chapter  22
16 Pages

Oil and stock prices

WithPerry Sadorsky

The literature on the relationship between oil prices and stock prices has grown rapidly over the past 20 years. The purpose of this chapter is to provide a survey of the important developments in this literature. The chapter first presents the conceptual framework for how and why oil prices impact stock prices. Then the main empirical approaches and methods are highlighted. These empirical approaches include multi-factor models, VARS, SVARS, switching models, copulas, and wavelets. The chapter concludes with some suggestions for future research.