives for low attainment students to work harder the evidence supports the hypothesis that incentives could account for the impact of the vouchers including lower repetition rate the effect of the vouchers is largest in the lower tail of the educational attainment distribution a possibility that was conjectured by others but has not yet been confirmed empirically the evidence suggests that the incentive effect of the program increases weak students test scores by at least 0 1 standard deviations roughly the score gain associated to a half year of school learning

does crude oil price play an important role in explaining stock return behavior abstract employing the ms arji gjr garch x model in which the parameters for the jump process the asymmetric garch effect and the impacts of oil price shocks are regime dependent this paper analyzes the impact of crude oil price shock on stock return dynamics empirical results reveal three interesting findings first incorporating the asymmetric garch effect and the oil price shock can substantially improve fitting ability second the garch and jump components show very different behaviors during turbulent and stable periods third the effects of current and past oil price shocks differ the conditional mean mean of jump size and variance of jump size immediately respond to a current oil price shock a one period lagged oil price shock no matter whether positive or negative can affect the transition probability that the stock market will remain conditional in the next period moreover the effects of lagged positive and negative shocks on transition probabilities are very different

measuring contagion between energy market and stock market during financial crisis a copula approach abstract in this paper we apply time varying copulas to investigate whether a contagion effect existed between energy and stock markets during the recent financial crisis using the wti oil spot price the s p500 index the shanghai stock market composite index and the shenzhen stock market component index returns evidence was found for a significantly increasing dependence between crude oil and stock markets after the failure of lehman brothers thus supporting the existence of contagion in the sense of forbes and rigobon s 2002 definition moreover increased tail dependence and symmetry characterize all the paired markets this indicates that significant increases in tail dependence are an actual dimension of the contagion phenomenon and that crude oil and stock prices are linked to the same degree regardless of whether markets are booming or crashing during the sample period finally the contagion effect is found to be much weaker for china than the us the empirical results have potentially important implications for risk management

how do u s stock returns respond differently to oil price shocks pre crisis within the financial crisis and post crisis abstract we use a long time series of daily data for 682 firms over a period from january 1990 to december 2012 each firm includes 5 772 daily observations our sample involves a total of 3 936 504 observations to investigate how u s stock returns respond differently to oil price shocks prior to during and after a financial crisis we provide evidence that u s stock returns in turn respond positively to the changes in oil prices during and after such a crisis we use firm level data to find that positive and negative oil price shocks have asymmetric effects on stock returns during the crisis and after the crisis then we examine whether the effect of an oil price shock on stock returns varies across oil intensive industries within the crisis and post crisis our results indicate that stock returns in response to oil price shocks across industries are heterogeneous and the stock returns of some energy intensive manufacturing industries respond more positively to oil price shocks compared with less energy intensive manufacturing industries we use total assets total revenue and the number of employees as proxy variables to measure each firm s size and then examine whether oil price shocks affect stock returns differently across firm sizes we find that big firms are the most strongly and negatively influenced by an oil price shock prior to the crisis on the other hand our results indicate that an oil price shock in the post financial crisis period is positively amplified in the case of medium sized firms

impacts of oil implied volatility shocks on stock implied volatility in china empirical evidence from a quantile regression approach abstract this paper investigates the impacts of changes in the implied volatility index of the oil market ovx on the changes in the implied volatility index of the chinese stock market vxfxi a quantile regression approach is applied to our empirical analysis as this approach can perform a more detailed investigation under different market conditions moreover we test whether the vxfxi changes would respond with lags and asymmetry to the ovx changes our empirical results show that the impacts of the ovx changes on the vxfxi changes are positive and tend to be stronger in bearish markets furthermore the results of testing lagged effects reveal that strong linkages between the two variables are transient in different market conditions which don t support the gradual information diffusion hypothesis very well finally we find that the ovx changes can asymmetrically affect the vxfxi changes specifically the negative ovx changes have stronger effects under bullish market conditions while the positive ovx changes play a more important role during bearish periods

oil price shocks economic policy uncertainty and industry stock returns in china asymmetric effects with quantile regression abstract this paper investigates the impact of crude oil shocks and china s economic policy uncertainty on stock returns at different locations on the return distributions based on monthly data from 1995 1 to 2016 3 we address this issue by employing the quantile regression technique this approach enables a more detailed investigation in different market circumstances namely bearish normal and bullish markets empirical results indicate that the effects of oil price shocks and economic policy uncertainty are asymmetric and highly related to stock market conditions moreover both the nexus of oil and economic policy uncertainty stock are changed at the onset of a crisis specially rising oil prices have greater negative effects on stock returns when stock markets are bullish extreme higher quantiles before a crisis whereas the effects are significantly positive under different market conditions after the onset of the crisis falling oil prices lower stock returns when stock markets are bullish and normal before the crisis whereas lower stock returns under different market conditions except extreme bullish after the onset of the crisis these findings might be related to the optimistic or pessimistic investor sentiments and investors might become more frightened after the crisis

