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The Impacts of the Oil Structure and the Source of Oil Shocks on the Stock Price in Different Regimes (Case Studies: Oil-Exporting and Importing Countries)

This paper studies whether the economies’ oil structure, the source of oil shocks, and the regime changes can potentially affect the stock price’s responses or not. Hence, after dividing the whole time period into two regimes (bull and bear market), and considering three different oil shocks: the global oil price, global oil demand and supply; we tried to choose the countries that are considered as the developed countries, but there are the differences among them from oil structure (being oil-exporting or importing). For this purpose, we assess the impacts of oil shocks on the stock price of Norway and Canada as two oil-exporting countries versus China and Japan as two oil-importing ones by using threshold structural vector auto regression (TSVAR) analysis, and monthly data of 1990: January-2020: April. The results show that both factor of the oil structure and the source of oil shocks are effective on the responses. In this regard, the responses of the oil-exporting countries are so considerably close to each other, and different with two oil-importing ones. All considered oil shocks have had a short-term effect, but neutral in the med and long term (except for the oil demand shocks in the bull market). Plus, the responses of the stock price to the oil shocks have been the regime-dependent, and the most responses have been more sharply in the bear market than bull market.