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

Jussi Nikkinen, Kashif Saleem, Minna Martikainen, Mohammed Omran

Research output: Contribution to journalArticleScientificpeer-review

6 Citations (Scopus)


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 languageEnglish
Article number10.2753/REE1540-496X5003S310
Peer-reviewed scientific journalEmerging Markets Finance and Trade
Issue numberSupplement 3
Pages (from-to)169-189
Number of pages20
Publication statusPublished - 29.09.2014
MoE publication typeA1 Journal article - refereed


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


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