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Energy commodity uncertainties and the systematic risk of US industries

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  • Naeem, Muhammad Abubakr
  • Balli, Faruk
  • Shahzad, Syed Jawad Hussain
  • de Bruin, Anne

Abstract

We investigate the impact of energy commodity uncertainties on the systematic risk of twelve industries in the US. The dynamic betas using the dynamic conditional correlation – generalized auto-regressive conditional heterosckedasticity (DCC-GARCH) model, indicate that real estate, financials, and basic materials are the high-risk industries. Notably, the systematic risk of oil and gas sector was significantly affected during the Global Financial Crisis (GFC) and the Shale Oil Revolution (SOR) sub-periods. Our results provide convincing evidence of the positive impact of energy uncertainties on basic material, basic resources, financials, oil and gas, and real estate. On the other hand, we identify the negative impact on consumer goods, consumer services, health care, industrials, and technology industries. These findings have implications for investment and risk management.

Suggested Citation

  • Naeem, Muhammad Abubakr & Balli, Faruk & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2020. "Energy commodity uncertainties and the systematic risk of US industries," Energy Economics, Elsevier, vol. 85(C).
    • Handle: RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303846
    DOI: 10.1016/j.eneco.2019.104589
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    Keywords

    Industry betas; Energy commodity uncertainties; Risk predictability;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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