ریسک قیمت نفت و بازار سهام در حال ظهور

The purpose of this paper is to contribute to the literature on stock markets and energy prices by studying the impact of oil price changes on a large set of emerging stock market returns. The approach taken in this paper uses an international multi-factor model that allows for both unconditional and conditional risk factors to investigate the relationship between oil price risk and emerging stock market returns. This paper, thus, represents one of the first comprehensive studies of the impact of oil price risk on emerging stock markets. In general we find strong evidence that oil price risk impacts stock price returns in emerging markets. Results for other risk factors like market risk, total risk, skewness, and kurtosis are also presented. These results are useful for individual and institutional investors, managers and policy makers.

Oil is the lifeblood of modern economies. As countries urbanize and modernize their demand for oil increases significantly. Future oil demand is difficult to predict but is generally highly correlated with the growth in industrial production. Consequently, countries experiencing rapid economic growth are the ones most likely to dramatically increase their demand for oil. In particular, countries like China and India are experiencing rapid growth in Gross Domestic Product (GDP). Between 1991 and 2001 China's average annual growth rate in real GDP was 9.8% while India's average annual growth rate in real GDP was 5.4% (The Economist, 2004). In the future, emerging economies in general, and China and India in particular, are expected to consume an increasing share of the world's oil. Energy, financial markets and the economy are all explicitly linked together on a country's path of economic growth. Table 1 shows data on how oil consumption has changed over the ten year period 1994–2004 for the major regions of the world as well as selected countries. The Asia Pacific region experienced the greatest increase in oil consumption (37.2%) while Europe and Eurasia experienced the smallest increase (1.3%). China's oil consumption increased by 112.5% while India's oil consumption increased by 80.9%. By comparison, oil consumption in the United States increased by 15.8% while Japan's oil consumption fell by 8.0% (partially in response to increased energy efficiency and alternative energy sources). The data in Table 1 shows that oil consumption is increasing most rapidly in the developing countries of the world. Table 1. Oil consumption (thousands of barrels per day) Region Consumption in 2004 1994–2004 % change North America 24,619 16.0 South and Central America 4739 19.2 Europe and Eurasia 20,017 1.3 Middle East 5289 30.8 Africa 2647 24.3 Asia Pacific 23,446 37.2 World 80,757 18.4 Selected countries Brazil 1830 29.0 China 6684 112.5 India 2555 80.9 Indonesia 1150 48.6 Japan 5288 − 8.0 Malaysia 504 35.5 Pakistan 296 1.9 Russia 2574 − 21.2 Thailand 909 47.4 United States 20,517 15.8 Source: BP Statistical Review of World Energy, June 2005 (www.BP.com). Table options Increases in oil demand without offsetting increases in supply lead to higher oil prices. Higher oil prices act like an inflation tax on consumers and producers by 1) reducing the amount of disposable income consumers have left to spend on other goods and services and 2) raising the costs of non-oil producing companies and, in the absence of fully passing these costs on to consumers, reducing profits and dividends which are key drivers of stock prices. In addition to global demand and supply conditions, oil prices also respond to geopolitics, institutional arrangements (OPEC), and the dynamics of the futures market (Sadorsky, 2004). Unanticipated changes in any of these four factors can create volatility, and hence risk, in oil futures prices. Oil price volatility increases risk and uncertainty which negatively impacts stock prices and reduces wealth and investment. The relationship between oil price changes and stock prices can be explained using an equity pricing model. In an equity pricing model, the price of equity at any point in time is equal to the expected present value of discounted future cash flows (Huang, Masulis, & Stoll, 1996). Oil, along with capital, labour and materials represent important components into the production of most goods and services and changes in the prices of these inputs affects cash flows. Rising oil prices, which, in the absence of complete substitution effects between the factors of production, increase production costs. Higher production costs dampen cash flows and reduce stock prices. Rising oil prices also impact the discount rate used in the equity pricing formula. Rising oil prices are often indicative of inflationary pressures which central banks can control by raising interest rates. Higher interest rates make bonds look more attractive than stocks leading to a fall in stock prices. The overall impact of rising oil prices on stock prices depends of course on whether a company is a consumer or producer of oil and oil related products. Since there are more companies in the world that consume oil than produce oil, the overall impact of rising oil prices on stock markets is expected to be negative. Developed economies are more energy efficient today than they were 20 years ago with oil consumption per dollar of GDP less than half of what it was in the 1970s. This increase in energy efficiency has occurred because of reduced energy intensity through technological innovation and more reliance on a diversified range of energy sources (like a greater mix between non-renewable and renewable energy sources). Emerging economies tend, however, to be more energy intensive than more advanced economies and are therefore more exposed to higher oil prices. Consequently, oil price changes are likely to have a greater impact on profits and stock prices in emerging economies. Globalization, broadly defined as the increased flow of goods, services and financial capital between national borders, has increased interdependencies between all economies in the world. Consequently, the growth in world trade is more sensitive to rises in oil prices than in the past due to the growing importance of emerging economies like Brazil, China and India. The increased flow of portfolio money (in the form of stocks, bonds and mutual funds) means that oil price impacts on emerging stock markets affect both domestic and international investors alike. Moreover, past experience has shown that oil price shocks have a much larger impact on the poorer countries in the world. The OPEC oil embargo of 1973, which increased the price of oil from $3 per barrel to $13 barrel in just over a few short months, created real economic and social hardship for developing countries by raising their costs of imported oil. International lending organizations like the World Bank and the International Monetary fund (IMF) had to provide loans to developing countries so that they could continue with their economic development projects (Rifkin, 2002, chapter 9). Between 1973 and 1980 commercial bank loans to developing countries increased by 550%. The second oil price shock in 1979 led to global recession and imposed even more hardship on the prosperity of developing countries as the price for their oil imports rose and the price for their other export products fell. By 1985 Third World Debt exceeded $1 trillion dollars. The problem for most developing countries was that any new borrowed money was mostly being used to buy imported oil and pay interest payments on existing debt. Very little money was left over for new economic development projects. This relationship between high oil prices, high debt and low economic development is very much a concern today. In 2000, Kofi A. Annan, the Secretary General of the United Nations, wrote in the International Herald Tribune, that “debt-servicing costs are likely to increase if higher oil prices lead to higher international interest rates” in the coming years (Annan, 2000). The purpose of this present paper is to contribute to the literature on stock markets and energy prices by studying the impact of oil price changes on a large set of emerging stock market returns. The approach taken in this paper uses an international multi-factor model that allows for both unconditional and conditional risk factors to investigate the relationship between oil price risk and emerging stock market returns. This paper, thus, represents one of the first comprehensive studies of the impact of oil price risk on emerging stock markets. Recognizing that stock returns are non-normally distributed, additional risk factors for skewness and kurtosis are also included in the analysis. Results are presented from models estimated using three different data sets (daily, weekly and monthly). This paper is organized as follows. Section 2 presents a review of the literature. Section 3 discusses the methodology and the data. Section 4 reports on the empirical findings and Section 5 concludes.

