Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model
Author:
Affiliation:
1. University of Sousse, IHEC, LaREMFiQ , Sousse , Tunisia
2. Ipag Business School (IPAG Lab) , Paris , France
3. University Paris 8 (LED) , Paris , France
4. School of Economics and Management, Southwest Jiaotong University , Chengdu , China
Abstract
Publisher
Walter de Gruyter GmbH
Subject
Economics and Econometrics,Social Sciences (miscellaneous),Analysis,Economics and Econometrics,Social Sciences (miscellaneous),Analysis
Link
https://www.degruyter.com/document/doi/10.1515/snde-2019-0066/pdf
Reference68 articles.
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2. Arouri, M. E. H., A. Lahiani, and D. K. Nguyen. 2011. “Return and Volatility Transmission between World Oil Prices and Stock Markets of the GCC Countries.” Economic Modelling 28 (4): 1815–1825.
3. Awartani, B., and A. I. Maghyereh. 2013. “Dynamic Spillovers between Oil and Stock Markets in the Gulf Cooperation Council Countries.” Energy Economics 36: 28–42.
4. Bahng, J. S., and S. M. Shin. 2003. “Do Stock Price Indices Respond Asymmetrically? Evidence from China, Japan, and South Korea.” Journal of Asian Economics 14 (4): 541–563.
5. Basher, S. A., A. A. Haug, and P. Sadorsky. 2012. “Oil Prices, Exchange Rates, and Emerging Stock Markets.” Energy Economics 34 (1): 227–240.
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