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Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries

Author

Listed:
  • Satish Kumar

    (IGE-PCV - Interactions Gène-Environnement en Physiopathologie Cardio-Vasculaire - INSERM - Institut National de la Santé et de la Recherche Médicale - UL - Université de Lorraine)

  • Rabeh Khalfaoui

    (ICN Business School)

  • Aviral Kumar Tiwari

    (Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School)

Abstract

We examine the nonlinear dependence structure between oil (WTI, Brent, Gas oil, Heating oil) and the stock market returns for 14 emerging market indices in oil-exporting and oil-importing countries before and after conditioning upon geopolitical risk using a novel developed quantile dependence approach – cross-quantilogram. When the dependence structure of oil prices with the stock markets of major oil-exporting and oil-importing countries is analyzed without controlling for the geopolitical risk, we do not find any significant dependence. However, after conditioning for geopolitical risk factors, we find the evidence of significant positive (negative) quantile dependence when both oil and stock returns are in the same (either in lower and middle) quantiles of the distribution. Further, the response of oil-exporting equity markets to oil shocks is significantly higher and more persistent than that of oil-importing countries. Results are crucial for diversification benefits and strategy decision making. Since serious geopolitical risk leads to high directional predictability spillover from oil to the stock markets of oil-exporting and oil-importing stock markets, investors and portfolio managers should be cautious when formulating their portfolios and making good hedging strategies. In terms of diversification, it is more suitable for international investors to construct a portfolio of stocks in net oil-importing instead of net oil-exporting countries under geopolitical risk control.
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Suggested Citation

  • Satish Kumar & Rabeh Khalfaoui & Aviral Kumar Tiwari, 2021. "Does geopolitical risk improve the directional predictability from oil to stock returns? Evidence from oil-exporting and oil-importing countries," Post-Print hal-03797578, HAL.
    • Handle: RePEc:hal:journl:hal-03797578
    DOI: 10.1016/j.resourpol.2021.102253
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    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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