Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries

Financial Innovation

Table 1 Descriptive statistics of oil price shocks and stock returns

	Mean	Median	Min	Max	SD	Skewness	Kurtosis	JB	ADF
Supply shock	− 0.001	0.018	− 2.684	2.713	0.848	− 0.008	3.905	8.662**	− 15.894***
Aggregate demand shock	0.028	0.034	− 4.778	3.072	1.052	− 0.314	5.024	38.717***	− 15.719***
Specific demand shock	0.048	0.127	− 5.181	2.276	0.955	− 0.855	5.819	70.946***	− 15.264***
CAC 40	0.000	0.008	− 0.192	0.126	0.052	− 0.691	4.116	33.379***	− 13.914***
DAX 30	0.003	0.075	− 1.019	0.464	0.275	− 1.510	5.367	155.825***	− 14.115***
FTSE MIB	− 0.000	0.007	− 0.149	0.083	0.040	− 0.792	4.089	39.101***	− 15.067***
N 225	− 0.002	0.002	− 0.222	0.341	0.070	0.224	5.621	74.849***	− 18.048***
FTSE 100	0.001	0.008	− 0.272	0.121	0.056	− 0.771	4.479	48.306***	− 13.795***
S&P500	0.003	0.009	− 0.186	0.102	0.043	− 0.802	4.445	49.346***	− 14.235***
TSX60	0.003	0.008	− 0.179	0.112	0.042	− 1.071	6.144	153.192***	− 12.557***