Abstract
This study examines the role of oil prices in explaining ‘transport sector’ equity returns in 38 countries across the world. The findings of the study are strongly supportive of some role for oil prices in determining the transport sector returns for the countries falling within the ‘Developed’, ‘Europe’ and ‘G7’ groupings. In particular, by allowing for an asymmetry in our model, we find the oil factor to be jointly significant along with the presence of negative oil risk premium in these groupings. It is worth noting that these groups represent mature economies and stock markets. However, there appears to be no such evidence of a significant role for oil for other country groupings (named, Asia Pacific, Emerging and Latin America). Collectively these countries have a relatively short market history and/or are developing economies.
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Notes
Datastream uses the industrial classification benchmark (ICB) which was jointly developed by Dow Jones and FTSE in 2004. ICB is based on a 4-tier hierarchy and classifies securities into industries, supersectors, sectors and subsectors.
In case the data was not available in US$ directly, we used corresponding exchange rates to convert the domestic country indices into US$ equivalents.
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Nandha, M., Brooks, R. Oil prices and transport sector returns: an international analysis. Rev Quant Finan Acc 33, 393–409 (2009). https://doi.org/10.1007/s11156-009-0120-4
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DOI: https://doi.org/10.1007/s11156-009-0120-4