بررسی اثرات بازده نفت در بازارهای سهام در حال ظهور: رویکرد داده های پانل برای ده کشور اروپای مرکزی و شرقی

This paper uses an international multi-factor model in order to investigate the relationship between oil price risk and stock market returns for the emerging capital markets of the Central and Eastern European Countries (CEECs). A panel data approach is being employed for the period covering 22 October 1999 until 23 August 2007. The oil price beta is found to be negative and statistically significant suggesting that the oil price is indeed an important factor in determining stock returns. No statistically significant non-linear dependency is found between market risk and emerging market stock returns or between oil price risk and returns. Observation of conditional models shows positive reaction of emerging stock market returns to upward movements of market returns. The reaction of the stock returns to upward and downward movements of the oil market is also negative but more significant when oil prices are low.

Crude oil is one of the most important commodities in our society, and today's economies are very dependent on oil. When observing the world economy it is almost impossible to identify a factor that has a greater influence than the oil price and oil price shocks. Fluctuations of oil prices are responsible for economic recessions through reduced productivity, excessive inflation and lower economic growth. Increases in the oil price and consequent increases in oil import bills result in higher transportation and higher production costs. This leads to higher prices of products which in turn, assuming non-energy prices remain constant, increases inflation. Higher oil prices and oil import bills lead to a fall in GDP by causing discrepancies in the supply and demand of the economy. This, in turn, results in lower economic growth and recession. Apart from that, volatility in the oil price increases risk and uncertainty which, in turn, negatively impacts stock prices and reduces wealth and investment. The relationship between energy prices and stock market activity has been investigated by many scientists in the last decades but most of the publications have concentrated on the developed countries. Chen et al. (1986) investigate the tradeoffs between equity returns and macroeconomic variables such as industrial production, inflation, interest rates, consumption and oil prices. Their examination of twenty years of monthly US data showed that oil price changes have no impact on asset pricing. Jones and Kaul (1996) investigate the rationality of stock market reaction to oil price shocks. The results of their study reveal that while the US and Canadian stock markets react rationally, the results for Japan and the UK showed overreaction to oil price shocks. Pesaran and Timmermann (2000) attempt to identify the main factors that can describe a stock returns forecasting model. They included the oil price as one of the main regressors. They found that oil price changes are negatively correlated with stock returns and with results significant at 1% level of significance. Maghyereh (2004) studied the dynamic relationship between oil price shocks and stock market returns for 22 emerging economies using the generalized approach to forecast error variance decomposition and impulse response analysis. The results of variance decomposition revealed very weak evidence of oil price shocks affecting stock market returns in emerging economies. Moreover, countries that show a high response have higher energy intensity consumption than other countries. In the other words, the author found that stock markets in the emerging economies do not rationally signal changes in the crude oil price. El-Sharif et al. (2005) used daily data for the case of the United Kingdom (the European Union's largest oil producer), to investigate interaction between equity returns and the crude oil price. A multifactor model capturing the relationship between share prices and volatility in crude oil prices was employed for the analysis. The results of the study showed that a positive and highly significant relationship exists between stock returns and the price of crude oil. Nandha and Hammoudeh (2007) investigated the relationship between market beta risk and realized stock returns in the presence of oil price risk and exchange rate sensitivity. The authors used data from fifteen countries in the Asia-Pacific region. An international multifactor model was employed in the analysis. They studied the impact of oil price on stock market returns represented expressed in local currency and in US dollars. The results of the investigation revealed that only two countries are oil-sensitive to changes in the oil price, when it is expressed in local currency. No country shows sensitivity to oil price measured in US dollar regardless whether the oil market is up or down. Sadorsky (1999), examined the oil price volatility pattern using GARCH and a vector autoregression approach to investigate the dynamic interactions between the oil price, stock returns and other factors of economic activity for the case of the US. His findings suggest that there is a negative correlation between stock returns and oil price volatility. Furthermore, the results suggested that stock returns are repressed by positive shocks to oil prices. Sadorsky (2001) examined the sensitivity of Canadian oil and gas industry equity returns to oil price changes using a multifactor market model. The author found that stock returns increase with increase in the oil price. Finally, Basher and Sadorsky (2006) investigated the reaction of stock market returns to oil price risk using an international multifactor model that took into account conditional and unconditional risk factors such as market risk, oil price risk, exchange rate risk and three higher moments: total risk, skewness and kurtosis. The results revealed strong evidence of sensitivity in stock market returns to oil price risk. In this paper we investigate the tradeoffs between oil price risk and stock market returns for ten Central and Eastern European Countries (CEECs). Following Basher and Sadorsky (2006), an international multi-factor model that allows for both conditional and unconditional risk factors is employed. Our research contributes to the existing literature on oil price and stock market activity, because it examines country cases that have not been studied before. The remainder of this paper is organized as follows. Section 2 presents the data set and the methodology that is used. Section 3 presents and discuss the empirical results. Finally, Section 4 summarizes and concludes.

The relationship between energy prices and stock market activity has been investigated by many scientists in the last decades but most of the publications have concentrated on the developed countries. In this paper we investigate the tradeoffs between oil price risk and the stock market returns of new members of the European Union and Russia. An international multi-factor model that allows for conditional and unconditional risk factors is employed to investigate the relationship between oil price risk and stock market returns. The estimated coefficient of the market beta is statistically significant and positive for all models, which is consistent with the expected positive tradeoffs between market risk and stock market returns. The estimated coefficient for the oil price risk is negative and statistically significant, suggesting that the oil price is an indeed important factor in determining stock returns and that increase in oil price returns causes decreases in stock market returns. For the conditional models, both market betas and oil betas are significant and they are positive when markets are up and negative when markets are down respectively. With regard to additional risk factors, small but significant results emerged when risk was measured by kurtosis and highly negative and significant results appeared when risk was proxied by the volatility of a TGARCH model. The overall results suggest that new European Union member states and Russian stock market returns are sensitive to several risk factors including world stock market returns, oil price risk and stock returns volatility. The oil price changes have the most significant impact on emerging stock returns.