Assessing the impacts of oil price fluctuations on stock returns in emerging markets

作者：Aloui Chaker; Duc Khuong Nguyen^*; Njeh Hassen

来源：Economic Modelling, 2012, 29(6): 2686-2695.

DOI：10.1016/j.econmod.2012.08.010

• Oil shocks
• Emerging market returns
• Multifactor pricing model
• Long-term correlations

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.

• 出版日期2012-11