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iDEA: Drexel E-repository and Archives > Drexel Academic Community > Bennett S. LeBow College of Business > Department of Economics & International Business > Faculty Research and Publications (Economics & International Business) > Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets

Please use this identifier to cite or link to this item: http://hdl.handle.net/1860/1176

Title: Systematic risk, and oil price and exchange rate sensitivities in Asia-Pacific stock markets
Authors: Nandha, Mohan
Hammoudeh, Shawkat
Keywords: Asia Pacific;Stock Market;Oil Price Sensitivity;Systematic Risk;Exchange Rate
Issue Date: 28-Sep-2006
Publisher: Elsevier Science B.V.
Citation: Research in International Business and Finance, Article in Press, Corrected Proof. http://dx.doi.org/10.1016/j.ribaf.2006.09.001
Abstract: This paper examines the relationship between beta risk and realized stock index return in the presence of oil and exchange rate sensitivities for fifteen countries in the Asia-Pacific region using the international factor model. Thirteen of the 15 countries have the expected beta signs and show significant sensitivity to domestic risk when the world stock market is in both up and down modes. In terms of oil sensitivity, only the Philippines and South Korea are oil-sensitive to changes in the oil price in the short run, when the price is expressed in local currency only. Basically no country shows sensitivity to oil price measured in US dollar regardless whether the oil market is up or down. Nine countries are affected by changes in the exchange rate. In terms of relative factor sensitivity distribution, one is willing to conclude that these stock markets are more conditionally sensitive to local currency oil price changes than to beta risk wherever the relationships are significant.
URI: http://hdl.handle.net/1860/1176
Appears in Collections:Faculty Research and Publications (Economics & International Business)

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