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Energy commodity uncertainties and the systematic risk of US industries

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  • Naeem, Muhammad Abubakr
  • Balli, Faruk
  • Shahzad, Syed Jawad Hussain
  • de Bruin, Anne

Abstract

We investigate the impact of energy commodity uncertainties on the systematic risk of twelve industries in the US. The dynamic betas using the dynamic conditional correlation – generalized auto-regressive conditional heterosckedasticity (DCC-GARCH) model, indicate that real estate, financials, and basic materials are the high-risk industries. Notably, the systematic risk of oil and gas sector was significantly affected during the Global Financial Crisis (GFC) and the Shale Oil Revolution (SOR) sub-periods. Our results provide convincing evidence of the positive impact of energy uncertainties on basic material, basic resources, financials, oil and gas, and real estate. On the other hand, we identify the negative impact on consumer goods, consumer services, health care, industrials, and technology industries. These findings have implications for investment and risk management.

Suggested Citation

  • Naeem, Muhammad Abubakr & Balli, Faruk & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2020. "Energy commodity uncertainties and the systematic risk of US industries," Energy Economics, Elsevier, vol. 85(C).
    • Handle: RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303846
    DOI: 10.1016/j.eneco.2019.104589
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    18. Sunil K. Mohanty & Joseph Onochie & Abdulrahman F. Alshehri, 2018. "Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 595-619, October.
    19. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock price returns: Evidence from European industrial sector indices in a time-varying environment," MPRA Paper 80495, University Library of Munich, Germany.
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    More about this item

    Keywords

    Industry betas; Energy commodity uncertainties; Risk predictability;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    Statistics

    Access and download statistics

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