Exposure of stock sector returns to petroleum price shocks: The case of petroleum exporters and importers

Miramir Bagirov and Cesario Mateus

Research in International Business and Finance, 2025, vol. 76, issue C

Abstract: Employing the novel technique of disentangling daily demand, supply and risk shocks, this study examines their impact on manually constructed ten sector indices of petroleum exporters and importers. The empirical results suggest that the sign and magnitude of observed sectors’ sensitivities are contingent on the nature of petroleum shocks and differ across petroleum exporters and importers. The total connectedness between petroleum shocks and stock sector indices, which is greater for importers, strengthens during the financial crisis and geopolitical tensions. Overall, the applied methodologies indicate that stock returns in sectors of petroleum exporters and importers are predominantly driven by demand shocks.

Keywords: Petroleum price shocks; Stock sector returns; Connectedness; Petroleum exporters; Petroleum importers (search for similar items in EconPapers)
JEL-codes: G15 Q41 Q43 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:76:y:2025:i:c:s0275531925001254

DOI: 10.1016/j.ribaf.2025.102869

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