Energy commodity uncertainties and the systematic risk of US industries

被引：51

作者：

Naeem, Muhammad Abubakr ^{[1
]}

Balli, Faruk ^{[1
]}

Shahzad, Syed Jawad Hussain ^{[2
,3
]}

de Bruin, Anne ^{[1
]}

机构：

[1] Massey Univ, Sch Econ & Finance, Palmerston North, New Zealand

[2] Ton Duc Thang Univ, Dept Management Sci & Technol Dev, Ho Chi Minh City, Vietnam

[3] Ton Duc Thang Univ, Fac Finance & Banking, Ho Chi Minh City, Vietnam

来源：

ENERGY ECONOMICS | 2020年 / 85卷

关键词：

Industry betas; Energy commodity uncertainties; Risk predictability; OIL PRICE SHOCKS; STOCK RETURNS; CRUDE-OIL; MARKETS; GAS; SPILLOVERS; PETROLEUM; IMPACT; MODEL;

D O I：

10.1016/j.eneco.2019.104589

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We investigate the impact of energy commodity uncertainties on the systematic risk of twelve industries in the US. The dynamic betas using the dynamic conditional correlation - generalized auto-regressive conditional heterosckedasticity (DCC-GARCH) model, indicate that real estate, financials, and basic materials are the high-risk industries. Notably, the systematic risk of oil and gas sector was significantly affected during the Global Financial Crisis (GFC) and the Shale Oil Revolution (SOR) sub-periods. Our results provide convincing evidence of the positive impact of energy uncertainties on basic material, basic resources, financials, oil and gas, and real estate. On the other hand, we identify the negative impact on consumer goods, consumer services, health care, industrials, and technology industries. These findings have implications for investment and risk management. (C) 2019 Elsevier B.V. All rights reserved.

引用

页数：16

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