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Oil price risk and emerging stock markets

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Author Info
Basher, Syed A.
Sadorsky, Perry

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Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 17 (2006)
Issue (Month): 2 (December)
Pages: 224-251
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Handle: RePEc:eee:glofin:v:17:y:2006:i:2:p:224-251

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
    Other versions:
  2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June. [Downloadable!] (restricted)
  3. Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October. [Downloadable!] (restricted)
  4. Jones, Charles M & Kaul, Gautam, 1996. " Oil and the Stock Markets," Journal of Finance, American Finance Association, vol. 51(2), pages 463-91, June. [Downloadable!] (restricted)
  5. Hodoshima, Jiro & Garza-Gomez, Xavier & Kunimura, Michio, 2000. "Cross-sectional regression analysis of return and beta in Japan," Journal of Economics and Business, Elsevier, vol. 52(6), pages 515-533. [Downloadable!] (restricted)
  6. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
  7. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December. [Downloadable!] (restricted)
  8. Fletcher, Jonathan, 2000. "On the conditional relationship between beta and return in international stock returns," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 235-245. [Downloadable!] (restricted)
  9. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July. [Downloadable!] (restricted)
  10. Sadorsky, Perry, 2003. "The macroeconomic determinants of technology stock price volatility," Review of Financial Economics, Elsevier, vol. 12(2), pages 191-205. [Downloadable!] (restricted)
  11. Shawkat Hammoudeh & Eisa Aleisa, 2004. "Dynamic Relationships among GCC Stock Markets and Nymex Oil Futures," Contemporary Economic Policy, Western Economic Association International, vol. 22(2), pages 250-269, 04. [Downloadable!] (restricted)
  12. Jegadeesh, Narasimhan, 1992. "Does Market Risk Really Explain the Size Effect?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(03), pages 337-351, September. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CIRJE F-Series CIRJE-F-639, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  2. Mohamed El hedi Arouri & Christophe Rault, 2009. "On the Influence of Oil Prices on Stock Markets: Evidence from Panel Analysis in GCC Countries," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  3. Mohamed El Hedi Arouri & Julien Fouquau, 2009. "On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses," Working Papers hal-00387103_v1, HAL. [Downloadable!]
    Other versions:
  4. Ågren, Martin, 2006. "Does Oil Price Uncertainty Transmit to Stock Markets?," Working Paper Series 2006:23, Uppsala University, Department of Economics. [Downloadable!]
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