Oil price risk and emerging stock markets

Syed A. Basher () and Perry Sadorsky
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Perry Sadorsky: Schulich School of Business, York University

International Finance from EconWPA

Abstract: 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.

Keywords: Emerging markets; market risk; oil price risk (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-rmg
Date: 2004-10-15
Note: Type of Document - pdf; pages: 32
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http://129.3.20.41/eps/if/papers/0410/0410003.pdf (application/pdf)

Related works:
Journal Article: Oil price risk and emerging stock markets (2006)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpif:0410003

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