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Oil Price Risk and Financial Contagion

Guesmi, Khaled; Abid, Ilyes; Creti, Anna; Chevallier, Julien (2018), Oil Price Risk and Financial Contagion, The Energy Journal, 39, Special issue 2, p. 97-115. 10.5547/01956574.39.SI2.kgue

Type
Article accepté pour publication ou publié
External document link
http://dx.doi.org/10.5547/01956574.39.SI2.kgue
Date
2018
Journal name
The Energy Journal
Volume
39
Number
Special issue 2
Pages
97-115
Publication identifier
10.5547/01956574.39.SI2.kgue
Metadata
Show full item record
Author(s)
Guesmi, Khaled
IPAG Paris
Abid, Ilyes
autre
Creti, Anna
Laboratoire d'Economie de Dauphine [LEDa]
Chevallier, Julien
Laboratoire d'Economie Dionysien [LED]
IPAG Lab [IPAG Lab]
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.
Subjects / Keywords
Global financial crisis; financial contagion; Oil price risk; ICAPM; GJR-DCC-GARCH
JEL
Q41 - Demand and Supply; Prices
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
E44 - Financial Markets and the Macroeconomy
G11 - Portfolio Choice; Investment Decisions
Q40 - General
Q35 - Hydrocarbon Resources
Q31 - Demand and Supply; Prices

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