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Oil price risk and emerging stock markets

  • Syed A. Basher

    (Department of Economics, York University)

  • Perry Sadorsky

    (Schulich School of Business, York University)

This paper uses an international multi-factor Arbitrage Pricing Theory (APT) model that allows for both unconditional and conditional risk factors to investigate the relationship between oil price risk and emerging stock market returns. In general we find strong evidence that oil price risk impacts stock price returns in emerging markets. Results for other risk factors like market risk, total risk, skewness, and kurtosis are also presented. These results are useful for individual and institutional investors, managers and policy makers.

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File URL: http://econwpa.repec.org/eps/if/papers/0410/0410003.pdf
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Paper provided by EconWPA in its series International Finance with number 0410003.

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Length: 32 pages
Date of creation: 15 Oct 2004
Date of revision:
Handle: RePEc:wpa:wuwpif:0410003
Note: Type of Document - pdf; pages: 32
Contact details of provider: Web page: http://econwpa.repec.org

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  28. 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.
  29. Hodoshima, Jiro & Garza-Gomez, Xavier & Kunimura, Michio, 2000. "Cross-sectional regression analysis of return and beta in Japan," Journal of Economics and Business, Elsevier, vol. 52(6), pages 515-533.
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