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Title: Oil price and the U.S. stock market: a change in the long-run relation
Authors: Mardini, Patrick 
Ali, Nabil Al
Affiliations: Department of Economics 
Keywords: Oil prices
Structural Change
Subjects: Stocks
Issue Date: 2016
Part of: Review of business research
Volume: 16
Issue: 2
Start page: 15
End page: 24
This paper shows that oil price and the U.S. stock market are associated in a long-run relationship. However, this linkage has the ability to reverse itself, and the regime prevailing after the structural change is not transitory—it may last a decade or more. A novel time series representing the number of barrels of oil needed to purchase the S&P500 is generated. Unit root tests and the cointegrating regression identify the presence of a structural change in the data occurring during the Asian crisis. Results suggest that new oil supply dynamics and a switch in the demand metrics would perform radical changes to the way stock markets and oil prices interact.
Type: Journal Article
Appears in Collections:Department of Economics

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