 Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010Elie Bouri (), Basel Awartani () and Aktham Maghyereh Energy Economics, 2016, vol. 56, issue C, 205-214 Abstract: In this paper, we test for mean and variance causality between world oil prices and sectoral equity returns in Jordan before and after the Arab Uprisings that started in 2010. The testing methodology is based on the sample of cross-correlation functions that are computed from the standardized residuals of a GARCH process. Our results show that the influence is not uniform across the equity sectors. The oil return shocks significantly impact the Financials and the Services sectors, while its effect is insignificant on the Industrials sector. This result is more pronounced in the period that follows the Arab Uprisings. In terms of risk transfer, we find that oil is a negligible risk factor. However, there is still a significant evidence of risk transmission to the Industrials sector particularly during the Arab Uprisings period. These results represent a unique information transmission mechanism that is useful for risk management and portfolio diversification. Keywords: Causality; Mean; Variance; Oil prices; Stock market sector; Political risk; Jordan; Arab uprisings (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:56:y:2016:i:c:p:205-214 DOI: 10.1016/j.eneco.2016.03.021 Access Statistics for this article Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant More articles in Energy Economics from Elsevier |
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