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dc.contributor.author
Malkotsi, Kalliopi
en
dc.date.accessioned
2017-04-21T07:44:28Z
dc.date.available
2017-04-22T00:00:16Z
dc.date.issued
2017-04-21
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/15250
dc.rights
Default License
dc.subject
Causality
en
dc.subject
Crude oil prices
en
dc.subject
Investors’ sentiment
en
dc.subject
Stock returns
en
dc.subject
Price earnings ratio
en
dc.subject
Bivariate and univariate approach
en
dc.subject
Tetravariate and trivariate framework
en
dc.subject
Stationarity
en
dc.title
Crude Oil Prices and the U.S. Stock Market Performance
en
heal.type
masterThesis
el
heal.keywordURI.LCSH
Petroleum products--Prices
heal.keywordURI.LCSH
Petroleum
heal.keywordURI.LCSH
Petroleum--Economic aspects
heal.keywordURI.LCSH
Stocks--Prices
heal.keywordURI.LCSH
Rate of return
heal.keywordURI.LCSH
Stock exchanges
heal.keywordURI.LCSH
Price-earnings ratio
heal.keywordURI.LCSH
Corporate profits
heal.keywordURI.LCSH
Ratio-analysis
heal.language
en
el
heal.access
free
el
heal.license
http://creativecommons.org/licenses/by-nc/4.0
el
heal.recordProvider
School of Science and Technology, MSc in Energy Management
el
heal.publicationDate
2017-04-21
heal.abstract
The following report constitutes a detailed description of the steps required for the investigation of the potential nexus between two basic variables , which are crude oil prices and stock returns , interpreted through the S&P500 Index, in the market of the USA. This unidirectional causal relationship will be further analyzed imposing two intermediate causes, which are investors’ sentiment and p rice earnings ratio. This means that the initial bivariate approach will be further expanded to a multivariate analysis of four different variables. The first part includes some tests for the verification of the order of integration, a basic precondition, as causality analysis is only valid under the assumption of stationarity. Secondly, the selected methods of causality checking will be analyzed based on both a tetravariate and a trivariate framework connecting all the associated variables. Consequently , the evaluation of the findings resulting from these methods as well as the main conclusions will be analytically presented. The substance of these findings is that strong causality linkages exist among the variables both directly and indirectly through the intermediate interaction of the auxiliary variables. However, there is not a clear result generally accepted among the available tests, as they all lead to different causality associations, some of which are significant and some not. In such a way, a completed investigation of the channels of causality among the selected variables using a causality chain technique is finally conducted.
en
heal.advisorName
Dergiades, Theologos
en
heal.committeeMemberName
Heracleous, Eleni
en
heal.committeeMemberName
Martinopoulos, Georgios
en
heal.academicPublisher
IHU
en
heal.academicPublisherID
ihu
el
heal.numberOfPages
59
el
heal.spatialCoverage
United States of America
en


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