Document Type

Article

Publication Date

12-2017

Abstract

In this paper we examine the impact of oil price shocks on twelve countries American Depositary Receipt (ADR) returns using monthly data from 1999.01 to 2014.12. The results show that oil price shocks have a positive and statistically significant impact on ADR return in all twelve countries. These results are robust to the inclusion of other explanatory variables such as oil price volatility and the spillover of the United States stock market. Further analysis shows that this effect is stronger in the post financial crisis time period compared to the pre-financial crisis time period.

Comments

© 2017 Elsevier B.V. All rights reserved. Original published version available at https://doi.org/10.1016/j.ribaf.2017.07.040

Publication Title

Research in International Business and Finance

DOI

10.1016/j.ribaf.2017.07.040

Included in

Finance Commons

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