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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.

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Article provided by Elsevier in its journal Economic Modelling.

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

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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

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