Global S&T Development Trend Analysis Platform of Resources and Environment
DOI | 10.1016/j.enpol.2019.110931 |
Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets | |
Balcilar, Mehmet1; Demirer, Riza2; Hammoudeh, Shawkat3,4 | |
2019-11-01 | |
发表期刊 | ENERGY POLICY
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ISSN | 0301-4215 |
EISSN | 1873-6777 |
出版年 | 2019 |
卷号 | 134 |
文章类型 | Article |
语种 | 英语 |
国家 | Turkey; USA; France |
英文摘要 | 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. |
英文关键词 | Stock returns Oil prices Quantile regression Emerging markets |
领域 | 气候变化 |
收录类别 | SCI-E ; SSCI |
WOS记录号 | WOS:000498307500045 |
WOS关键词 | PRICE SHOCKS ; ECONOMIC-ACTIVITY ; SECTOR ANALYSIS ; IMPACTS ; BEHAVIOR ; RISK |
WOS类目 | Economics ; Energy & Fuels ; Environmental Sciences ; Environmental Studies |
WOS研究方向 | Business & Economics ; Energy & Fuels ; Environmental Sciences & Ecology |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://119.78.100.173/C666/handle/2XK7JSWQ/224541 |
专题 | 环境与发展全球科技态势 |
作者单位 | 1.Eastern Mediterranean Univ, Dept Econ, Via Mersin 10, Famagusta, Northern Cyprus, Turkey; 2.Southern Illinois Univ, Dept Econ & Finance, Edwardsville, IL 62026 USA; 3.Drexel Univ, Lebow Coll Business, Philadelphia, PA 19104 USA; 4.Montpellier Business Sch, ESD, Montpellier, France |
推荐引用方式 GB/T 7714 | Balcilar, Mehmet,Demirer, Riza,Hammoudeh, Shawkat. Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets[J]. ENERGY POLICY,2019,134. |
APA | Balcilar, Mehmet,Demirer, Riza,&Hammoudeh, Shawkat.(2019).Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets.ENERGY POLICY,134. |
MLA | Balcilar, Mehmet,et al."Quantile relationship between oil and stock returns: Evidence from emerging and frontier stock markets".ENERGY POLICY 134(2019). |
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