1. Ktisis Cyprus University of Technology
  2. Cyprus University of Technology (Research Output)
  3. Άρθρα/Articles
Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.14279/10105
DC FieldValueLanguage
dc.contributor.authorLambertides, Neophytos-
dc.contributor.authorSavva, Christos S.-
dc.contributor.authorTsouknidis, Dimitris-
dc.date.accessioned2017-06-06T07:53:10Z-
dc.date.available2017-06-06T07:53:10Z-
dc.date.issued2017-06-01-
dc.identifier.citationJournal of International Money and Finance, 2017, vol.74, pp. 137-146en_US
dc.identifier.issn02615606-
dc.identifier.urihttps://hdl.handle.net/20.500.14279/10105-
dc.description.abstractThis paper investigates for the first time the effects of oil demand shocks and oil supply shocks on stock order flow imbalances leading to changes in stock returns. Through the estimation of a structural VAR model, positive oil demand shocks are able to explain almost 36% of the observed variation in the daily average stock order flow imbalances measured by the buy/sell trades ratio; which consequently lead to a negative rather than positive stock returns reaction. In contrast, oil supply shocks exhibit a negative and marginally significant effect on stock order flow imbalances. Our aggregate analysis suggests that positive shocks on stock order flow imbalances are negatively related to stock returns. These effects are stronger for oil-related sectors when compared with the rest of the equities sectors.en_US
dc.formatpdfen_US
dc.language.isoenen_US
dc.relation.ispartofJournal of International Money and Financeen_US
dc.rights© Elsevieren_US
dc.subjectOil price shocksen_US
dc.subjectStock order flow imbalancesen_US
dc.subjectStructural VARen_US
dc.titleThe effects of oil price shocks on U.S. stock order flow imbalances and stock returnsen_US
dc.typeArticleen_US
dc.collaborationCyprus University of Technologyen_US
dc.collaborationUniversity of Manchesteren_US
dc.subject.categoryEconomics and Businessen_US
dc.journalsSubscriptionen_US
dc.countryCyprusen_US
dc.countryUnited Kingdomen_US
dc.subject.fieldSocial Sciencesen_US
dc.publicationPeer Revieweden_US
dc.identifier.doi10.1016/j.jimonfin.2017.03.008en_US
dc.relation.volume74en_US
cut.common.academicyear2020-2021en_US
dc.identifier.spage137en_US
dc.identifier.epage146en_US
item.grantfulltextnone-
item.openairecristypehttp://purl.org/coar/resource_type/c_6501-
item.fulltextNo Fulltext-
item.languageiso639-1en-
item.cerifentitytypePublications-
item.openairetypearticle-
crisitem.journal.journalissn0261-5606-
crisitem.journal.publisherElsevier-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.deptDepartment of Finance, Accounting and Management Science-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.facultyFaculty of Tourism Management, Hospitality and Entrepreneurship-
crisitem.author.facultyFaculty of Management and Economics-
crisitem.author.orcid0000-0003-2864-1793-
crisitem.author.orcid0000-0001-6562-4816-
crisitem.author.orcid0000-0003-1866-2590-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.author.parentorgFaculty of Management and Economics-
crisitem.author.parentorgFaculty of Management and Economics-
Appears in Collections:Άρθρα/Articles
CORE Recommender
Show simple item record

SCOPUSTM   
Citations

13
checked on Nov 9, 2023

WEB OF SCIENCETM
Citations

13
Last Week
0
Last month
0
checked on Oct 29, 2023

Page view(s) 20

515
Last Week
1
Last month
11
checked on Dec 22, 2024

Google ScholarTM

Check

Altmetric


Items in KTISIS are protected by copyright, with all rights reserved, unless otherwise indicated.