Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets

Mehmet Balcilar, Riza Demirer and Shawkat Hammoudeh
Additional contact information
Shawkat Hammoudeh: Montpellier Business School, Montpellier, France

No 15-48, Working Papers from Eastern Mediterranean University, Department of Economics

Abstract: This study extends the literature on the asymmetric effect of oil price fluctuations on emerging and frontier stock markets via a quantile-on-quantile approach that allows to capture normal and extreme states in each respective market. We find that oil risk exposures are heterogeneous across the emerging and frontier stock markets and indeed display quantile-specific characteristics. Observing uniform patterns of oil risk exposures within groups of countries that include both importers and exporters, we argue that oil price risk serves as a systematic risk proxy, capturing the market’s concerns regarding global growth expectations, rather than a simple import/export commodity. Our findings suggest that signals from the oil market, either via measures of trading activity in oil futures or changes in basis values, could be utilized by policy makers to improve models of stock market volatility.

Keywords: Stock returns; Oil prices; Quantile regression; Emerging markets (search for similar items in EconPapers)
JEL-codes: C22 G12 Q40 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2019
New Economics Papers: this item is included in nep-ene and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)

Downloads: (external link)
http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-48.pdf First version, 2019 (application/pdf)

Related works:
Journal Article: Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:emu:wpaper:15-48.pdf

Access Statistics for this paper

More papers in Working Papers from Eastern Mediterranean University, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Mehmet Balcilar ().