Abstract
In this paper, we test for mean and variance causality between world oil prices and sectoral equity returns in Jordan before and after the Arab Uprisings that started in 2010. The testing methodology is based on the sample of cross-correlation functions that are computed from the standardized residuals of a GARCH process. Our results show that the influence is not uniform across the equity sectors. The oil return shocks significantly impact the Financials and the Services sectors, while its effect is insignificant on the Industrials sector. This result is more pronounced in the period that follows the Arab Uprisings. In terms of risk transfer, we find that oil is a negligible risk factor. However, there is still a significant evidence of risk transmission to the Industrials sector particularly during the Arab Uprisings period. These results represent a unique information transmission mechanism that is useful for risk management and portfolio diversification.
DOI
10.1016/j.eneco.2016.03.021
Publication Date
2016-05-01
Publication Title
Energy Economics
Volume
56
Publisher
Elsevier BV
ISSN
0140-9883
Embargo Period
2024-11-19
First Page
205
Last Page
214
Recommended Citation
Bouri, E., Awartani, B., & Maghyereh, A. (2016) 'Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010', Energy Economics, 56, pp. 205-214. Elsevier BV: Available at: https://doi.org/10.1016/j.eneco.2016.03.021
Comments
publisher: Elsevier articletitle: Crude oil prices and sectoral stock returns in Jordan around the Arab uprisings of 2010 journaltitle: Energy Economics articlelink: http://dx.doi.org/10.1016/j.eneco.2016.03.021 content_type: article copyright: © 2016 Elsevier B.V. All rights reserved.