oil price shocks policy uncertainty and stock returns of oil and gas corporations abstract this paper investigates the effects of oil price shocks and economic policy uncertainty on the stock returns of oil and gas companies we find that an oil demand side shock has a positive effect on the return of oil and gas companies on average whereas shocks to policy uncertainty have a negative effect on the return historical decomposition shows that the effects of oil shocks on the stock return are amplified by the endogenous policy uncertainty responses these results are consistent with those for major integrated oil and gas companies the return responses however show heterogeneous effects of structural shocks on upstream midstream and downstream oil and gas companies suggesting that a well diversified portfolio is obtainable

the effects of economic policy uncertainty on china s economy evidence from time varying parameter favar this article explores the effects of china s economic policy uncertainty epu on its fiscal policy monetary policy and a wide range of macro economic variables using a time varying parameter fava

oil prices and mena stock markets new evidence from nonlinear and asymmetric causalities during and after the crisis period this article investigates the potential of nonlinear causal relationships between world oil prices and stock markets in middle east and north africa mena countries during a black swan period that is characterized by rarity and devastating impacts our study is carried out using the daily data for 11 mena countries over the period from 2 july 2007 to 27 august 2012 by using the nonlinear and asymmetric causality test of kyrtsou and labys 2006 we mainly find that i the oil prices and mena stock markets interact in a nonlinear manner ii the signs of changes in the causing variables are important for detecting the true causality links between the variables and iii the nonlinear causality is more pronounced in the case of the brent than west texas intermediate oil prices

modeling systemic risk and dependence structure between oil and stock markets using a variational mode decomposition based copula method abstract this study combines the variational mode decomposition vmd method and static and time varying symmetric and asymmetric copula functions to examine the dependence structure between crude oil prices and major regional developed stock markets s p500 stoxx600 djpi and tsx indexes during bear normal and bull markets under different investment horizons furthermore it analyzes the upside and downside short and long run risk spillovers between oil and stock markets by quantifying three market risk measures namely the value at risk var conditional var covar and the delta covar covar the results show that there is a tail dependence between oil and all stock markets for the raw return series by considering time horizons we show that there is an average dependence between the considered markets for the short run horizons however the tail dependence is also found for the long run horizons between the oil and stock markets with the exception of the s p500 index which exhibits average dependence with the oil market moreover we find strong evidence of up and down risk asymmetric spillovers from oil to stock markets and vice versa in the short and long run horizons finally the market risk spillovers are asymmetric over the time and investment horizons

the structure and degree of dependence a quantile regression approach abstract the copula function defines the degree of dependence and the structure of dependence this paper proposes an alternative framework to decompose the dependence using quantile regression we demonstrate that the methodology provides a detailed picture of dependence including asymmetric and non linear relationships in addition changes in the degree or structure of dependence can be modeled and tested for each quantile of the distribution the empirical part applies the framework to three different sets of financial time series and demonstrates substantial differences in dependence patterns among asset classes and through time the analysis of 54 global equity markets shows that detailed information about the structure of dependence is crucial to adequately assess the benefits of diversification in normal times and crisis times

does economic policy uncertainty matter for commodity market in china evidence from quantile regression this paper investigates the effect of economic policy uncertainty epu on china s agricultural and metal commodity futures returns across quantiles we address this issue using the panel quantile

on the dynamic dependence between equity markets commodity futures and economic uncertainty indexes this paper provides a thorough analysis on multiscale dependence schemes between equity markets commodity futures and uncertainty indexes based on decomposed return series we provide an exhausti

oil prices and stock market in china a sector analysis using panel cointegration with multiple breaks this paper investigates the relationship between oil prices and the chinese stock market at the sector level in a panel cointegration and granger causality framework the major sectors in china are studied using data collected from july 2001 to december 2010 when the effects of cross sectional dependence and multiple structural breaks are taken into account the panel cointegration relationship between oil prices and stock prices is confirmed at the disaggregated sector level the results indicate that there is some evidence of structural breaks in the interaction between oil prices and chinese sectoral stocks the long run estimates suggest that the real oil price has a positive effect on sectoral stocks in the long run the granger causality tests demonstrate a unidirectional short run granger causality relationship running from oil prices and sectoral stocks to the interest rate for 2001 07 2005 10 there is also a unidirectional long run granger causality running from sectoral stocks to the interest rate for 2001 07 2005 10 and 2005 12 2007 06 however the long run granger causality is bidirectional between oil prices the interest rate and sectoral stocks for 2007 08 2008 11 and 2009 01 2010 12 meanwhile the short run granger causality is also bidirectional between the interest rate and oil prices

oil shocks and financial systemic stress international evidence abstract by conducting a structural var analysis on the financial systemic stress in 20 countries this paper provides international evidence that oil structural shocks impact not only stress in individual financial markets but also their connectedness the oil structural shocks explain a large fraction of the variation in the connectedness among various financial markets the effect of oil structural shocks on financial systemic stress is largely dependent on the origins of oil price changes and a country s net oil export position in most oil importing economies financial systemic stress is negatively impacted by supply and aggregate demand shocks and positively impacted by oil market specific demand shocks opposite patterns are detected in oil exporting economies the effects of the spillovers are asymmetrically related with market conditions during normal periods more risks are spilled over from the oil market to financial systems but during financial crises the opposite occurs in periods of financial crises and oil price collapses there is noticeable contagion between the oil market and financial systems

