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ID169756
Title ProperQuantile relationship between oil and stock returns
Other Title Informationevidence from emerging and frontier stock markets
LanguageENG
AuthorBalcilar, Mehmet
Summary / Abstract (Note)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.
`In' analytical NoteEnergy Policy  , No.134; Nov 2019: p.110931
Journal SourceEnergy Policy 2019-11
Key WordsOil Prices ;  Quantile Regression ;  Emerging Markets ;  Stock Returns