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Oil price risk and emerging stock markets

Author

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  • Basher, Syed A.
  • Sadorsky, Perry
Abstract
This paper uses an international multi-factor Arbitrage Pricing Theory (APT) model that allows for both unconditional and conditional risk factors to investigate the relationship between oil price risk and emerging stock market returns. 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.
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Suggested Citation

  • Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
    • Handle: RePEc:eee:glofin:v:17:y:2006:i:2:p:224-251
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    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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