employment change in independent owner managed high technology firms in great britain there is a growing volume of literature that points to the potential for small technology based firms to achieve substantial employment growth as a direct consequence of such work this sector of any economy has attracted increasing attention from national and local governments concerned with finding ways of revitalising economically deprived localities and creating employment opportunities this paper provides up to date empirical evidence surrounding the ability of small high technology firms to create additional jobs in great britain in addition key founder and business characteristics are isolated which are significantly associated with employment change in growing high technology firms over the 1986 to 1992 period with respect to factors influencing these high levels of employment growth a high firm size in 1986 was found to act positively on employment growth as was a graduate level education for the key founder on the finance side firms which had access to and used a multiplicity of sources of start up finance tended to grow faster futher on the basis of our results we would suggest and recommend a government policy which at the firm level actively encourages high technology firm start ups who record higher rates of survival than firms in more conventional sectors as well as providing support for existing high technology firms who have already demonstrated the inclination and ability to grow in employment size

assessing the impact of oil returns on emerging stock markets a panel data approach for ten central and eastern european countries abstract this paper uses an international multi factor model in order to investigate the relationship between oil price risk and stock market returns for the emerging capital markets of the central and eastern european countries ceecs a panel data approach is being employed for the period covering 22 october 1999 until 23 august 2007 the oil price beta is found to be negative and statistically significant suggesting that the oil price is indeed an important factor in determining stock returns no statistically significant non linear dependency is found between market risk and emerging market stock returns or between oil price risk and returns observation of conditional models shows positive reaction of emerging stock market returns to upward movements of market returns the reaction of the stock returns to upward and downward movements of the oil market is also negative but more significant when oil prices are low

oil and the macroeconomy since world war ii all but one of the u s recessions since world war ii have been preceded typically with a lag of around three fourths of a year by a dramatic increase in the price of crude petroleum this does not mean that oil shocks caused these recessions evidence is presented however that even over the period 1948 72 this correlation is statistically significant and nonspurious supporting the proposition that oil shocks were a contributing factor in at least some of the u s recessions prior to 1972 by extension energy price increases may account for much of post opec macroeconomic performance

a study of the impact of owner s mode of entry on venture performance and management patterns abstract this study examines if firm performance and the associated patterns of management vary with the owner manager s mode of entry into the firm in owner started os buyout bo and family firms ff prior research suggests that these three types of firms differ on certain managerial characteristics but has not examined the role of the owner manager s mode of entry in determining firm performance on the one hand and its influence on the firm s management pattern on the other we collected data from 345 firms employing four to 99 employees operating in four northeastern states self reported return on assets roa annual sales business strengths competitive strategies and management practices were compared for os bo and ff firms performance was found to vary with owner s mode of entry the 227 os firms average roa was significantly higher than that of the 61 family firms and the 57 bo firms successful start up owners may have enjoyed greater profits because they assumed greater risk compared to those who opted to buy an existing venture or took over a family firm annual sales were highest for ffs second for os firms and the lowest for bos in terms of management patterns owner started firms rated themselves significantly higher on business strengths and tended to have higher self ratings for competitive strategies and operations strengths than did ffs or bos all of these differences were significant after controlling for the age and size differences among the firms indicating that mode of entry did directly impact performance as well as the management patterns examining the impact of mode of entry versus management patterns on venture performance we found that while the os mode of entry was associated with greater roa this was primarily due to the different management patterns adopted by the oss looking at annual sales the ff mode of entry was associated with higher sales and this was independent of the types of management patterns adopted by the firms a priori bos would appear to be in a better position to achieve superior performance but this was not so in this sample further analysis revealed different paths to profitability for the three entry modes for os firms high roa was associated with operating in the service and retail sectors developing a broad range of business strengths and offering competitively priced but higher quality customized products for oss roa was also enhanced by using informal and personalized management practices sales performance was greatest when oss employed trained staff for functions such as budgeting and sales for ffs roa was enhanced by broad ranging strengths but it was hurt by price and quality competitiveness mainly because on average their lower prices were not supported by a competitive cost of goods sales performance was greatest when ffs had owner managers with extensive industry experience were conservative in adding workers emphasized product customization relied on written reports but avoided long range operations planning management patterns of bos were not related to their roa but their annual sales were marginally higher when the acquiring owners had extensive industry background and employed a large workforce thus this study confirms our hypotheses that performance and management patterns vary across mode of entry as does the effectiveness of strategic management patterns further our findings concurred with previous studies which suggested that sales performance and profitability were likely to be influenced by different management actions this study demonstrates that owner s mode of entry is an important explanatory variable for variations in performance as well as management patterns venture ceos need to recognize that different management approaches may be needed for success depending upon whether they founded purchased or inherited their firms

