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Exposure of stock sector returns to petroleum price shocks: The case of petroleum exporters and importers

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  • Bagirov, Miramir
  • Mateus, Cesario

Abstract

Employing the novel technique of disentangling daily demand, supply and risk shocks, this study examines their impact on manually constructed ten sector indices of petroleum exporters and importers. The empirical results suggest that the sign and magnitude of observed sectors’ sensitivities are contingent on the nature of petroleum shocks and differ across petroleum exporters and importers. The total connectedness between petroleum shocks and stock sector indices, which is greater for importers, strengthens during the financial crisis and geopolitical tensions. Overall, the applied methodologies indicate that stock returns in sectors of petroleum exporters and importers are predominantly driven by demand shocks.

Suggested Citation

  • Bagirov, Miramir & Mateus, Cesario, 2025. "Exposure of stock sector returns to petroleum price shocks: The case of petroleum exporters and importers," Research in International Business and Finance, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925001254
    DOI: 10.1016/j.ribaf.2025.102869
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    Keywords

    Petroleum price shocks; Stock sector returns; Connectedness; Petroleum exporters; Petroleum importers;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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