Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model

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• 作者：Ahmed A. Khalifa^a ; ^{aliabdelkh@qu.edu.qa} ; Abdulwahab A. Alsarhan^b ; ^{aa.alsarhan@paaet.edu.kw} ; Pietro Bertuccelli^c ; ^{pietro.bertuccelli@gmail.com}
• 关键词：G11 ; G15
• 刊名：Research in International Business and Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：39
• 期：part_PA
• 页码：307-314
• 全文大小：427 K
• 卷排序：39

文摘

We employ the spillover Asymmetric Multiplicative Error Model (SAMEM) to investigate the impacts of the global financial crises and the geopolitical instability in the oil rich countries. Consequently, such these events have a significant impact on the petroleum-based stock markets in the Gulf Cooperation Council (GCC) countries. The geopolitical instability includes several sources such as the Iran nuclear negotiations, the ISIS and other jihadist organizations, the continuous interruption in Iraq, the civil war in Syria, Libya, Yemen, as well as the rivalry between Shiite Iran and Sunni Saudi Arabia is the engine of conflict in the Middle East have a great impact on the oil price fluctuation. We find that the recent global financial crises and the geopolitical instability have a significant impact on both oil and natural gas prices. These shocks also have a significant impact on the selected petroleum-based stock markets during the period (July 18th, 2006–July 30th, 2015). The policy implications of the results are important for portfolio managers in the financial markets and the policy makers in the petroleum-based economies (as represented by the GCC stock markets).