Energy commodity uncertainties and the systematic risk of US industries

Muhammad Abubakr Naeem, Faruk Balli, Syed Jawad Hussain Shahzad and Anne de Bruin

Energy Economics, 2020, vol. 85, issue C

Abstract: We investigate the impact of energy commodity uncertainties on the systematic risk of twelve industries in the US. The dynamic betas using the dynamic conditional correlation – generalized auto-regressive conditional heterosckedasticity (DCC-GARCH) model, indicate that real estate, financials, and basic materials are the high-risk industries. Notably, the systematic risk of oil and gas sector was significantly affected during the Global Financial Crisis (GFC) and the Shale Oil Revolution (SOR) sub-periods. Our results provide convincing evidence of the positive impact of energy uncertainties on basic material, basic resources, financials, oil and gas, and real estate. On the other hand, we identify the negative impact on consumer goods, consumer services, health care, industrials, and technology industries. These findings have implications for investment and risk management.

Keywords: Industry betas; Energy commodity uncertainties; Risk predictability (search for similar items in EconPapers)
JEL-codes: G01 G11 G14 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303846

DOI: 10.1016/j.eneco.2019.104589

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