The time-varying effects of oil prices on oil-gas stock returns of the fragile five countries

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dc.contributor.authorKosedagli, Begum Yurteri
dc.contributor.authorKisla, Gul Huyuguzel
dc.contributor.authorCatik, A. Nazif
dc.date.accessioned2021-05-03T20:33:18Z
dc.date.available2021-05-03T20:33:18Z
dc.date.issued2021
dc.departmentEge Üniversitesien_US
dc.description.abstractThis study analyzes oil price exposure of the oil-gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter instabilities due to fluctuations in the oil and stock markets over the period under study. Moreover, the time-varying estimates indicate that the oil-gas sectors of these countries are riskier than the overall stock market. The results further suggest that, except for Indonesia, oil prices have a positive impact on the sectoral returns of all markets, whereas the impact of the exchange rates on the oil-gas sector returns varies across time and countries.en_US
dc.identifier.doi10.1186/s40854-020-00224-y
dc.identifier.issn2199-4730
dc.identifier.issn2199-4730en_US
dc.identifier.issue1en_US
dc.identifier.scopus2-s2.0-85098703336en_US
dc.identifier.scopusqualityQ1en_US
dc.identifier.urihttps://doi.org/10.1186/s40854-020-00224-y
dc.identifier.urihttps://hdl.handle.net/11454/69951
dc.identifier.volume7en_US
dc.identifier.wosWOS:000605208000001en_US
dc.identifier.wosqualityQ1en_US
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.language.isoenen_US
dc.publisherSpringeren_US
dc.relation.ispartofFinancial Innovationen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectSectoral stock returnen_US
dc.subjectOil priceen_US
dc.subjectTime-varying parameter modelen_US
dc.subjectFragile fiveen_US
dc.titleThe time-varying effects of oil prices on oil-gas stock returns of the fragile five countriesen_US
dc.typeArticleen_US

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