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

Chaker Aloui, Duc Khuong Nguyen and Hassen Njeh

Economic Modelling, 2012, vol. 29, issue 6, 2686-2695

Abstract: 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.

Keywords: Oil shocks; Emerging market returns; Multifactor pricing model; Long-term correlations (search for similar items in EconPapers)
JEL-codes: F30 G15 Q40 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (115)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:6:p:2686-2695

DOI: 10.1016/j.econmod.2012.08.010

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