The impact of oil-market shocks on stock returns in major oil-exporting countries
The impact of oil-market shocks on stock returns in major oil-exporting countries
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DOI：
10.1016/j.jimonfin.2018.05.003
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发表时间：
2018-09-01
影响因子：
2.5
通讯作者：
Sadorsky, Perry
中科院分区：
文献类型：
--
作者：
Basher, Syed Abul;Haug, Alfred A.;Sadorsky, Perry
石油市场冲击对石油出口国股票价格的影响对国内和国际投资者都有影响。我们从一个明确识别原油市场投机交易的石油市场模型中推导出驱动油价的冲击。本文在多因素马尔可夫转换框架下研究了石油价格冲击与主要石油出口国股票市场收益率之间的非线性关系。在加拿大、挪威、俄罗斯、科威特、沙特阿拉伯和阿联酋，流量石油需求冲击对股票收益率有统计上的显著影响。在挪威、俄罗斯、科威特、沙特阿拉伯和阿联酋，独特的石油市场冲击影响着股票回报。投机（石油库存）冲击影响了加拿大、俄罗斯、科威特和阿联酋的股票回报。流量石油供应冲击对英国、科威特和阿联酋至关重要。墨西哥是唯一一个股票收益不受石油市场冲击影响的国家。对于某些国家，使用马尔可夫转换概率在低波动性状态的股票和高波动性状态的国债之间转换的投资组合的表现优于买入并持有策略。(C)2018爱思唯尔有限公司版权所有
The impact that oil-market shocks have on stock prices in oil exporting countries has implications for both domestic and international investors. We derive the shocks driving oil prices from an oil market model that explicitly identifies speculative trading in the crude oil market. We study the nonlinear relationship of oil price shocks with stock market returns in major oil-exporting countries in a multi-factor Markov-switching framework. Flow oil-demand shocks have a statistically significant impact on stock returns in Canada, Norway, Russia, Kuwait, Saudi Arabia, and the UAE. Idiosyncratic oil-market shocks affect stock returns in Norway, Russia, Kuwait, Saudi Arabia and UAE. Speculative (oil-inventory) shocks impact stock returns in Canada, Russia, Kuwait and the UAE. Flow oil-supply shocks matter for the UK, Kuwait, and UAE. Mexico is the only country where stock returns are unaffected by oil-market shocks. A portfolio that uses the Markov-switching probabilities to switch between equities in the low volatility state and T-bills in the high volatility state outperforms a buy and hold strategy for some countries. (C) 2018 Elsevier Ltd. All rights reserved.