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Oil Price Risk and Financial Contagion

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Date
2018
Link to item file
http://dx.doi.org/10.5547/01956574.39.SI2.kgue
Dewey
Economie de la terre et des ressources naturelles
Sujet
Global financial crisis; financial contagion; Oil price risk; ICAPM; GJR-DCC-GARCH
JEL code
Q.Q4.Q41; G.G1.G12; E.E4.E44; G.G1.G11; Q.Q4.Q40; Q.Q3.Q35; Q.Q3.Q31
Journal issue
The Energy Journal
Volume
39
Number
Special issue 2
Publication date
2018
Article pages
97-115
DOI
http://dx.doi.org/10.5547/01956574.39.SI2.kgue
URI
https://basepub.dauphine.fr/handle/123456789/20101
Collections
  • LEDa : Publications
Metadata
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Author
Guesmi, Khaled
115603 IPAG Paris
Abid, Ilyes
115536 autre
Creti, Anna
163511 Laboratoire d'Economie de Dauphine [LEDa]
Chevallier, Julien
173249 Laboratoire d'Economie Dionysien [LED]
224794 IPAG Lab [IPAG Lab]
Type
Article accepté pour publication ou publié
Abstract (EN)
In this paper we test for the existence of equity market contagion, originating from oil price fluctuations, to regional and domestic stock markets. The data are collected over the period from April 1993 to April 2015. We apply an empirical multifactor asset pricing model with three-factor setting to capture the unexpected return and disentangle simple correlation due to fundamentals and contagion. We investigate four regions: the European Monetary Union (EMU), Asia-Pacific (AP), the Non-European Monetary Union (NEMU) and North America (NA). We define contagion as the excess correlation that is not explained by fundamental factors. Oil price risk is shown to be a factor as important as contagion. In addition, oil price fluctuations amplify contagion in the context of regional markets strongly interlinked with the USA.

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