This dissertation was written as a part of my master. The purpose of this paper is to
study the impact of oil and energy price changes on a set of Stock Markets and their
returns in countries throughout the globe. This study uses international multi-factor
models allowing both unconditional and conditional risk factors. I use the related
literature studying the risk of oil stocks and the behavior of the stock markets as a result
of oil shocks.
I analyze the components of oil price change in order to investigate the relationship
between oil price risk and the returns of various Stock Markets.
Thus, this thesis will examine and show the possible asymmetric impact of risk between
emerging and developed markets.
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