Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis |
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| Authors: | Sunil K Mohanty Joseph Onochie Abdulrahman F Alshehri |
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| Institution: | 1.Department of Finance, Koppelman School of Business, Brooklyn College,City University of New York (CUNY),Brooklyn,USA;2.Department of Economics and Finance, Zicklin School of Business, Baruch College,City University of New York (CUNY),New York,USA;3.Department of Business Administration, College of Administrative & Financial Sciences,King Khalid University,Abha,Saudi Arabia |
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| Abstract: | We examine the impact of oil price shocks on stock market returns in Saudi Arabia using the country-level as well as the industry-level stock market data. We find that the relation between changes in oil prices and equity returns is positive and significant at the country-level and at the industry level. Our results show that oil prices have asymmetric effects on equity returns for 4 out of 15 industrial sectors (e.g., hotel and tourism, insurance, multi-investment, and petrochemicals). These results have significant implications for investors, portfolio managers, policymakers, and corporate finance managers. |
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