Oil price exposure to asset returns: a disaggregate analysis
The paper analyzed oil price exposure on asset returns of eight economic sectors namely- Construction (CON), Consumer (CSU), Finance (FIN), Industrial (IND), Plantation (PLN), Property (PRP), Services (SER), and Mining (TIN). of economy. Two tests, identified as Model 1 and Model 2, were conducted...
| Main Authors: | , , , , |
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| Format: | Proceeding Paper |
| Language: | English |
| Published: |
2011
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| Subjects: | |
| Online Access: | http://irep.iium.edu.my/15000/ http://irep.iium.edu.my/15000/1/13-D00036.pdf |
| _version_ | 1848777756199878656 |
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| author | Abdul Jalil, Norasibah Duasa, Jarita Mat Ghani, Gairuzazmi Ibrahim, Mansor yusof, Hamidah |
| author_facet | Abdul Jalil, Norasibah Duasa, Jarita Mat Ghani, Gairuzazmi Ibrahim, Mansor yusof, Hamidah |
| author_sort | Abdul Jalil, Norasibah |
| building | IIUM Repository |
| collection | Online Access |
| description | The paper analyzed oil price exposure on asset
returns of eight economic sectors namely- Construction (CON), Consumer (CSU), Finance (FIN), Industrial (IND), Plantation (PLN), Property (PRP), Services (SER), and Mining (TIN). of economy. Two tests, identified as Model 1 and Model 2, were conducted via the Augmented-CAPM (A-CAPM) approach. The first was a symmetric analysis while the second was an asymmetric typed of analysis. The estimated results from Model 1 documented insignificant results in all sector analyses. These findings signified that the stock returns were not exposed to oil price shocks. The estimated results of Model 2 indicated the presence of significant finding in industrial (IND) sector, of the PW analysis. The returns of the IND sector were negatively exposed to change in PW oil price, and it was more significant during periods of oil price increased. In other word, the event of oil price increased significantly reduced the returns of the IND sector. |
| first_indexed | 2025-11-14T14:51:02Z |
| format | Proceeding Paper |
| id | iium-15000 |
| institution | International Islamic University Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T14:51:02Z |
| publishDate | 2011 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | iium-150002021-07-03T16:58:56Z http://irep.iium.edu.my/15000/ Oil price exposure to asset returns: a disaggregate analysis Abdul Jalil, Norasibah Duasa, Jarita Mat Ghani, Gairuzazmi Ibrahim, Mansor yusof, Hamidah HB Economic Theory The paper analyzed oil price exposure on asset returns of eight economic sectors namely- Construction (CON), Consumer (CSU), Finance (FIN), Industrial (IND), Plantation (PLN), Property (PRP), Services (SER), and Mining (TIN). of economy. Two tests, identified as Model 1 and Model 2, were conducted via the Augmented-CAPM (A-CAPM) approach. The first was a symmetric analysis while the second was an asymmetric typed of analysis. The estimated results from Model 1 documented insignificant results in all sector analyses. These findings signified that the stock returns were not exposed to oil price shocks. The estimated results of Model 2 indicated the presence of significant finding in industrial (IND) sector, of the PW analysis. The returns of the IND sector were negatively exposed to change in PW oil price, and it was more significant during periods of oil price increased. In other word, the event of oil price increased significantly reduced the returns of the IND sector. 2011 Proceeding Paper PeerReviewed application/pdf en http://irep.iium.edu.my/15000/1/13-D00036.pdf Abdul Jalil, Norasibah and Duasa, Jarita and Mat Ghani, Gairuzazmi and Ibrahim, Mansor and yusof, Hamidah (2011) Oil price exposure to asset returns: a disaggregate analysis. In: International Conference on Economics, Trade and Development (ICETD) 2011, 1-3 April 2011, Bali, Indonesia. http://www.ipedr.com/vol7/13-D00036.pdf |
| spellingShingle | HB Economic Theory Abdul Jalil, Norasibah Duasa, Jarita Mat Ghani, Gairuzazmi Ibrahim, Mansor yusof, Hamidah Oil price exposure to asset returns: a disaggregate analysis |
| title | Oil price exposure to asset returns: a disaggregate analysis |
| title_full | Oil price exposure to asset returns: a disaggregate analysis |
| title_fullStr | Oil price exposure to asset returns: a disaggregate analysis |
| title_full_unstemmed | Oil price exposure to asset returns: a disaggregate analysis |
| title_short | Oil price exposure to asset returns: a disaggregate analysis |
| title_sort | oil price exposure to asset returns: a disaggregate analysis |
| topic | HB Economic Theory |
| url | http://irep.iium.edu.my/15000/ http://irep.iium.edu.my/15000/ http://irep.iium.edu.my/15000/1/13-D00036.pdf |