Journal article
Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets
Research in international business and finance, v 21(2), pp 326-341
01 Jun 2007
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the relationship between beta risk and realized stock index return in the presence of oil and exchange rate sensitivities for 15 countries in the Asia-Pacific region using the international factor model. Thirteen of the 15 countries have the expected beta signs and show significant sensitivity to domestic risk when the world stock market is in both up and down modes. In terms of oil sensitivity, only the Philippines and South Korea are oil-sensitive to changes in the oil price in the short run, when the price is expressed in local currency only. Basically no country shows sensitivity to oil price measured in US dollar regardless whether the oil market is up or down. Nine countries are affected by changes in the exchange rate. In terms of relative factor sensitivity distribution, one is willing to conclude that these stock markets are more conditionally sensitive to local currency oil price changes than to beta risk wherever the relationships are significant. (C) 2006 Elsevier B.V. All rights reserved.
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Details
- Title
- Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets
- Creators
- Mohan Nandha - Monash UniversityShawkat Hammoudeh - Drexel University
- Publication Details
- Research in international business and finance, v 21(2), pp 326-341
- Publisher
- Elsevier
- Number of pages
- 16
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000213195100013
- Scopus ID
- 2-s2.0-34047169252
- Other Identifier
- 991019167756004721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Business, Finance