کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5063988 | 1476708 | 2016 | 10 صفحه PDF | دانلود رایگان |
- Examine causalities in mean and variance between oil prices and Jordanian sectoral indices.
- Account for the impact of the Arab uprisings on causalities.
- Sectoral indices respond differently to oil price shock/volatility.
- Sector-based response is affected by the uprisings.
In this paper, we test for mean and variance causality between world oil prices and sectoral equity returns in Jordan before and after the Arab Uprisings that started in 2010. The testing methodology is based on the sample of cross-correlation functions that are computed from the standardized residuals of a GARCH process. Our results show that the influence is not uniform across the equity sectors. The oil return shocks significantly impact the Financials and the Services sectors, while its effect is insignificant on the Industrials sector. This result is more pronounced in the period that follows the Arab Uprisings. In terms of risk transfer, we find that oil is a negligible risk factor. However, there is still a significant evidence of risk transmission to the Industrials sector particularly during the Arab Uprisings period. These results represent a unique information transmission mechanism that is useful for risk management and portfolio diversification.
Journal: Energy Economics - Volume 56, May 2016, Pages 205-214