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Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model

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  • Khalifa, Ahmed A.
  • Alsarhan, Abdulwahab A.
  • Bertuccelli, Pietro

Abstract

We employ the spillover Asymmetric Multiplicative Error Model (SAMEM) to investigate the impacts of the global financial crises and the geopolitical instability in the oil rich countries. Consequently, such these events have a significant impact on the petroleum-based stock markets in the Gulf Cooperation Council (GCC) countries. The geopolitical instability includes several sources such as the Iran nuclear negotiations, the ISIS and other jihadist organizations, the continuous interruption in Iraq, the civil war in Syria, Libya, Yemen, as well as the rivalry between Shiite Iran and Sunni Saudi Arabia is the engine of conflict in the Middle East have a great impact on the oil price fluctuation. We find that the recent global financial crises and the geopolitical instability have a significant impact on both oil and natural gas prices. These shocks also have a significant impact on the selected petroleum-based stock markets during the period (July 18th, 2006–July 30th, 2015). The policy implications of the results are important for portfolio managers in the financial markets and the policy makers in the petroleum-based economies (as represented by the GCC stock markets).

Suggested Citation

  • Khalifa, Ahmed A. & Alsarhan, Abdulwahab A. & Bertuccelli, Pietro, 2017. "Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 307-314.
    • Handle: RePEc:eee:riibaf:v:39:y:2017:i:pa:p:307-314
    DOI: 10.1016/j.ribaf.2016.08.003
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    2. Pandey, Dharen Kumar & Lucey, Brian M. & Kumar, Satish, 2023. "Border disputes, conflicts, war, and financial markets research: A systematic review," Research in International Business and Finance, Elsevier, vol. 65(C).
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    4. Salah A. Nusair & Jamal A. Al-Khasawneh, 2018. "Oil price shocks and stock market returns of the GCC countries: empirical evidence from quantile regression analysis," Economic Change and Restructuring, Springer, vol. 51(4), pages 339-372, November.
    5. Gutierrez, Juan P. & Vianna, Andre C., 2020. "Price effects of steel commodities on worldwide stock market returns," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).

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    More about this item

    Keywords

    SAMEM; Geopolitical instability; Financial shocks; GCC countries; Petroleum based economies;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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