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Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets

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  • Balcilar, Mehmet
  • Demirer, Rıza
  • Hammoudeh, Shawkat

Abstract

This study extends the literature on the asymmetric effect of oil price fluctuations on emerging and frontier stock markets via a quantile-on-quantile approach that allows to capture normal and extreme states in each respective market. We find that oil risk exposures are heterogeneous across the emerging and frontier stock markets and indeed display quantile-specific characteristics. Observing uniform patterns of oil risk exposures within groups of countries that include both importers and exporters, we argue that oil price risk serves as a systematic risk proxy, capturing the market's concerns regarding global growth expectations, rather than a simple import/export commodity. Our findings suggest that signals from the oil market, either via measures of trading activity in oil futures or changes in basis values, could be utilized by policy makers to improve models of stock market volatility.

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  • 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).
    • Handle: RePEc:eee:enepol:v:134:y:2019:i:c:s030142151930518x
    DOI: 10.1016/j.enpol.2019.110931
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    Keywords

    Stock returns; Oil prices; Quantile regression; Emerging markets;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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