Oil price exposure to asset returns: a disaggregate analysis

Oil price exposure to asset returns: a disaggregate analysis

The paper analyzed oil price exposure on asset returns of eight economic sectors namely- Construction (CON), Consumer (CSU), Finance (FIN), Industrial (IND), Plantation (PLN), Property (PRP), Services (SER), and Mining (TIN). of economy. Two tests, identified as Model 1 and Model 2, were conducted...

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Main Authors: Abdul Jalil, Norasibah, Duasa, Jarita, Mat Ghani, Gairuzazmi, Ibrahim, mansor, yusof, Hamidah
Format: Conference or Workshop Item
Language:English
Published: 2011
Subjects:
HB Economic Theory
Online Access:http://irep.iium.edu.my/15000/
http://irep.iium.edu.my/15000/
http://irep.iium.edu.my/15000/1/13-D00036.pdf
id iium-15000
recordtype eprints
spelling iium-150002012-01-20T13:40:57Z http://irep.iium.edu.my/15000/ Oil price exposure to asset returns: a disaggregate analysis Abdul Jalil, Norasibah Duasa, Jarita Mat Ghani, Gairuzazmi Ibrahim, mansor yusof, Hamidah HB Economic Theory The paper analyzed oil price exposure on asset returns of eight economic sectors namely- Construction (CON), Consumer (CSU), Finance (FIN), Industrial (IND), Plantation (PLN), Property (PRP), Services (SER), and Mining (TIN). of economy. Two tests, identified as Model 1 and Model 2, were conducted via the Augmented-CAPM (A-CAPM) approach. The first was a symmetric analysis while the second was an asymmetric typed of analysis. The estimated results from Model 1 documented insignificant results in all sector analyses. These findings signified that the stock returns were not exposed to oil price shocks. The estimated results of Model 2 indicated the presence of significant finding in industrial (IND) sector, of the PW analysis. The returns of the IND sector were negatively exposed to change in PW oil price, and it was more significant during periods of oil price increased. In other word, the event of oil price increased significantly reduced the returns of the IND sector. 2011 Conference or Workshop Item PeerReviewed application/pdf en http://irep.iium.edu.my/15000/1/13-D00036.pdf Abdul Jalil, Norasibah and Duasa, Jarita and Mat Ghani, Gairuzazmi and Ibrahim, mansor and yusof, Hamidah (2011) Oil price exposure to asset returns: a disaggregate analysis. In: International Conference on Economics, Trade and Development (ICETD) 2011, 1-3 April 2011, Bali, Indonesia. http://www.ipedr.com/vol7/13-D00036.pdf
repository_type Digital Repository
institution_category Local University
institution International Islamic University Malaysia
building IIUM Repository
collection Online Access
language English
topic HB Economic Theory
spellingShingle HB Economic Theory
Abdul Jalil, Norasibah
Duasa, Jarita
Mat Ghani, Gairuzazmi
Ibrahim, mansor
yusof, Hamidah
Oil price exposure to asset returns: a disaggregate analysis
description The paper analyzed oil price exposure on asset returns of eight economic sectors namely- Construction (CON), Consumer (CSU), Finance (FIN), Industrial (IND), Plantation (PLN), Property (PRP), Services (SER), and Mining (TIN). of economy. Two tests, identified as Model 1 and Model 2, were conducted via the Augmented-CAPM (A-CAPM) approach. The first was a symmetric analysis while the second was an asymmetric typed of analysis. The estimated results from Model 1 documented insignificant results in all sector analyses. These findings signified that the stock returns were not exposed to oil price shocks. The estimated results of Model 2 indicated the presence of significant finding in industrial (IND) sector, of the PW analysis. The returns of the IND sector were negatively exposed to change in PW oil price, and it was more significant during periods of oil price increased. In other word, the event of oil price increased significantly reduced the returns of the IND sector.
format Conference or Workshop Item
author Abdul Jalil, Norasibah
Duasa, Jarita
Mat Ghani, Gairuzazmi
Ibrahim, mansor
yusof, Hamidah
author_facet Abdul Jalil, Norasibah
Duasa, Jarita
Mat Ghani, Gairuzazmi
Ibrahim, mansor
yusof, Hamidah
author_sort Abdul Jalil, Norasibah
title Oil price exposure to asset returns: a disaggregate analysis
title_short Oil price exposure to asset returns: a disaggregate analysis
title_full Oil price exposure to asset returns: a disaggregate analysis
title_fullStr Oil price exposure to asset returns: a disaggregate analysis
title_full_unstemmed Oil price exposure to asset returns: a disaggregate analysis
title_sort oil price exposure to asset returns: a disaggregate analysis
publishDate 2011
url http://irep.iium.edu.my/15000/
http://irep.iium.edu.my/15000/
http://irep.iium.edu.my/15000/1/13-D00036.pdf
first_indexed 2023-09-18T20:24:03Z
last_indexed 2023-09-18T20:24:03Z
_version_ 1777408297764126720

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