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Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis

Sunil K. Mohanty (), Joseph Onochie () and Abdulrahman F. Alshehri ()
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Sunil K. Mohanty: City University of New York (CUNY)
Joseph Onochie: City University of New York (CUNY)
Abdulrahman F. Alshehri: King Khalid University

Review of Quantitative Finance and Accounting, 2018, vol. 51, issue 3, 595-619

Abstract: Abstract We examine the impact of oil price shocks on stock market returns in Saudi Arabia using the country-level as well as the industry-level stock market data. We find that the relation between changes in oil prices and equity returns is positive and significant at the country-level and at the industry level. Our results show that oil prices have asymmetric effects on equity returns for 4 out of 15 industrial sectors (e.g., hotel and tourism, insurance, multi-investment, and petrochemicals). These results have significant implications for investors, portfolio managers, policymakers, and corporate finance managers.

Keywords: Oil price; Stock returns; Saudi Arabian stock market (search for similar items in EconPapers)
JEL-codes: G10 C32 (search for similar items in EconPapers)
Date: 2018
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