oil price shocks and stock market returns evidence for some european countries abstract in this paper we examine the impact of oil price shocks on stock returns in 12 oil importing european economies using vector autoregressive var and vector error correction models vecm for the period 1973 02 2011 12 we propose an alternative oil price shock specification that takes into account both world oil production and world oil prices in order to disentangle oil supply and oil demand shocks we find that the response of the european real stock returns to an oil price shock may differ greatly depending on the underlying causes of the oil price change the results suggest the existence of a negative and significant impact of oil price changes on most european stock market returns furthermore we find that stock market returns are mostly driven by oil supply shocks

relationships between oil price shocks and stock market an empirical analysis from china this paper investigates the interactive relationships between oil price shocks and chinese stock market using multivariate vector auto regression oil price shocks do not show statistically significant impact on the real stock returns of most chinese stock market indices except for manufacturing index and some oil companies some important oil price shocks depress oil company stock prices increase in oil volatility may increase the speculations in mining index and petrochemicals index which raise their stock returns both the world oil price shocks and china oil price shocks can explain much more than interest rates for manufacturing index

modeling volatility and correlations between emerging market stock prices and the prices of copper oil and wheat abstract increased financial integration between countries and the financialization of commodity markets are providing investors with new ways to diversify their investment portfolios this paper uses varma agarch and dcc agarch models to model volatilities and conditional correlations between emerging market stock prices copper prices oil prices and wheat prices the dynamic conditional correlation model is found to fit the data the best and used to generate dynamic conditional correlations hedge ratios and optimal portfolio weights emerging market stock prices and oil prices display leverage effects where negative residuals tend to increase the variance conditional volatility more than positive ones correlations between these assets increased considerably after 2008 and have yet to return to their pre 2008 values on average oil provides the cheapest hedge for emerging market stock prices while copper is the most expensive but given the variability in the hedge ratios one should probably not put too much emphasis on average hedge ratios

making the most out of programme evaluations and social experiments accounting for heterogeneity in programme impacts the conventional approach to social programme evaluation focuses on estimating mean impacts of programmes yet many interesting questions regarding the political economy of programmes the distribution of programme benefits and the option values conferred on programme participants require knowledge of the distribution of impacts or features of it this paper presents evidence that heterogeneity in response to programmes is empirically important and that classical probability inequalities are not very informative in producing estimates or bounds on the distribution of programme impacts we explore two methods for supplementing the information in these inequalities based on assumptions about participant decision making processes and about the strength in dependence between outcomes in the participation and non participation states dependence is produced as a consequence of rational choice by participants we test for stochastic rationality among programme participants and present and implement methods for estimating the option values of social programmes

dynamic co movements of stock market returns implied volatility and policy uncertainty we examine time varying correlations among stock market returns implied volatility and policy uncertainty our findings suggest that correlations are indeed time varying and sensitive to oil demand shocks and us recessions

oil shocks and their impact on energy related stocks in china abstract this paper contributes to the current literature by adopting time varying conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in china after conditioning for structural instability the results show a much stronger relation following the 2008 financial crisis we argue that this reflects the fact that investors in the chinese stock market especially for energy related stocks are more sensitive to the shocks in international crude oil market

the heterogeneity dependence between crude oil price changes and industry stock market returns in china evidence from a quantile regression approach this paper explores the dependence between real crude oil price changes and chinese real industry stock market returns based on the monthly data from 1994 03 to 2014 06 we address this issue using the quantile regression approach enabling a more detailed investigation of structure and degree of dependence empirical results reveal that the reaction of market returns to crude oil is highly heterogeneous across conditional distribution of industry stock returns furthermore there is evidence that this dependence is positive and exists only in recessions or bearish markets with low expected returns the dependence at low quantiles is not limited to one market but is a common feature across industries additionally dependence also changes since the onset of structural breaks we determine that chinese industry stock and global crude oil markets have contagion in rare situations most cases do not demonstrate contagion

does the u s economic policy uncertainty connect financial markets evidence from oil and commodity currencies abstract we provide novel insight to the emerging literature on the role of u s monetary policy as a driver of a global financial cycle by examining the possible causal effect of u s economic policy uncertainty on the connectedness of crude oil and currency markets using a sample of commodity currencies from advanced and emerging nations a battery of linear and nonlinear granger based causality tests indicate the presence of a causal relationship between economic policy uncertainty and the connectedness of oil and currency markets particularly at low frequencies and more significantly after the outburst of the global financial crisis while crude oil generally serves as a net transmitter of shocks to currencies across all frequency bands the spillover effects from oil are largely concentrated towards the g10 currencies of australian and new zealand dollar that are often used as investment currencies in global carry trade strategies overall our findings suggest the presence of a significant pass through effect of economic policy uncertainty via oil prices spilling over to the currency market in line with the emerging evidence that the monetary policy by the u s fed serves as a major driver of a global financial cycle that describes patterns in global capital flows credit activity and asset prices across financial markets

