Abstract
The aim of this research is to examine the time-varying correlation between selected industrial sector indices (oil-intensive, oil-substitutes and non-oilrelated) and oil price shocks. We investigate this correlation for both oil-importing and oil-exporting economies. Using data from 1998 until 2013 and employing a Scalar-BEKK model, we report the following regularities: (1) the correlation between oil price shocks and index returns are showing some differences depending on whether a country is oil-importer or oil-exporter, (2) the correlations are industry-specific and shock-specific and (3) the demand-side shocks mainly generate moderate positive correlations, whereas index returns have low to zero correlation with the supply-side shocks. Prominent among our results is that oil-specific demand shocks have a moderate positive correlation with all indices. Our results have important implication for investors, as well as policy makers.
| Original language | English |
|---|---|
| Title of host publication | Energy Technology and Valuation Issues |
| Publisher | Springer International Publishing |
| Pages | 25-55 |
| Number of pages | 31 |
| ISBN (Electronic) | 9783319137469 |
| ISBN (Print) | 9783319137452 |
| DOIs | |
| Publication status | Published - 1 Jan 2015 |
| Externally published | Yes |
Keywords
- Industrial sectors
- Oil price regulation
- Oil price shocks
- Stock market returns
ASJC Scopus subject areas
- Economics, Econometrics and Finance(all)
- General Business,Management and Accounting
- General Social Sciences