The oil price risk and global stock returns

Purpose The purpose of this paper is to examine whether oil price risk is a significant determinant of stock returns. Design/methodology/approach Using monthly data on a sample of Islamic stocks listed on the New York Stock Exchanges and National Association of Securities Dealers Automated Quotations System (NASDAQ) over the period from January 1990 to December 2017, the study examines whether oil price risk is a significant determinant of stock returns using Fama–French–Carhart’s four-factor asset pricing model amplified with Brent oil price factor. Findings The results from the cross-sectional regression analysis indicate that the extent of the exposure is significantly positive using a full sample period. Moreover, results from size and momentum factors are highly significant whereas book-to-market has no significant impact on Islamic stock returns. Research limitations/implications The results support the concept for diversification in equity investment and are thus important for investors, analysts and policymakers. Originality/value This study is the first of its kind to establish whether oil price risk is a factor that can determine returns of Islamic listed stocks using the most developed stock market in the world (New York Stock Exchanges and NASDAQ).

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COVID−19 and Oil Price Risk Exposure

SSRN Electronic Journal ◽

10.2139/ssrn.3650151 ◽

2020 ◽

Author(s):

Md Akhtaruzzaman ◽

Sabri Boubaker ◽

Mardy Chiah ◽

Angel Zhong

Keyword(s):

Oil Price ◽

Risk Exposure ◽

Price Risk ◽

Oil Price Risk

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Impact of oil volatility shocks on global emerging market stock returns

International Journal of Managerial Finance ◽

10.1108/ijmf-03-2017-0039 ◽

2017 ◽

Vol 13 (5) ◽

pp. 578-591 ◽

Cited By ~ 7

Author(s):

Probal Dutta ◽

Md Hasib Noor ◽

Anupam Dutta

Keyword(s):

Stock Returns ◽

Emerging Market ◽

Equity Returns ◽

Oil Price ◽

Financial Assets ◽

Stock Market Returns ◽

Content Type ◽

Volatility Index ◽

Jump Model ◽

Oil Price Risk

Purpose The purpose of this paper is to investigate whether the crude oil volatility index (OVX) plays any key role in explaining the trend in emerging market stock returns from a global standpoint. Design/methodology/approach At the empirical stage, different forms of the GARCH-jump model have been estimated. Findings The findings confirm the effects of OVX on equity returns. In addition, the results document that there exist time-varying jumps in the stock market returns. Besides, the impacts of OVX shocks appear to be symmetric. The analysis further shows that the magnitude of OVX impact is marginally bigger than that of the conventional oil price shocks. Originality/value Since various financial assets are traded on the basis of oil and equity markets, investors, for instance, could use the findings of this study for taking proper investment decisions and gaining better portfolio diversification benefits. Additionally, policymakers could utilize the results to develop effective measures and strategies in order to minimize the oil price risk.

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