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Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets

Citations

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Cited by:

  1. González-Sánchez, Mariano, 2022. "Factorial asset pricing models using statistical anomalies," Research in International Business and Finance, Elsevier, vol. 60(C).
  2. Mohamed El Hédi Arouri & Philippe Foulquier & Julien Fouquau, 2011. "Oil Prices and Stock Markets in Europe: A Sector Perspective," Recherches économiques de Louvain, De Boeck Université, vol. 77(1), pages 5-30.
  3. Acaravci, Ali & Ozturk, Ilhan & Kandir, Serkan Yilmaz, 2012. "Natural gas prices and stock prices: Evidence from EU-15 countries," Economic Modelling, Elsevier, vol. 29(5), pages 1646-1654.
  4. Taufeeque Ahmad Siddiqui & Haseen Ahmed & Mohammad Naushad & Uzma Khan, 2023. "The Relationship between Oil Prices and Exchange Rate: A Systematic Literature Review," International Journal of Energy Economics and Policy, Econjournals, vol. 13(3), pages 566-578, May.
  5. Sheevun Di O. Guliman, 2015. "Oil Prices and Stock Market: A Philippine Perspective," Business and Economic Research, Macrothink Institute, vol. 5(2), pages 122-135, December.
  6. Yue-Jun Zhang & Yi-Ming Wei, 2011. "The dynamic influence of advanced stock market risk on international crude oil returns: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 967-978.
  7. Singhal, Shelly & Ghosh, Sajal, 2016. "Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models," Resources Policy, Elsevier, vol. 50(C), pages 276-288.
  8. Ahmed, Walid M.A., 2019. "Islamic and conventional equity markets: Two sides of the same coin, or not?," The Quarterly Review of Economics and Finance, Elsevier, vol. 72(C), pages 191-205.
  9. Aloui, Chaker & Nguyen, Duc Khuong & Njeh, Hassen, 2012. "Assessing the impacts of oil price fluctuations on stock returns in emerging markets," Economic Modelling, Elsevier, vol. 29(6), pages 2686-2695.
  10. Dagher, Leila & El Hariri, Sadika, 2013. "The impact of global oil price shocks on the Lebanese stock market," Energy, Elsevier, vol. 63(C), pages 366-374.
  11. Asadi, Mehrad & Roudari, Soheil & Tiwari, Aviral Kumar & Roubaud, David, 2023. "Scrutinizing commodity markets by quantile spillovers: A case study of the Australian economy," Energy Economics, Elsevier, vol. 118(C).
  12. Balcilar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2019. "Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets," Energy Policy, Elsevier, vol. 134(C).
  13. Kyritsis, Evangelos & Serletis, Apostolos, 2018. "The zero lower bound and market spillovers: Evidence from the G7 and Norway," Research in International Business and Finance, Elsevier, vol. 44(C), pages 100-123.
  14. Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2013. "A time-varying copula approach to oil and stock market dependence: The case of transition economies," Energy Economics, Elsevier, vol. 39(C), pages 208-221.
  15. Sabri Boubaker & Zhenya Liu & Yaosong Zhan, 2022. "Risk management for crude oil futures: an optimal stopping-timing approach," Annals of Operations Research, Springer, vol. 313(1), pages 9-27, June.
  16. Shripad Ramchandra Marathe & Guntur Anjana Raju, 2020. "Does Crude Oil Prices have Effect on Exports, Imports and GDP on BRICS Countries? - An Empirical Evidence," International Journal of Energy Economics and Policy, Econjournals, vol. 10(6), pages 524-528.
  17. Kumar, Satish & Pradhan, Ashis Kumar & Tiwari, Aviral Kumar & Kang, Sang Hoon, 2019. "Correlations and volatility spillovers between oil, natural gas, and stock prices in India," Resources Policy, Elsevier, vol. 62(C), pages 282-291.
  18. Misund, Bård, 2015. "Reserves Replacement and Oil and Gas Company Shareholder returns," UiS Working Papers in Economics and Finance 2015/11, University of Stavanger.
  19. Liu, Chang & Sun, Xiaolei & Chen, Jianming & Li, Jianping, 2016. "Statistical properties of country risk ratings under oil price volatility: Evidence from selected oil-exporting countries," Energy Policy, Elsevier, vol. 92(C), pages 234-245.
  20. Nepp, Alexander & Okhrin, Ostap & Egorova, Julia & Dzhuraeva, Zarnigor & Zykov, Alexander, 2022. "What threatens stock markets more - The coronavirus or the hype around it?," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 519-539.
  21. Ahdi Noomen Ajmi & Ghassen El-montasser & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Oil prices and MENA stock markets: new evidence from nonlinear and asymmetric causalities during and after the crisis period," Applied Economics, Taylor & Francis Journals, vol. 46(18), pages 2167-2177, June.
  22. Tian, Meiyu & Li, Wanyang & Wen, Fenghua, 2021. "The dynamic impact of oil price shocks on the stock market and the USD/RMB exchange rate: Evidence from implied volatility indices," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  23. Gábor Bóta & Mihály Ormos & Imrich Antalík, 2023. "Oil price and stock returns in Europe," Entrepreneurship and Sustainability Issues, VsI Entrepreneurship and Sustainability Center, vol. 10(3), pages 329-339, March.
