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Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis

Author

Listed:
  • Sunil K. Mohanty

    (City University of New York (CUNY))

  • Joseph Onochie

    (City University of New York (CUNY))

  • Abdulrahman F. Alshehri

    (King Khalid University)

Abstract

We examine the impact of oil price shocks on stock market returns in Saudi Arabia using the country-level as well as the industry-level stock market data. We find that the relation between changes in oil prices and equity returns is positive and significant at the country-level and at the industry level. Our results show that oil prices have asymmetric effects on equity returns for 4 out of 15 industrial sectors (e.g., hotel and tourism, insurance, multi-investment, and petrochemicals). These results have significant implications for investors, portfolio managers, policymakers, and corporate finance managers.

Suggested Citation

  • Sunil K. Mohanty & Joseph Onochie & Abdulrahman F. Alshehri, 2018. "Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis," Review of Quantitative Finance and Accounting, Springer, vol. 51(3), pages 595-619, October.
  • Handle: RePEc:kap:rqfnac:v:51:y:2018:i:3:d:10.1007_s11156-017-0682-5
    DOI: 10.1007/s11156-017-0682-5
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    Cited by:

    1. Konstantinos Gkillas & Rangan Gupta & Mark E. Wohar, 2020. "Oil shocks and volatility jumps," Review of Quantitative Finance and Accounting, Springer, vol. 54(1), pages 247-272, January.

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    Keywords

    Oil price; Stock returns; Saudi Arabian stock market;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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