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Response of Stock Returns to Oil Price Shocks: Evidence from Oil Importing and Exporting Countries
Jamal Bouoiyour,Refk Selmi,Syed Jawad Hussain Shahzad,Muhammad Shahbaz 세종대학교 경제통합연구소 2017 Journal of Economic Integration Vol.32 No.4
This paper examines the entire dependence structure of the quantile of stock return and that of oil price shocks, thereby extending the Quantile Regression to a Quantile-on-Quantile Regression. Based on historical monthly data covering the period April 1994~ September 2015, it was shown that there is substantial heterogeneity in the stock returns and oil price relationship across oil importing countries and oil exporting countries. Specifically, we find that the stocks of oil exporters that possess large proven oil reserves, in particular, Venezuela, Russia, and Saudi Arabia are typically more responsive toward demand-side oil shocks than those of oil importers. The intensity and the extent of these responses differ depending on the different stock market conditions and the nuances of oil price movements. Accordingly, profitable speculation and arbitrage strategies can be built on the basis of our findings.
Uddin, Gazi Salah,Hernandez, Jose Areola,Shahzad, Syed Jawad Hussain,Yoon, Seong-Min Elsevier 2018 International Review of Financial Analysis Vol.56 No.-
<P><B>Abstract</B></P> <P>This study investigates the efficiency of conventional and Islamic stock markets and their diversification potential by using multifractal de-trended fluctuation analysis (MF-DFA), wavelet squared coherence (WTC) and wavelet Value-at-Risk (VaR). Evidence from regional and country-level markets indicates Islamic stocks are less efficient than conventional ones in the short term, however more efficient in the medium term. Conventional stocks in the UK, Japan, and emerging markets are more efficient than the Islamic ones in the long term, whereas those from the US and Europe are less efficient. The wavelet VaR shows that conventional stock markets are at least as risky as the Islamic ones.</P>