  24. Le, Thai-Ha & Chang, Youngho, 2016. "Dynamics between strategic commodities and financial variables: Evidence from Japan," Resources Policy, Elsevier, vol. 50(C), pages 1-9.
  25. Demirer, Rıza & Jategaonkar, Shrikant P. & Khalifa, Ahmed A.A., 2015. "Oil price risk exposure and the cross-section of stock returns: The case of net exporting countries," Energy Economics, Elsevier, vol. 49(C), pages 132-140.
  26. Fang, Chung-Rou & You, Shih-Yi, 2014. "The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 330-338.
  27. José Antonio Núñez-Mora & Eduardo Sánchez-Ruenes, 2020. "Generalized Hyperbolic Distribution and Portfolio Efficiency in Energy and Stock Markets of BRIC Countries," IJFS, MDPI, vol. 8(4), pages 1-14, October.
  28. Awolaja, Gbenga Oladapo & Musa, Dasauki C., 2017. "Asymmetric Oil Price Shocks and Stock Prices in Nigeria," MPRA Paper 92891, University Library of Munich, Germany.
  29. Boubaker, Heni & Raza, Syed Ali, 2017. "A wavelet analysis of mean and volatility spillovers between oil and BRICS stock markets," Energy Economics, Elsevier, vol. 64(C), pages 105-117.
  30. Ghosh, Sajal & Kanjilal, Kakali, 2016. "Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests," Energy Economics, Elsevier, vol. 53(C), pages 111-117.
  31. Tsuji, Chikashi, 2018. "New DCC analyses of return transmission, volatility spillovers, and optimal hedging among oil futures and oil equities in oil-producing countries," Applied Energy, Elsevier, vol. 229(C), pages 1202-1217.
  32. Singh, Vipul Kumar & Kumar, Pawan & Nishant, Shreyank, 2019. "Feedback spillover dynamics of crude oil and global assets indicators: A system-wide network perspective," Energy Economics, Elsevier, vol. 80(C), pages 321-335.
  33. Singh, Vipul Kumar & Nishant, Shreyank & Kumar, Pawan, 2018. "Dynamic and directional network connectedness of crude oil and currencies: Evidence from implied volatility," Energy Economics, Elsevier, vol. 76(C), pages 48-63.
  34. Rebeca Jiménez-Rodríguez, 2015. "Oil price shocks and stock markets: testing for non-linearity," Empirical Economics, Springer, vol. 48(3), pages 1079-1102, May.
  35. repec:ipg:wpaper:2014-079 is not listed on IDEAS
  36. Kyophilavong, Phouphet & Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar, 2023. "Cross-spectral coherence and co-movement between WTI oil price and exchange rate of Thai Baht," Resources Policy, Elsevier, vol. 80(C).
  37. Maghyereh, Aktham I. & Awartani, Basel & Bouri, Elie, 2016. "The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes," Energy Economics, Elsevier, vol. 57(C), pages 78-93.
  38. Asteriou, Dimitrios & Bashmakova, Yuliya, 2013. "Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries," Energy Economics, Elsevier, vol. 38(C), pages 204-211.
  39. Zhu, Hui-Ming & Li, Su-Fang & Yu, Keming, 2011. "Crude oil shocks and stock markets: A panel threshold cointegration approach," Energy Economics, Elsevier, vol. 33(5), pages 987-994, September.
  40. Thorbecke, Willem, 2019. "How oil prices affect East and Southeast Asian economies: Evidence from financial markets and implications for energy security," Energy Policy, Elsevier, vol. 128(C), pages 628-638.
  41. Begüm Yurteri Kösedağlı & Gül Huyugüzel Kışla & A. Nazif Çatık, 2021. "The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-22, December.
  42. Chen, Chun-Da & Demirer, Rıza, 2022. "Oil beta uncertainty and global stock returns," Energy Economics, Elsevier, vol. 112(C).
  43. Zhu, Huiming & Yu, Dongwei & Hau, Liya & Wu, Hao & Ye, Fangyu, 2022. "Time-frequency effect of crude oil and exchange rates on stock markets in BRICS countries: Evidence from wavelet quantile regression analysis," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  44. Caporale, Guglielmo Maria & Çatık, Abdurrahman Nazif & Huyuguzel Kısla, Gul Serife & Helmi, Mohamad Husam & Akdeniz, Coşkun, 2022. "Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach," Resources Policy, Elsevier, vol. 79(C).
  45. Nazif Çatık, Abdurrahman & Huyugüzel Kışla, Gül & Akdeni̇z, Coşkun, 2020. "Time-varying impact of oil prices on sectoral stock returns: Evidence from Turkey," Resources Policy, Elsevier, vol. 69(C).
  46. Mohammad Alsharif, 2020. "The Relationship Between the Returns and Volatility of Stock and Oil Markets in the Last Two Decades: Evidence from Saudi Arabia," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 1-8.
  47. Zhu, Huiming & Huang, Hui & Peng, Cheng & Yang, Yan, 2016. "Extreme dependence between crude oil and stock markets in Asia-Pacific regions: Evidence from quantile regression," Economics Discussion Papers 2016-46, Kiel Institute for the World Economy (IfW Kiel).
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