There is now a growing body of literature on the relationship between stock markets and oil prices. Most of this literature has focused on developed economies. The purpose of this paper is to contribute to the literature on stock markets and energy prices by studying the impact of oil price changes on emerging stock market returns. This is an important and interesting topic to study because emerging economies are expected to consume an increasing share of the world's oil and become larger players in the global financial markets. The rising economic importance of the BRIC (Brazil, Russia, India, and China) economies means that if these countries continue to develop along the same path as the United States, they will use up enormous amounts of fossil fuels. Russia is currently producing more oil than Saudi Arabia (although with much smaller reserves) and has the largest deposits of natural gas on the planet (26.7% of proven world natural gas reserves (BP, 2005). The other countries are, however, net importers of fossil fuels. The risk from oil price changes and the impact on profits of companies in these countries is, thus, likely to play a large role in the development of these economies and their financial markets. This paper uses both unconditional and conditional risk analysis to investigate the relationship between oil price movements and stock returns in 21 emerging stock markets. The unconditional relationship between market beta and emerging stock market returns is generally significant but negative. By comparison, oil price risk plays an important role in pricing emerging market stock returns. Oil price risk is positive and statistically significant at the 10% level in most models. This result is robust across three different data frequencies. Other sources of unconditional risk like total risk, skewness and kurtosis have little impact on emerging market stock returns. A conditional risk analysis overcomes some of the weaknesses of using an unconditional risk analysis and reveals some important and interesting results. Our results show that for daily and monthly data there is a positive and significant relationship between market betas and returns in up markets and a negative and significant relationship between market betas and returns in down markets. These results from emerging markets are in agreement with the papers by Pettengill et al. (1995), Isakov (1999), Fletcher (2000), Hodoshima et al. (2000), and Tang and Shum, 2003a and Tang and Shum, 2003b in establishing a conditional relationship between realized returns and risk in developed markets. In general we find strong evidence that oil price risk impacts stock price returns in emerging markets although the exact relationship depends somewhat on the data frequency being used. The conditional relationship is not, however, symmetrical. For daily and monthly data, oil price increases have a positive impact on excess stock market returns in emerging markets. For weekly and monthly data, oil price decreases have positive and significant impacts on emerging market returns. In addition there is some evidence of a non-linear conditional relationship between market risk and emerging stock returns and a non-linear conditional relationship between oil price risk and stock market returns. There is also evidence that total risk impacts emerging stock market returns. There is little evidence that skewness or kurtosis have much of an impact on emerging stock market returns. These results are consistent across the three data frequencies. We find that the explanatory power of the conditional version of a model increases relative to the unconditional version of a model. These main results are consistent across all models and three data frequencies. These results are also consistent with what other researchers have found in studying the conditional risk and return tradeoff in developed markets. The results in this paper are useful for individual and institutional investors, managers and policy makers who are concerned with oil price risk in emerging stock markets. While the conditional multi-factor model used to investigate the relationship between market returns and risk is an improvement over the unconditional multi-factor model, there are still some limitations that need to be pointed out. The fact that the true market portfolio is unobservable creates a potential problem for the cross-sectional regression approach. As Roll and Ross (1994) show, if the true market portfolio is efficient, the cross-sectional regression approach, which uses a proxy for the market portfolio, can be sensitive to small deviations from the true market portfolio. Moreover, extending beta pricing models to an international setting requires a number of assumptions including integrated capital markets, purchasing power parity, and no informational or transactions costs or taxes. In addition, the world CAPM model may not hold in all countries. Even with these limitations, the results in this present paper are very useful in establishing a significant statistical relationship between oil price risk and emerging market stock returns. There are several avenues for future research. As more data on emerging market economies becomes available it will be possible to include more countries in the analysis. Using a broader set of emerging market data then the one used in this paper will help to further our understanding of the relationship between oil price risk and emerging stock markets. While the analysis in this paper has employed more risk factors than included in other previous studies investigating the conditional relationship between risk and returns, it may also be of interest to expand the set of risk factors to include other macroeconomic risks to see if the inclusion of additional risk factors improves upon the fit of the conditional model relating risk and returns.