how do china s petrochemical markets react to oil price jumps a comparative analysis of stocks and commodities abstract the profound impacts of oil price jumps have caught the attention of scholars because the 2008 global financial crisis has seemingly already passed the existence of oil price jumps is in doubt in this paper we provide evidence that the threat of dynamic jumps still exists in the global oil market in the post crisis period while the stocks and commodities of china s petrochemical markets are both affected by those jumps to the best of our knowledge this is the first study of the reaction of petrochemical markets to oil price jumps in the post crisis period in addition a comparative analysis of petrochemical stocks and petrochemical commodity market is provided in particular we analyze the reactions of the returns and volatility of these markets to oil price jumps we obtained the following findings first the returns of petrochemical stocks and petrochemical commodities are both negatively affected by current oil price jumps while the effects of lagged jumps on these returns are opposite theoretically the former is a reflection of panic induced by extreme risk information while the latter is a reflection of rationality in speculators second the volatilities of petrochemical stocks and petrochemical commodities respond differently to oil price jumps the former is not affected whereas the latter is positively and negatively affected by current and last oil price jumps respectively finally all the above conclusions still hold when considering the effects of normal oil price volatility even after the co movement between oil prices and petrochemical markets is eliminated

oil price shocks and stock markets in the u s and 13 european countries abstract oil price shocks have a statistically significant impact on real stock returns contemporaneously and or within the following month in the u s and 13 european countries over 1986 1 2005 12 norway as an oil exporter shows a statistically significantly positive response of real stock returns to an oil price increase the median result from variance decomposition analysis is that oil price shocks account for a statistically significant 6 of the volatility in real stock returns for many european countries but not for the u s increased volatility of oil prices significantly depresses real stock returns the contribution of oil price shocks to variability in real stock returns in the u s and most other countries is greater than that of interest rate an increase in real oil price is associated with a significant increase in the short term interest rate in the u s and eight out of 13 european countries within one or two months counter to findings for the u s and for norway there is little evidence of asymmetric effects on real stock returns of positive and negative oil price shocks for oil importing european countries

a taxonomy of new business ventures abstract in this study we develop and validate an empirically grounded taxonomy of new business ventures nbvs using qualitative and quantitative data generated from interviews of and questionnaire responses from 106 entrepreneurs the taxonomy describes eight different types gestalts of nbvs these eight types are profiled across four dimensions individual what kinds of background characteristics abilities skills and motivations do these entrepreneurs have organizational what kinds of competitive strategies and organization structures are used by nbvs environmental what kinds of competitive environments are nbvs created in process what kinds of activities are pursued and how much effort is devoted to the activities that entrepreneurs undertake to create their nbvs an nbv gestalt is an ideal type generated through cluster analysis it is a composite summary of the case descriptions of the nbvs that fell into each particular cluster although each nbv gestalt is a complex combination of many different characteristics a simplistic description of each nbv gestalt is outlined to provide an overall view of the taxonomy type 1 escaping to something new individuals who start these firms seek to escape from their previous jobs jobs that from their perspective offer few rewards in terms of salary challenging work and promotion opportunities the new venture is in a different industry and is a different type of work than the entrepreneur s previous job this firm enters an established highly competitive market and offers goods services similar to its competitors type 2 putting the deal together the concern of the entrepreneurs in this group is to assemble the different aspects of the business suppliers wholesale and retail channels customers into a deal in which each participant in the deal can be assured of winning contacts are a crucial factor type 3 roll over skills contacts before the start up the entrepreneur worked in a position using technical skills and expertise similar to those required in the new venture he or she spends little time selling marketing or advertising because customer contacts from a previous position are used this firm provides goods or services that are based on the owner s professional expertise and are usually generic services e g auditing advertising the firm competes by offering better service than competitors type 4 purchasing a firm since this is a purchase a great deal of time is spent acquiring capital for the acquisition the venture is viewed as a turn around situation from the previous owners upon acquisition a great amount of time is spent evaluating the firm s products and services the firm competes by adapting to the changing needs of customers type 5 leveraging expertise this entrepreneur is among the best in his or her technical field the firm starts with the help of partners the firm enters an established market and competes through flexibility in adapting to customer needs since the entrepreneur is keenly aware of changes in the environment a great deal of time is devoted to sales the environment is characterized by high technical change and complexity type 6 aggressive service the firm is a very aggressive service oriented firm usually a consulting firm in a very specialized area the environment requires that the entrepreneur have profes sional or technical expertise of some kind knowing the right people in this industry is very important for making sales or for gaining access to those who influence which firms have the opportunity to make sales type 7 pursuing the unique idea the firm is created because of a new idea for a product or service that is not being offered the products or services are not technically sophisticated or difficult to manufacture since this is the first firm in the marketplace to offer such products services there is some uncertainty as to whether customers can be found type 8 methodical organizing the methodical aspect of the start up is reflected in the entrepreneur s use of planning both in acquiring the skill venture the firm s products or services are similar to those of other firms but the firm has some new twist either a slightly different way to manufacture the product or provide the service or by selling to a slightly different customer the nbv taxonomy outlines a situation based framework that may be useful for helping potential entrepreneurs match their skills abilities and interests to possible new venture types

