Article ID Journal Published Year Pages File Type
5055122 Economic Modelling 2012 10 Pages PDF
Abstract
► We study the effects of oil price shocks on emerging market returns. ► The reaction to oil shocks depends on market's oil-dependence profile. ► Stock returns are more conditionally sensitive to risk factors. ► Oil risk is prevailing for markets exhibiting a positive correlation with oil.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Assessing the impacts of oil price fluctuations on stock returns in emerging markets
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