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 in the stock market returns of five developed countries (USA, Germany, France, Italy, and Japan) and five emerging countries (Tunisia, Argentina, Thailand, Brazil, and Jordan). A panel data approach is employed for the period covering January 2004 to December 2014. The methodology used in this paper is an international multi-factor model which allows for both unconditional and conditional risk factors to investigate the impact of the effects of the oil price risk and market risk of the stock market returns depending on whether the returns for each risk factor are increasing or decreasing. In the long-term, the oil price beta is significant for five developing markets only when the oil prices are up and they have not much effect on the emerging market for both up and down markets.
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