are the crude oil markets becoming weakly efficient over time a test for time varying long range dependence in prices and volatility this paper analyzes the efficiency of crude oil markets brent and west texas intermediate by means of estimating the fractal structure of these time series we test for time varying degrees of long range dependence using the rescaled range hurst analysis and find evidence that this market has become more efficient over time these results are robust for controlling for short term autocorrelation by means of a shuffling procedure

crude oil and stock markets stability instability and bubbles abstract we analyze the long run relationship between the world price of crude oil and international stock markets over 1971 1 2008 3 using a cointegrated vector error correction model with additional regressors allowing for endogenously identified breaks in the cointegrating and error correction matrices we find evidence for breaks after 1980 5 1988 1 and 1999 9 there is a clear long run relationship between these series for six oecd countries for 1971 1 1980 5 and 1988 2 1999 9 suggesting that stock market indices respond negatively to increases in the oil price in the long run during 1980 6 1988 1 we find relationships that are not statistically significantly different from either zero or from the relationships of the previous period the expected negative long run relationship appears to disintegrate after 1999 9 this finding supports a conjecture of change in the relationship between real oil price and real stock prices in the last decade compared to earlier years which may suggest the presence of several stock market bubbles and or oil price bubbles since the turn of the century

separating bric using islamic stocks and crude oil dynamic conditional correlation and volatility spillover analysis abstract this paper explores the dynamic conditional correlation and volatility linkage between islamic indexes and oil for bric countries correlations between these assets increase during the global financial crisis for india and china but not for brazil and russia the volatility error forecast variance of all five indexes comes from spillover but is much lower compared to volatility spillover between conventional indexes and oil hedging performance of islamic indexes are superior in india and china compared to conventional indexes in emerging markets an optimal minimum variance portfolio without reducing expected return can be achieved by investing in lower weights of bric islamic indexes and oil compared to conventional indexes

the effect of continental illinois failure on the financial performance of other banks abstract the fdic bailout of continental illinois creditors is justified on the grounds that continental s collapse posed a threat to the u s banking system this study examines the financial performance of large banking organizations that were vulnerable to bank runs around the time of the continental illinois failure there is little evidence to support concern about bank runs shortly after continental s bailout developments related to latin american loans did affect banks returns

correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies abstract in this paper multivariate garch models are used to model conditional correlations and to analyze the volatility spillovers between oil prices and the stock prices of clean energy companies and technology companies four different multivariate garch models bekk diagonal constant conditional correlation and dynamic conditional correlation are compared and contrasted the dynamic conditional correlation model is found to fit the data the best and generates results showing that the stock prices of clean energy companies correlate more highly with technology stock prices than with oil prices on average a 1 long position in clean energy companies can be hedged for 20 cents with a short position in the crude oil futures market

oil shocks competition and corporate investment evidence from china abstract this paper aims to investigate the impact of three classical oil shocks on the chinese corporate investment by using firm level data moreover we assess the role of product market competition in the relationship between oil shocks and corporate investment our empirical results show that oil aggregate demand and specific demand shocks negatively affect corporate investment while oil supply shocks show a positive effect notably compared to the non energy related industry the corporate investment of energy related industry is more sensitive to these oil shocks furthermore we find high competitive pressure can mitigate the impact of oil specific demand shocks on the corporate investment of energy related industry but competition presents a limited effect on the relationship between other oil shocks and corporate investment

oil price shocks stock market economic activity and employment in greece abstract using a multivariate vector autoregression var approach this paper attempts to shed light into the dynamic relationship among oil prices real stock prices interest rates real economic activity and employment for greece the empirical evidence suggests that oil price changes affect real economic activity and employment oil prices are important in explaining stock price movements stock returns do not lead to changes in real activity and employment

banks as monitors of other banks evidence from the overnight federal funds market this study provides evidence that banks are effective monitors of their peers by showing that the interest rate paid on federal funds transactions reflects differences in credit risk across borrowers in addition the size and relative importance in the funds market of the trading institutions are shown to affect the rates charged for overnight borrowing thereby providing insight into the nature of competition in the federal funds market transaction volume and size of transaction effects are uncovered as is evidence of relationship banking between banks these results are made possible by unique data identifying individual federal funds transactions copyright 2001 by university of chicago press

oil price asymmetric effects answering the puzzle in international stock markets a bstract although studies have found an asymmetric pattern in the response of aggregate output to oil price changes parallel studies in stock markets have not been conclusive about their existence this paper finds evidence that effects for oil importing and oil exporting countries run in opposite directions oil price hikes have a negative effect on the stock markets of oil importing countries while the impact is positive for the stock markets of oil exporting countries statistical tests support the presence of asymmetric effects only in oil importing countries oil price volatility has a negative impact in stock markets of oil importing countries and positive in oil exporting countries moreover oil volatility seems to be affected asymmetrically by oil price changes oil price drops increase oil volatility more than oil price hikes do overall the evidence seems to support that falls in oil prices do not impact stock markets because their positive effects are offset by negative effects of oil price volatility canceling out effects for oil importing countries

