Oil price shocks and American depositary receipt stock returns

摘要

Highlights•We examine the impact of oil price shocks on twelve countries ADR returns.•The results show that oil price shocks have a positive and significant impact on ADR returns in all twelve countries.•The results are robust to the inclusion of other explanatory variables such as oil price volatility and the spillover effect from the U.S. stock market.•These results are stronger in the post financial crisis time period compared to the pre financial crisis time period.AbstractIn 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.