Journal article
Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets
Energy policy, v 134, 110931
Nov 2019
Featured in Collection : UN Sustainable Development Goals @ Drexel
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.
•Oil risk exposures are heterogeneous across the emerging and frontier stock markets.•Asymmetric oil risk exposures observed for most developing stock markets with quantile specific patterns.•Widespread oil effect, particularly at low oil return quantiles, regardless of the stock market state.•Risk exposures are not necessarily explained by import/export characteristics of the host countries.•Oil price risk seems to serve as a systematic risk factor.
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Details
- Title
- Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets
- Creators
- Mehmet Balcilar - Eastern Mediterranean UniversityRıza Demirer - Southern Illinois University EdwardsvilleShawkat Hammoudeh - Montpellier Business School
- Publication Details
- Energy policy, v 134, 110931
- Publisher
- Elsevier
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000498307500045
- Scopus ID
- 2-s2.0-85071039914
- Other Identifier
- 991019167934104721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics
- Energy & Fuels
- Environmental Sciences
- Environmental Studies