This paper, thus, represents one of the first comprehensive studies of the impact of oil price risk on emerging stock markets. Recognizing that stock returns are non-normally distributed, additional risk factors for skewness and kurtosis are also included in the analysis. Results are presented from...
Emerging marketQuantile regressionOilPurpose-The study aims to understand the role of different streams of oil shocks (demand, supply, and risk shocks) on the oil-importing and exporting countries' stock returns. The study also examines the impact of crude oil shocks across the economic regimes ...
Emerging economiescrude oil pricesexchange ratesstock indicesThis paper examines the relationship between crude oil prices, exchange rates and stocks market indices of emerging economies like BRIC (Brazil, Russia, India aBagchi, BhaskarSocial Science Electronic Publishing...
These findings are, up to some extent, meaningful for investors, portfolio managers and policy makers. 展开 关键词: Oil price Emerging markets Kuwait stock market ARDL DOI: 10.1007/s10644-016-9199-5 年份: 2018 收藏 引用 批量引用 报错 分享 ...
2010JELClassifications:F31,C22,C52Keywords:emergingmarkets,realstockprice,oilpriceshocks,industrialproduction,generalisedvariancedecompositions,impulseresponsefunctions.1OilPriceVolatilityandStockPriceFluctuationsinanEmergingMarket:EvidencefromSouthKoreaAbstractHowimportantareoilpricefluctuationsandoilpricevolatilityonequitymarket...
Sadorsky Oil price risk and emerging stock markets Glob. Financ. J., 17 (2) (2006), pp. 224-251, 10.1016/j.gfj.2006.04.001 View PDFView articleView in ScopusGoogle Scholar Basher et al., 2018 S.A. Basher, A.A. Haug, P. Sadorsky The impact of oil-market shocks on stock ...
This study examines the response of stock markets to oil price volatilities in Japan, Singapore, Korea and Malaysia by applying the generalized impulse response and variance decomposition analyses to the monthly data spanning 1986:01 – 2011:02. The results suggest that the reaction of stock markets...
The results indicate the presence of strong volatility spillovers between both markets, weak spillovers from the front of the forward curve to the rest of the curve, and cointegration between the long term oil price on the two markets... HB Humphreys 被引量: 5发表: 1997年 Stock Prices and ...
Thus, to compare the quantitative changes of dependence and risk spillover effects between crude oil and emerging stock markets before and after the crisis, especially for China, under different market conditions and investment horizons is also a meaningful topic for practice of financial risk ...
Regime-Dependent Effect of Crude Oil Price on BRICS Stock Markets In this study, the dynamic relation between global crude oil prices and stock prices is investigated in terms of crude oil-exporting and -importing countri... Yildirim, Durmus Cagr,Erdoan, Seyfettin,evik, Emrah smail - 《...