Oil price volatility and the dynamic systematic risk in Kuwait's equity sector portfolio using the Kalman filter approach

Abdulwahab A. Alsarhan, Ahmed Khalifa and Omar Al-Titi

American Journal of Finance and Accounting, 2013, vol. 3, issue 1, 24-40

Abstract: The paper investigates the impact of oil price volatility on the dynamics of systematic risk in eight equity sectors for Kuwait. To achieve this goal, it uses the Kalman filter approach to estimate the time-variant systematic risk in those sectors. This approach enables us to study the dynamicity of systematic risk of a portfolio comprised of those sectors during the period 2000-2012. Additionally, the Kalman filter approach estimates the relative importance of the trend the random walk and cycle components of the sectors 'Betas'. The estimated time-variant coefficients (Alpha and Beta) allow for the estimation of the impact of oil price volatility and the financial crises on the systematic risk of the sectors over time.

Keywords: oil price volatility; systematic risk; financial crises; Kalman filter; Kuwait; equity sector portfolio. (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inderscience.com/link.php?id=57173 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ids:amerfa:v:3:y:2013:i:1:p:24-40

Access Statistics for this article

More articles in American Journal of Finance and Accounting from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().