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

Jussi Nikkinen, Kashif Saleem, Minna Martikainen, Mohammed Omran

Forskningsoutput: TidskriftsbidragArtikelVetenskapligPeer review

5 Citeringar (Scopus)

Sammanfattning

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.
OriginalspråkEngelska
Artikelnummer10.2753/REE1540-496X5003S310
Referentgranskad vetenskaplig tidskriftEmerging Markets Finance and Trade
Volym50
UtgåvaSupplement 3
Sidor (från-till)169-189
Antal sidor20
ISSN1540-496X
DOI
StatusPublicerad - 29.09.2014
MoE-publikationstypA1 Originalartikel i en vetenskaplig tidskrift

Nyckelord

  • 512 Företagsekonomi
  • KOTA2014

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