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dc.contributor.author
Symeonidis, Symeon
en
dc.date.accessioned
2020-06-12T12:23:41Z
dc.date.available
2020-06-13T00:00:44Z
dc.date.issued
2020-06-12
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/29579
dc.rights
Default License
dc.subject
Stock markets
en
dc.subject
Global stock markets
en
dc.subject
Oil price risk
en
dc.subject
Energy price risk
en
dc.subject
International multi factor model
en
dc.title
Stock Markets & Oil Price Risk: The case of Developed Countries
en
heal.type
masterThesis
en_US
heal.creatorID.email
simeonthessa@hotmail.com
heal.language
en
en_US
heal.access
free
en_US
heal.license
http://creativecommons.org/licenses/by-nc/4.0
en_US
heal.recordProvider
School of Science and Technology, MSc in Energy Management
en_US
heal.publicationDate
2019-12-11
heal.abstract
The purpose of this paper is to study the impact of oil and energy price changes on a set of De-veloped as well as Emerging Stock Market returns. This study employs an international multi-factor model which allows for both unconditional and conditional risk factors, and it’s contribu-tion to the literature is the fact that we use the modified framework proposed by Kilian (2008a), in which we decompose oil price changes into three components, namely oil-supply shocks, glob-al oil-demand shocks, and oil-market specific shocks, in order to investigate the relationship be-tween oil price risk and the returns of various Stock Markets. Furthermore, this paper is meant to shed light on the possible asymmetric impact of risk between emerging and developed markets.
en
heal.advisorName
Psychoyios, Dimitrios
en
heal.committeeMemberName
Psychoyios, Dimitrios
el
heal.committeeMemberName
Dergiades, Theologos
el
heal.committeeMemberName
Pouliasis, Panos
el
heal.academicPublisher
IHU
en
heal.academicPublisherID
ihu
en_US


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