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Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets
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http://hdl.handle.net/1860/1176
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| Title: | Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets |
| Authors: | Nandha, Mohan
Hammoudeh, Shawkat |
| Keywords: | Asia Pacific
Stock Market
Oil Price Sensitivity
Systematic Risk
Exchange Rate |
| Issue Date: | 28-Sep-2006 |
| Publisher: | Elsevier Science B.V. |
| Citation: | Research in International Business and Finance, Article in Press, Corrected Proof. http://dx.doi.org/10.1016/j.ribaf.2006.09.001 |
| Abstract: | This paper examines the relationship between beta risk and realized stock
index return in the presence of oil and exchange rate sensitivities for fifteen countries
in the Asia-Pacific region using the international factor model. Thirteen of the 15
countries have the expected beta signs and show significant sensitivity to domestic
risk when the world stock market is in both up and down modes. In terms of oil
sensitivity, only the Philippines and South Korea are oil-sensitive to changes in the oil
price in the short run, when the price is expressed in local currency only. Basically no
country shows sensitivity to oil price measured in US dollar regardless whether the oil
market is up or down. Nine countries are affected by changes in the exchange rate. In
terms of relative factor sensitivity distribution, one is willing to conclude that these
stock markets are more conditionally sensitive to local currency oil price changes than
to beta risk wherever the relationships are significant. |
| URI: | http://hdl.handle.net/1860/1176 |
| Appears in Collections: | Faculty Research and Publications (Economics & International Business)
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