Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010

被引：67

作者：

Bouri, Elie ^{[1
]}

Awartani, Basel ^{[2
]}

Maghyereh, Aktham ^{[3
]}

机构：

[1] Holy Spirit Univ Kaslik, USEK Business Sch, POB 446, Jounieh, Lebanon

[2] Univ Plymouth, Plymouth Business Sch, Plymouth PL4 8AA, Devon, England

[3] United Arab Emirates Univ, Dept Econ & Finance, Al Ain, U Arab Emirates

来源：

ENERGY ECONOMICS | 2016年 / 56卷

关键词：

Causality; Mean; Variance; Oil prices; Stock market sector; Political risk; Jordan; Arab uprisings; VOLATILITY SPILLOVERS; TIME-SERIES; CAUSALITY; MARKETS; VARIANCE; SHOCKS; ENERGY;

D O I：

10.1016/j.eneco.2016.03.021

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：205 / 214

页数：10

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