Oil Risk and Asset Returns: Evidence from Emerging Markets in the Middle East

Jussi Nikkinen; Kashif Saleem; Minna Martikainen; Mohammed Omran

doi:10.2753/REE1540-496X5003S310

Oil Risk and Asset Returns: Evidence from Emerging Markets in the Middle East

Jussi Nikkinen, Kashif Saleem, Minna Martikainen, Mohammed Omran

Accounting, Helsinki

Research output: Contribution to journal › Article › Scientific › peer-review

6 Citations (Scopus)

Abstract

In this paper, we investigate whether oil risk is priced in selected emerging markets of the Middle East region—in particular, oil-producing countries. Given that these countries have maintained fixed exchange rates against the U.S. dollar, we are able to modify the multivariate GARCH framework to include the oil-risk component. The results show that within the framework we adopt, the world market risk and oil risk are priced on all markets under investigation. The oil risk is highly significant in all markets, indicating that oil-risk exposure, to some extent, is nondiversifiable.

Original language	English
Article number	10.2753/REE1540-496X5003S310
Peer-reviewed scientific journal	Emerging Markets Finance and Trade
Volume	50
Issue number	Supplement 3
Pages (from-to)	169-189
Number of pages	20
ISSN	1540-496X
DOIs	https://doi.org/10.2753/REE1540-496X5003S310
Publication status	Published - 29.09.2014
MoE publication type	A1 Journal article - refereed

Keywords

512 Business and Management
emerging markets, global risk, ICAPM, multivariate GARCH, oil risk
KOTA2014

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Oil Risk and Asset Returns: Evidence from Emerging Markets in the Middle East

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Keywords

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