This paper provides a novel perspective to the nexus of oil prices and stock markets by examining the impact of oil price shocks on stock market anomalies. After decomposing oil price shocks into three types , we find that aggregate demand shocks have the strongest influence on stock market anomalies. In contrast, oil supply shocks and oil-specific demand shocks have little impact. Similar results are also found in the industry analysis. Interestingly, the link between aggregate demand shocks and anomalies is the strongest among firms with either small size or high idiosyncratic risks. The documented effects are robust after controlling for investor sentiment as well as several well-known macroeconomic or market factors. Our findings are consistent with but also extend the sentiment-based explanation in that we show that uncertainty also plays a role in explaining stock market anomalies.

中文翻译：

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油价震荡和股市异常

本文通过研究油价冲击对股市异常的影响，为油价和股市的关系提供了一个新的视角。将油价冲击分解为三种类型后，我们发现总需求冲击对股市异常的影响最大。相比之下，石油供应冲击和特定石油需求冲击影响不大。在行业分析中也发现了类似的结果。有趣的是，总需求冲击和异常之间的联系在规模小或风险高的公司中最为强烈。在控制了投资者情绪以及几个众所周知的宏观经济或市场因素后，记录的影响是稳健的。