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Assessing the impact of oil returns on emerging stock markets: A panel data approach for ten Central and Eastern European Countries

Dimitrios Asteriou () and Yuliya Bashmakova

Energy Economics, 2013, vol. 38, issue C, 204-211

Abstract: This paper uses an international multi-factor model in order to investigate the relationship between oil price risk and stock market returns for the emerging capital markets of the Central and Eastern European Countries (CEECs). A panel data approach is being employed for the period covering 22 October 1999 until 23 August 2007. The oil price beta is found to be negative and statistically significant suggesting that the oil price is indeed an important factor in determining stock returns. No statistically significant non-linear dependency is found between market risk and emerging market stock returns or between oil price risk and returns. Observation of conditional models shows positive reaction of emerging stock market returns to upward movements of market returns. The reaction of the stock returns to upward and downward movements of the oil market is also negative but more significant when oil prices are low.

Keywords: Panel data; Emerging stock markets; Market risk; Oil price risk (search for similar items in EconPapers)
JEL-codes: G12 G15 Q43 (search for similar items in EconPapers)
Date: 2013
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