IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Assessing the impacts of oil price fluctuations on stock returns in emerging markets

  • Aloui, Chaker
  • Nguyen, Duc Khuong
  • Njeh, Hassen

This paper investigates the effects of oil price shocks on stock market returns in emerging countries. It differs from previous works in three main aspects: i) we distinguish three groups of countries, the largest net-oil importing countries, the moderately oil-dependent countries, and the largest net-oil exporting countries; ii) The potential influence of bullish and bearish market conditions on the causal relationship between oil and stock returns is controlled for in our analysis; iii) The empirical investigation is based on an analysis of long-term correlation and a conditional multifactor pricing model. Using data from twenty-five emerging countries, our results suggest that oil price risk is significantly priced in emerging markets, and that the oil impact is asymmetric with respect to market phases.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/pii/S0264999312002465
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 29 (2012)
Issue (Month): 6 ()
Pages: 2686-2695

as
in new window

Handle: RePEc:eee:ecmode:v:29:y:2012:i:6:p:2686-2695
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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.:

as in new window
  1. Lee, Bi-Juan & Yang, Chin Wei & Huang, Bwo-Nung, 2012. "Oil price movements and stock markets revisited: A case of sector stock price indexes in the G-7 countries," Energy Economics, Elsevier, vol. 34(5), pages 1284-1300.
  2. Bordo, Michael D. & Haubrich, Joseph G., 2008. "Forecasting with the yield curve; level, slope, and output 1875-1997," Economics Letters, Elsevier, vol. 99(1), pages 48-50, April.
  3. James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
  4. Maghyereh, A., 2004. "Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(2), pages 27-40.
  5. Nandha, Mohan & Hammoudeh, Shawkat, 2007. "Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets," Research in International Business and Finance, Elsevier, vol. 21(2), pages 326-341, June.
  6. Roberto Rigobon & Anna Pavlova, 2004. "Asset Prices and Exchange Rates," Econometric Society 2004 North American Winter Meetings 579, Econometric Society.
  7. Lutz Kilian, 2008. "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?," The Review of Economics and Statistics, MIT Press, vol. 90(2), pages 216-240, May.
  8. Hedi Arouri, Mohamed El & Khuong Nguyen, Duc, 2010. "Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade," Energy Policy, Elsevier, vol. 38(8), pages 4528-4539, August.
  9. Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
  10. Mohanty, Sunil & Nandha, Mohan & Bota, Gabor, 2010. "Oil shocks and stock returns: The case of the Central and Eastern European (CEE) oil and gas sectors," Emerging Markets Review, Elsevier, vol. 11(4), pages 358-372, December.
  11. Henriques, Irene & Sadorsky, Perry, 2008. "Oil prices and the stock prices of alternative energy companies," Energy Economics, Elsevier, vol. 30(3), pages 998-1010, May.
  12. Syed A. Basher & Perry Sadorsky, 2004. "Oil price risk and emerging stock markets," International Finance 0410003, EconWPA.
  13. Hammoudeh, Shawkat & Choi, Kyongwook, 2006. "Behavior of GCC stock markets and impacts of US oil and financial markets," Research in International Business and Finance, Elsevier, vol. 20(1), pages 22-44, March.
  14. Jones, Charles M & Kaul, Gautam, 1996. " Oil and the Stock Markets," Journal of Finance, American Finance Association, vol. 51(2), pages 463-91, June.
  15. Tang, Gordon Y. N. & Shum, Wai C., 2003. "The conditional relationship between beta and returns: recent evidence from international stock markets," International Business Review, Elsevier, vol. 12(1), pages 109-126, February.
  16. 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.
  17. Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 101-116, March.
  18. Jammazi, Rania & Aloui, Chaker, 2010. "Wavelet decomposition and regime shifts: Assessing the effects of crude oil shocks on stock market returns," Energy Policy, Elsevier, vol. 38(3), pages 1415-1435, March.
  19. Cong, Rong-Gang & Wei, Yi-Ming & Jiao, Jian-Lin & Fan, Ying, 2008. "Relationships between oil price shocks and stock market: An empirical analysis from China," Energy Policy, Elsevier, vol. 36(9), pages 3544-3553, September.
  20. El-Sharif, Idris & Brown, Dick & Burton, Bruce & Nixon, Bill & Russell, Alex, 2005. "Evidence on the nature and extent of the relationship between oil prices and equity values in the UK," Energy Economics, Elsevier, vol. 27(6), pages 819-830, November.
  21. Cheng, Hui Fang & Gutierrez, Margarida & Mahajan, Arvind & Shachmurove, Yochanan & Shahrokhi, Manuchehr, 2007. "A future global economy to be built by BRICs," Global Finance Journal, Elsevier, vol. 18(2), pages 143-156.
  22. Park, Jungwook & Ratti, Ronald A., 2008. "Oil price shocks and stock markets in the U.S. and 13 European countries," Energy Economics, Elsevier, vol. 30(5), pages 2587-2608, September.
  23. Nandha, Mohan & Faff, Robert, 2008. "Does oil move equity prices? A global view," Energy Economics, Elsevier, vol. 30(3), pages 986-997, May.
  24. Sofía B. Ramos & Helena Veiga, 2009. "Risk factors in oil and gas industry returns: international evidence," Statistics and Econometrics Working Papers ws096920, Universidad Carlos III, Departamento de Estadística y Econometría.
  25. Papapetrou, Evangelia, 2001. "Oil price shocks, stock market, economic activity and employment in Greece," Energy Economics, Elsevier, vol. 23(5), pages 511-532, September.
  26. Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
  27. Lardic, Sandrine & Mignon, Valérie, 2008. "Oil prices and economic activity: An asymmetric cointegration approach," Energy Economics, Elsevier, vol. 30(3), pages 847-855, May.
  28. Aloui, Chaker & Jammazi, Rania, 2009. "The effects of crude oil shocks on stock market shifts behaviour: A regime switching approach," Energy Economics, Elsevier, vol. 31(5), pages 789-799, September.
  29. Ciner Cetin, 2001. "Energy Shocks and Financial Markets: Nonlinear Linkages," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(3), pages 1-11, October.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:eee:ecmode:v:29:y:2012:i:6:p:2686-2695. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.