Abstract
The purpose of this paper is to contribute to the literature on stock markets and energy prices by studying the impact of oil price changes on a large set of emerging stock market returns. The approach taken in this paper uses an international multi-factor model that allows for both unconditional and conditional risk factors to investigate the relationship between oil price risk and emerging stock market returns. This paper, thus, represents one of the first comprehensive studies of the impact of oil price risk on emerging stock markets. In general we find strong evidence that oil price risk impacts stock price returns in emerging markets. Results for other risk factors like market risk, total risk, skewness, and kurtosis are also presented. These results are useful for individual and institutional investors, managers and policy makers.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
