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ArticleOil price risk and emerging stock markets

Syed Abul Basher2006

Article2006

Oil price risk and emerging stock markets

Syed Abul Basher · Perry Sadorsky

932 citations·0/0 files stored·Global Finance Journal

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Market Dynamics and Volatility Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1996Multifactor Explanations of Asset Pricing Anomalies 2012The Econometrics of Financial Markets

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Year2006

Typearticle

Published2006-10-20

VenueGlobal Finance Journal

ISSN-L1044-0283

Languageen

Citations932

Files0 public / 0

ShelfMarket Dynamics and Volatility

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doi10.1016/j.gfj.2006.04.001

openalex_workW2020857086

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Cited by

2007Oil prices and the stock prices of alternative energy companies 2011Oil prices, exchange rates and emerging stock markets 2011Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management 2009Crude oil and stock markets: Stability, instability, and bubbles 2011On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness 2011Return and volatility transmission between world oil prices and stock markets of the GCC countries 2016The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes 2017Oil shocks and stock markets revisited: Measuring connectedness from a global perspective