ABSTRACT
Oil is an important source of energy worldwide, and it has played a prominent role in the economy. In the seminal work of (Hamilton 1983), he showed that oil price increase was responsible for almost every post-World War II US recession, and a large number of researchers have focused on the relationships between oil prices and economic activity. (Jones and Kaul 1996) examined the impact of oil prices on stock returns, and they found that the change of oil prices did impact aggregate stock returns for Canada, the United States (US), the United Kingdom (UK) and Japan. (Huang, Masulis and Stoll 1996) adopt a vector autoregressive (VAR) model to identify the relationship between oil futures prices and aggregate stock returns of US.
