Oil price uncertainty and the risk‐return relation in stock markets: Evidence from oil‐importing and oil‐exporting countries

2020 ◽  
Author(s):  
Zhifang He ◽  
Jiaqi Chen ◽  
Fangzhao Zhou ◽  
Guoqing Zhang ◽  
Fenghua Wen
Keyword(s):  
Stock Markets ◽  
Oil Price ◽  
Price Uncertainty ◽  
Risk Return

Impact of oil price uncertainty on Middle East and African stock markets

Energy ◽  
2017 ◽  
Vol 123 ◽  
pp. 189-197 ◽  
Author(s):  
Anupam Dutta ◽  
Jussi Nikkinen ◽  
Timo Rothovius
Keyword(s):  
Middle East ◽  
Stock Markets ◽  
Oil Price ◽  
Price Uncertainty

scholarly journals The impact of oil price uncertainty on GCC stock markets

2019 ◽  
Vol 64 ◽  
pp. 101526 ◽  
Author(s):  
Abdullah Alqahtani ◽  
Tony Klein ◽  
Ali Khalid
Keyword(s):  
Stock Markets ◽  
Oil Price ◽  
Price Uncertainty ◽  
The Impact

scholarly journals Oil Price Uncertainty, Globalization, and Total Factor Productivity: Evidence from the European Union

Energies ◽  
2021 ◽  
Vol 14 (12) ◽  
pp. 3429
Author(s):  
Svetlana Balashova ◽  
Apostolos Serletis
Keyword(s):  
European Union ◽  
Total Factor Productivity ◽  
New Technologies ◽  
Innovation System ◽  
Price Volatility ◽  
Oil Price ◽  
Price Uncertainty ◽  
The European Union ◽  
Factor Productivity ◽  
Tfp Growth

This paper uncovers linkages between oil price uncertainty, total factor productivity (TFP) growth, and critical indicators of knowledge production and spillovers. It contributes to the literature by investigating the effects of oil price volatility on TFP growth, controlling for two different channels for TFP growth; benefits from the quality of the national innovation system and from adopting new technologies. We use an unbalanced panel for 28 European Union countries for the period from 1990 to 2018. We find that oil price uncertainty has a negative and statistically significant effect on TFP growth, even after we control for technological advancements and the effects of globalization. We also find that the scale of research and innovation and international trade are positive contributors to TFP growth.

scholarly journals WTI OIL SHOCKS IN EASTERN EUROPEAN STOCK MARKETS: A VAR APPROACH

2021 ◽  
Author(s):  
Rui Dias ◽  
◽  
Hortense Santos ◽  
Paula Heliodoro ◽  
Cristina Vasco ◽  
...  
Keyword(s):  
Stock Markets ◽  
Oil Prices ◽  
Oil Price ◽  
Portfolio Diversification ◽  
Oil Shocks ◽  
Eastern European ◽  
Safe Haven ◽  
Wald Tests ◽  
Stock Indices ◽  
European Stock Markets

The 2020 Russia-Saudi Oil Price War was an economic war triggered in March 2020 by Saudi Arabia in response to Russia’s refusal to reduce oil production to keep oil prices at a moderate level. In view of these events, this study aims to analyze oil shocks (WTI) in the eastern European stock markets, namely the stock indices of Hungary (BUX), Croatia (CROBE), Russia (MOEX), Czech Republic (PRAGUE), Slovakia (SAX 16), Slovenia (SBI TOP), Bulgaria (SOFIX), from September 2019 to January 2021. The results show mostly structural breakdowns in March 2020, while the VAR Granger Causality/Block Exogeneity Wald Tests model shows two-way shocks between oil (WTI) and the stock markets analyzed. These findings show that the hypothesis of portfolio diversification may be called into question. As a final discussion, we consider that investors should avoid investments in stock markets, at least as long as this pandemic last, and rebalance their portfolios into assets considered “safe haven” for the purpose of mitigating risk and improving the efficiency of their portfolios.

Sign in / Sign up

Export Citation Format

Share Document