US stocks in the presence of oil price risk: Large cap vs. Small cap

Authors

  • Afees Adebare Salisu Centre for Econometric & Allied Research, University of Ibadan, Nigeria.
  • Raymond Swaray Economics Subject Group, University of Hull Business, University of Hull, Cottingham Road, UK.
  • Tirimisiyu Oloko Centre for Econometric & Allied Research (CEAR), University of Ibadan, Ibadan, Nigeria.

DOI:

https://doi.org/10.17811/ebl.6.4.2017.116-124

Abstract

This study queries the act of making generalization about the dynamics of returns and volatility spillovers between oil price and U.S. stocks by merely considering only large cap stocks. It argues that this kind of generalization may be misleading, as the reactions of large cap, mid cap and small cap stocks to change in oil prices are not expected to be uniform. Our findings show that it is correct to make generalization about oil-U.S. stock relationship with large cap stocks when analysing returns spillovers, but the generalization is incorrect when considering stock caps returns volatility spillovers, particularly under falling and relatively stable oil prices.

Author Biographies

Afees Adebare Salisu, Centre for Econometric & Allied Research, University of Ibadan, Nigeria.

Dr. Afees Salisu is currently a Senior Research Fellow at the Centre for Econometric and Allied Research (CEAR), University of Ibadan and specializes in macroeconomics and econometrics with special interests in energy and finance and has published same in reputable journals. He teaches applied econometrics courses at both the undergraduate and postgraduate levels and has co-authored books on Introduction to Macroeconomics and Applied Panel Data Analyses with many lecture manuals on applied time series. He has continued to serve as a training consultant to many organizations both local and regional organizations including the Central Bank of Nigeria (CBN) and the West African Institute for Financial and Economic Management (WAIFEM) and has facilitated funded projects on macro-econometric modeling and impact assessments. He is a member of the Nigerian Economic Society (NES) and African Econometric Society (AES) and has continued to serve as a reviewer to many learned journals.

Raymond Swaray, Economics Subject Group, University of Hull Business, University of Hull, Cottingham Road, UK.

Dr Raymond Swaray is Senior Lecturer (Associate Professor) in Economics specialising in applied international macroeconomics and finance with particular interest in commodity markets, energy economics, agricultural economics and applied econometrics. He is module leader of the final year econometrics module.  Raymond previously served as visiting lecturer of financial economics for the African Economic Research Consortium and as a member of International Panel of Experts for Setting Comprehensive Examinations for the Collaborative PhD Programme in Economics. He has supervised several PhD research, as main supervisor, in commodity market liberalisation and producer price dynamics; crude oil price volatility and investment; financial liberalisation and economic growth; optimal currency and East African Monetary Union; economic cycles and political budget cycles.  In addition, he has served as external and internal examination of PhD viva voce examinations in many universities in the UK. He is on the editorial board of Managerial and Decision Economics; edited reference entries in the Encyclopedia of Quality of Life and Well-Being Research (Michalos, Alex C. (Ed) in 20.  He has also written articles in newspapers in the UK and expert BBC television interview on the financial crisis.

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Published

18-03-2018

How to Cite

Salisu, A. A., Swaray, R., & Oloko, T. (2018). US stocks in the presence of oil price risk: Large cap vs. Small cap. Economics and Business Letters, 6(4), 116–124. https://doi.org/10.17811/ebl.6.4.2017.116-124

Issue

Vol. 6 No. 4 (2017): December

Section

Articles

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