ما در مورد قیمت نفت و بازده سهام چه می دانیم؟ What do we know about oil prices and stock returns?

1. Introduction Three-to-four decades ago the only thing we really understood about the oil market was its role in contributing to recessions in the United States (see Hamilton, 1983). In the period since, a large literature has emerged that studies the effect of oil price changes on a range of macroeconomic variables (see e.g. Bachmeier, 2008; Cunado & Perez de Garcia, 2005; Hamilton, 2003; Lee & Chiu, 2011a, 2011b; Lee, Lee, & Ning, 2017). Beginning with Jones and Kaul (1996), who found that oil prices had a negative association with stock returns in Canada, Japan, the United Kingdom and United States, a subset of this literature has examined how changes in oil prices influence stock returns. The 2008 surge in oil prices, when, for the first time in history, oil prices reached the US$100 per barrel mark, ignited massive interest in oil market research.1 The oil price concern, coupled with the almost simultaneous onset of the global financial crisis (GFC), focused attention on global financial systems (Gkanoutas-Levantis & Nesvetailova, 2015). A specific point of focus was on how the GFC affected the manner in which oil prices influence stock market returns (see, among others, Balcilar, Gupta, & Miller, 2015; Mollick & Assefa, 2013; Mohaddes & Pesaran, 2017; Tsai, 2015). The last decade, in particular, has seen a proliferation in studies examining various aspects of this relationship. In Energy Economics, alone, there have been almost 70 articles published since 2008 on the relationship between oil markets and stock markets.2 This survey primarily focuses on studies published since the 2008 oil price crisis. We do so for three reasons: first, most of the important studies on the topic have been published in the last decade; second, the oil price crisis increased volatility in oil prices, which provided motivation for empirical studies; and third, as a practical matter, we had to keep the survey manageable. Given the large volume of studies on the interaction between oil prices and stock returns, we thought it important to focus on the most important research. We follow Narayan and Phan (2018), in their survey of Islamic finance research, and primarily focus on journals ranked A or above in the Australian Business Deans Council (ABDC) journal rankings as a filter on journal quality.3 There are dual reasons for adopting this approach. One is that it recognises quality matters and the other is that articles appearing in lower ranked journals constitute, in large part, applications of methods developed and published in the higher ranked journals.4 Our focus journals were the leading journals in energy economics (Energy Economics, Energy Journal, Energy Policy, Resource and Energy Economics, Applied Energy), important finance journals that regularly publish research on energy finance (Emerging Markets Review, International Review of Financial Analysis, Journal of Banking and Finance, Journal of Behavioral Finance, Journal of International Financial Markets Institutions and Money, Journal of International Money and Finance, Pacific Basin Finance Journal) and important general economics journals that regularly publish research on energy finance (Applied Economics, Economic Modelling). We searched each of these journals for relevant studies published since 2008. In addition, we did more general searches using the major databases, such as EconLit, to identify relevant articles published in other journals since 2008. This process garnered a large volume of studies. Following this, we identified further important articles published before 2008 and, in a few cases, in lower ranked journals from an initial reading of the articles we had collected. Overall, we identified well in excess of 100 studies concerned with various aspects of how oil prices influence stock returns, with the biggest share of these, and many of the seminal articles, appearing in Energy Economics. Our review includes studies either published, or in press but available electronically, up to the end of 2017.