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Oil price shocks and airlines stock return and volatility – A GFEVD analysis

Yifei Cai et al.

Economics of Transportation2025https://doi.org/10.1016/j.ecotra.2025.100396article
AJG 1ABDC B
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0.53

Abstract

Using the Generalized Forecast Error Variance Decomposition (GFEVD) method, this study assesses the effects of oil price shocks on both the return and volatility of aviation stocks. Specifically, we examine how different types of oil supply shocks—such as those related to oil supply, economic activity, oil consumption demand, and oil inventory—impact airline returns and volatility. Our findings indicate that fluctuations in airline returns primarily stem from economic activity shocks. However, the volatility of airlines is influenced by a range of shocks. Lastly, we offer important policy implications tailored for airline managers, market investors, and policymakers to navigate this relationship effectively. • This study assesses the effects of oil price shocks on both the return and volatility of aviation stocks. • We differentiate the impacts of different types of oil supply shocks. • Fluctuations in airline returns primarily stem from economic activity shocks. • The volatility of airlines is influenced by a range of shocks. • Policy implications are offered.

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https://doi.org/https://doi.org/10.1016/j.ecotra.2025.100396

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@article{yifei2025,
  title        = {{Oil price shocks and airlines stock return and volatility – A GFEVD analysis}},
  author       = {Yifei Cai et al.},
  journal      = {Economics of Transportation},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1016/j.ecotra.2025.100396},
}

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Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.70 × 0.15 = 0.10
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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