Publication Date


Document Type


First Advisor

Becher, David

Degree Name

B.S. (Bachelor of Science)

Legacy Department

Department of Finance


To better understand the components of volatility in oil-related industries, I examine the relationship between changes in crude oil prices and stock returns in the United States between 1987 and 2000. I find that the spot price of crude oil is statistically positive related to the stock returns of oil-related industries. In addition, changes in the aggregate level of oil reserves are only significant in explaining returns of firms in operation of oil distribution. I also analyze the relationship between oil price changes and aggregate market returns. The results of these tests indicate that oil price changes Grainger cause stock market returns (inversely), and there is a one-month lag in this relationship. In addition, there may be a pattern of stock market returns in the three months prior to an increase/decrease in oil prices.


24 pages




Northern Illinois University

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