oil and the macroeconomy when prices go up and down an extension of hamilton s results in an important paper hamilton 1983 demonstrated a strong correlation between oil price changes and gross national product growth in u s data however his study pertained to a period in which all the large oil price movements were upward and thus it left unanswered the question whether the correlation persists in periods of price decline moreover the price variable he used was somewhat distorted by price controls in the 1970s this note investigates whether hamilton s results continue to hold when the sample is extended to include the recent oil market collapse and the oil price variable is corrected for the effects of price controls particular attention is given to the possibility of asymmetric responses to oil price increases and decreases as suggested in the structural employment literature loungani 1986 davis 1987 hamilton 1988 like hamilton i based my investigation on the gnp equation in sims s 1 980b six variable quarterly vector autoregressive model

investor attention and crude oil prices evidence from nonlinear granger causality tests abstract using the google search volume index gsvi to measure investor attention this paper investigates the relationships between investor attention and crude oil prices for the main crude oil markets worldwide to account for possible structural breaks and nonlinearity in the relation between investor attention and oil returns fourier unit root test and nonlinear granger causality tests are employed the empirical results suggest that the bidirectional nonlinear granger causality exists only between investor attention and wti future crude oil return however wti crude oil return granger causes investor attention weakly for dubai spot daqing spot wti spot and brent future oil markets unidirectional nonlinear granger causality runs from investor attention to oil returns which is relatively weak

islamic stocks conventional stocks and crude oil directional volatility spillover analysis in brics abstract this paper uses threshold garch tgarch and generalised forecast error variance decomposition to compute time domain and frequency domain volatility spillover the spillover technique is then applied to islamic and conventional stock indices and crude oil in brics countries brazil russia india china and south africa thus informing investors about the magnitude and speed of the volatility spillover we find that the total volatility spillover is driven mainly by a long term component accordingly these assets are suitable for investors with short and medium term investment horizons however analysis reveals that volatility spillover magnitude and speed increase substantially during the global financial crisis suggesting that investors in brazil russia and south africa with stocks in their portfolio should rebalance promptly dynamic covariance analysis shows that covariance between islamic and conventional stock index returns is the highest and exhibit a significant increase during the crisis period

oil prices and stock markets does the effect of uncertainty change over time abstract this paper investigates empirical marginal effects of uncertainty measured by conditional variance of the stock and crude oil prices on their returns using stock index prices for u s japan korea and hong kong over the period 1996 2015 a time varying parameter model with a dynamic conditional correlation dcc bivariate garch in mean specification is considered to investigate time varying marginal effects of uncertainty on the stock and crude oil returns the empirical findings show that there exist significant negative time varying effects of uncertainty on the returns over some sub periods

volatility spillovers between crude oil and chinese sectoral equity markets evidence from a frequency dynamics perspective abstract we examine the frequency dynamics of volatility spillovers between crude oil and china s stock markets in a spectral representation framework of generalized forecast error variance decomposition using sectoral stock indices data we find evidence of total volatility spillover driven mainly by short term spillovers the net spillovers of the oil market are almost all positive and dominated by short ter m components although the spillover during china s 2015 financial crisis is negative and attributable to long term components in addition there exists heterogeneity in net pairwise frequency spillovers between the oil and sectoral stock markets moreover structural breaks in volatilities appear to be a significant feature of volatility spillovers finally frequency spillovers in our system can predict future stock market volatility these results have economic implications for investors and policymakers

the evolution of new technology ventures over 20 years patterns of failure merger and survival abstract relatively few studies of entrepreneurs have examined the evolution of business ventures over a long period of time this paper summarizes the fate of 250 technology based companies founded in northern california during the 1960s the three outcomes studied are failure merger and continued operation in addition interviews with a dozen founders of firms that survived the entire 20 year period shed light on the founders own interpretations of why they succeeded by 1988 50 of the firms in the sample had failed 32 had merged or been acquired and 18 had survived as independent businesses there was a steady and occasionally sharp erosion in the number of survivors throughout the period a striking finding was that fully 78 of the surviving firms in 1988 still had one or more of the original founders in place among the factors predicting failure were product market problems such as product timing difficulties problems of product design or inappropriate distribution channels financial difficulties such as initial undercapitalization or problems with the venture capital relationship and managerial key employee problems such as imbalance in the management team or succumbing to the trappings of success the firms in the data base which were subsequently merged or acquired exhibited a number of macro and micro characteristics from a macro point of view the merger acquisition rates seem to have been lower than the national rate in the late 1960s higher in the later 1970s and similar in the 1980s from a micro point of view discernible patterns existed among acquired firms such as size and year since founding interviews with surviving founders suggested that relations between founders banking and credit problems attempted takeovers and international expansion were among the key crises that had to be overcome by the surviving firms of particular interest was the diversity of motives for founding the business reported by the survivors in addition to the desire to achieve wealth or to be independent we heard mentioned loyalty to a product or technology which would otherwise disappear and commitment to satisfying a customer group also noted were founders who indicated that their career as an entrepreneur came about primarily by accident five themes emerging from the interviews were characterized by the surviving founders as business lessons learned 1 know yourself 2 love your product 3 honor your customer 4 treat your people well and 5 keep your integrity the interviews in conjunction with the data on surviving firms are useful in expanding our understanding of the type of person that starts a business and why some start ups succeed over the long term particularly noteworthy is the number affirms who survived without ever growing larger theories of long term entrepreneurial success may need to take risk aversion into account

