Oil Price Risk and Stock Markets
NIU, HUI (2012) Oil Price Risk and Stock Markets. [Dissertation (University of Nottingham only)] (Unpublished)
The oil price risk refers to the uncertainty of the change in oil price and the stock markets studied in this paper are the so called emerging ones. Fourteen countries are selected for a quantitative research on the link between the oil price fluctuation and the stock market performance. A multi-factor model is applied and specifically an OLS regression is conducted separately for the data on Brazilian stock market. As a result, the rising oil price decreases stock price in oil-importing countries and the rising oil price encourages the emerging stock market in oil-exporting countries. However, the relationship between the exchange rate change and the stock market is unveiled.
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