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.
|Peer-reviewed scientific journal||Emerging Markets Finance and Trade|
|Issue number||Supplement 3|
|Number of pages||20|
|Publication status||Published - 29.09.2014|
|MoE publication type||A1 Journal article - refereed|
- 512 Business and Management
- emerging markets, global risk, ICAPM, multivariate GARCH, oil risk