interdependence of oil prices and stock market indices a copula approach article i nfo article history in this paper we study the relationship between the oil price and stock market index of various countries between 1982 and 2007 we exclude oil and gas stock companies from the stock indices to remove the obvious direct linkage oil price series are converted into local currency to account for possible exchange rate effects the method of copula is used to model the general dependence between stock returns and oil price returns our findings suggest a weak dependence between oil prices and stock indices for most cases which are consistent with the results from previous studies exceptions are for the stock index returns of large oil consuming and producing countries united states and canada which are shown to have a relatively strong dependence with the oil price series the introduction of euro in 1999 altered considerably dependence between oil prices and stock returns

do structural oil market shocks affect stock prices abstract this paper investigates how explicit structural shocks that characterize the endogenous character of oil price changes affect stock market returns in a sample of eight countries australia canada france germany italy japan the united kingdom and the united states for each country the analysis proceeds in two steps first modifying the procedure of kilian kilian l forthcoming not all oil price shocks are alike disentangling demand and supply shocks in the crude oil market american economic review we employ a vector error correction or vector autoregressive model to decompose oil price changes into three components oil supply shocks global aggregate demand shocks and global oil demand shocks the last component relates to specific idiosyncratic features of the oil market such as changes in the precautionary demand concerning the uncertainty about the availability of future oil supplies second recovering the oil supply shocks global aggregate demand shocks and global oil demand shocks from the first analysis we then employ a vector autoregressive model to determine the effects of these structural shocks on the stock market returns in our sample of eight countries we find that international stock market returns do not respond in a large way to oil market shocks that is the significant effects that exist prove small in magnitude

asymmetric impacts of oil price uncertainty on chinese stock returns under different market conditions evidence from oil volatility index abstract the crude oil volatility index ovx is a direct and more accurate measure of oil price uncertainty this paper uses this kind of implied volatility index of oil prices to investigate the impacts of oil price uncertainty on the aggregate and sectoral stock returns in china this issue is resolved by using a quantile regression which can provide a more detailed examination under different market conditions meanwhile the asymmetric effects of uncertainty shocks are also examined by using the positive and negative changes of the ovx furthermore we assess whether the reform of march 27 2013 affected the ovx stock nexus since this reform was a major step to relax the control of domestic oil prices in china our results reveal that ovx changes mainly show significantly negative effects on the aggregate and sectoral stock returns in the bearish market in particular these effects depend largely on the positive shocks of the ovx rather than the negative shocks of the ovx moreover the reform of march 27 2013 decreased the impacts of the positive ovx shocks on chinese stock returns

the effects of oil price shocks on asian exchange rates evidence from quantile regression analysis abstract this paper investigates the effects of oil price shocks on asian exchange rates we employ quantile regression analysis and allow for structural breaks and asymmetry our results indicate that positive and negative oil price shocks have asymmetrical effects on exchange rate returns that vary in significance size and sign throughout the distribution of exchange rate returns the impact of oil price shocks is also affected by market conditions bearish and bullish currency markets during bullish markets in domestic currencies at lower quantiles of currency movements in terms of u s dollar exchange rates rising oil prices cause further appreciation for indonesia korea the philippines and thailand currencies during bearish markets in the domestic currencies at higher quantiles of exchange rate movements in terms of u s dollar exchange rates rising falling oil price causes further currency depreciation for indonesia malaysia thus currencies respond differently to oil price shocks under extreme bullish or bearish currency market conditions and the impact of rising or falling oil prices on foreign exchange markets can vary by country and market conditions

asymmetric effects of geopolitical risks on energy returns and volatility under different market conditions abstract based on daily data from 28 june 1990 to 31 october 2018 we investigate the asymmetric effects of geopolitical risks on energy crude oil gas and heating oil returns and volatility under different market conditions by using a quantile regression model the results show that geopolitical risks have significantly negative effects on crude oil returns in the bearish market and on heating oil returns in the normal and bullish markets but have no effects on gas returns meanwhile the impacts of geopolitical risks on crude oil volatility are significantly positive in different market conditions and the impacts on gas and heating oil volatility are mainly negative but not significant in addition we further divide geopolitical risks into geopolitical threats and geopolitical acts and find that geopolitical threats and acts have heterogeneous effects on energy returns and volatility