Assessing the impacts of oil price fluctuations on stock returns in emerging markets
Assessing the impacts of oil price fluctuations on stock returns in emerging markets
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DOI：
10.1016/j.econmod.2012.08.010
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发表时间：
2012-11-01
影响因子：
4.7
通讯作者：
Njeh, Hassen
中科院分区：
文献类型：
--
作者：
Aloui, Chaker;Duc Khuong Nguyen;Njeh, Hassen
本文研究了石油价格冲击对新兴国家股票市场收益率的影响。与以往的研究不同之处主要体现在以下三个方面：（1）我们将石油净进口国、石油适度依赖国和石油净出口国分为三类：（2）我们的分析控制了看涨和看跌市场条件对石油和股票收益率之间因果关系的潜在影响;（3）实证研究基于长期相关性分析和条件多因素定价模型。使用来自25个新兴国家的数据，我们的研究结果表明，石油价格风险在新兴市场的定价显着，石油的影响是不对称的市场阶段。(C)2012爱思唯尔有限公司版权所有。
This paper investigates the effects of oil price shocks on stock market returns in emerging countries. It differs from previous works in three main aspects: i) we distinguish three groups of countries, the largest net-oil importing countries, the moderately oil-dependent countries, and the largest net-oil exporting countries; ii) The potential influence of bullish and bearish market conditions on the causal relationship between oil and stock returns is controlled for in our analysis; iii) The empirical investigation is based on an analysis of long-term correlation and a conditional multifactor pricing model. Using data from twenty-five emerging countries, our results suggest that oil price risk is significantly priced in emerging markets, and that the oil impact is asymmetric with respect to market phases. (C) 2012 Elsevier B.V. All rights reserved.