Oil sensitivity and systematic risk in oil-sensitive stock indices

By Shawkat Hammoudeh, Huimin Li. 2005

207 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/144cd7c49fa900484c06d522f9d02776ff0d27da

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In Economics and Econometrics

Citations in the corpus

Oil Prices, Exchange Rates and Emerging Stock Markets (2011, unknown): “6 While most of the research investigating the relationship between oil prices and stock prices has been conducted using developed economies, there is some research looking into the relationship between oil prices and emerging stock markets (see for example, Hammoudeh and Aleisa, 2004; Hammoudeh and”
Conditional correlations and volatility spillovers between crude oil and stock index returns (2010, unknown): “Hammoudeh and Li (2005) show that oil price growth leads the stock returns of oilexporting countries and oil-sensitive industries in the USA.”
Oil price shocks and stock market returns: New evidence from the United States and China (2014, background): “(2011), Arouri et al. (2011), Arouri and Nguyen (2010), Kilian and Park (2009), Nandha and Faff (2008), Boyer and Filion (2007), El-Sharif et al. (2005) and Hammoudeh and Li (2005).”
Influential factors in crude oil price forecasting (2017, methodology): “Following Hammoudeh and Li (2005) we use the S&P 500 and MSCI World indexes, respectively as proxies for the U.S. and world equity markets.”
Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment (2013, unknown): “2 See, Park and Ratti (2008), Henriques and Sadorsky (2008), Basher and Sadorsky (2006), Huang et al. (2005), Hammoudeh and Huimin (2005), Hammoudeh et al. (2004), Hammoudeh and Aleisa (2004), Sadorsky (2001), Papapetrou (2001), Faff and Brailsford (1999), Huang et al. (1996), Jones and Kaul…”
Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “Similarly, Hammoudeh and Li (2005) report the negative effects of oil price changes in the case of the Transportation sector.”
Co-movement of international crude oil price and Indian stock market: Evidences from nonlinear cointegration tests (2016, background): “Hatemi-J (2008) has proposed a test which incorporates two possible endogenous regime shifts in the cointegrating relationship.”