Exposure of stock sector returns to petroleum price shocks: The case of petroleum exporters and importers

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2025-03-12 DOI:10.1016/j.ribaf.2025.102869

Miramir Bagirov , Cesario Mateus

引用次数: 0

Abstract

Employing the novel technique of disentangling daily demand, supply and risk shocks, this study examines their impact on manually constructed ten sector indices of petroleum exporters and importers. The empirical results suggest that the sign and magnitude of observed sectors’ sensitivities are contingent on the nature of petroleum shocks and differ across petroleum exporters and importers. The total connectedness between petroleum shocks and stock sector indices, which is greater for importers, strengthens during the financial crisis and geopolitical tensions. Overall, the applied methodologies indicate that stock returns in sectors of petroleum exporters and importers are predominantly driven by demand shocks.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

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