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This paper examines the volatility transmissions between the oil and stock markets by performing causality-in-variance tests across a number of emerging (oil) importing and exporting nations. The volatility spillover causality tests generally rule out country-to-oil effects, suggesting unidirectional volatility transmissions from oil prices to emerging stock markets, particularly in the case of the...
The main goal of this paper is to examine whether oil price risk is systematically priced in the cross-section of stock returns in net oil-exporting countries even after controlling for market and firm-level risk factors. Using firm-level data from the Gulf Arab stock markets, we find that stocks that are more sensitive to oil price changes indeed yield significantly higher returns, suggesting that...
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