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dc.contributor.authorAbul Basher, Syed
dc.contributor.authorHaug, Alfred
dc.contributor.authorSadorsky, Perry
dc.date.available2017-10-04T01:40:43Z
dc.date.copyright2017-10
dc.identifier.citationAbul Basher, S., Haug, A., & Sadorsky, P. (2017). The impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approach (Economics Discussion Papers Series No. 1710). University of Otago. Retrieved from http://hdl.handle.net/10523/7569en
dc.identifier.issn1178-2293
dc.identifier.urihttp://hdl.handle.net/10523/7569
dc.description.abstractThe impact that oil shocks have on stock prices in oil exporting countries has implications for both domestic and international investors. We derive the shocks driving oil prices from a fully-identified structural model of the oil market. We study their nonlinear relationship with stock market returns in major oil-exporting countries in a multi-factor Markov-switching framework. Flow oil-demand shocks have a statistically significant impact on stock returns in Canada, Norway, Russia, Kuwait, Saudi Arabia, and the UAE. Idiosyncratic oil-market shocks affect stock returns in Norway, Russia, Kuwait, Saudi Arabia and UAE. Speculative oil shocks impact stock returns in Canada, Russia, Kuwait and the UAE. Flow oil-supply shocks matter for the UK, Kuwait, and UAE. Mexico is the only country where stock returns are unaffected by oil shocks. These results shed important light on investor sentiment toward the relationship between oil shocks and stock markets in oil exporting countries.en_NZ
dc.format.mimetypeapplication/pdf
dc.language.isoenen_NZ
dc.publisherUniversity of Otagoen_NZ
dc.relation.ispartofseriesEconomics Discussion Papers Seriesen_NZ
dc.rightsAttribution-NonCommercial-ShareAlike 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/4.0/*
dc.subjectMarkov-switchingen_NZ
dc.subjectoil-exporting countriesen_NZ
dc.subjectoil-market shocksen_NZ
dc.subjectstock returnsen_NZ
dc.titleThe impact of oil-market shocks on stock returns in major oil-exporting countries: A Markov-switching approachen_NZ
dc.typeDiscussion Paperen_NZ
dc.date.updated2017-10-02T00:37:47Z
otago.schoolOtago Business School / Department of Economicsen_NZ
otago.openaccessOpenen_NZ
otago.relation.number1710en_NZ
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Attribution-NonCommercial-ShareAlike 4.0 International
Except where otherwise noted, this item's licence is described as Attribution-NonCommercial-ShareAlike 4.0 International