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http://hdl.handle.net/2445/190500
Title: | Energy Firms in Emerging Markets: Systemic Risk and Diversification Opportunities |
Author: | Chuliá Soler, Helena Muñoz Mendoza, Jordi Uribe Gil, Jorge Mario |
Keywords: | Indústries energètiques Països emergents Gestió financera Energy industries BRIC countries Financial management |
Issue Date: | 2022 |
Publisher: | Universitat de Barcelona. Facultat d'Economia i Empresa |
Series/Report no: | [WP E-IR22/16] |
Abstract: | Previous studies in energy stock markets have analyzed market connectedness using aggregate indexes and focusing on developed markets. We depart from the extant literature and we focus our attention on companies listed on emerging stock markets and examine connectedness from the firm’s perspective. Using a two-step approach, we remove the common global factors from energy stock returns and estimate the network of global energy stocks in emerging markets. We show that idiosyncratic components are highly relevant for our understanding of risk transmission in energy markets. Moreover, we offer precise diversification alternatives and identify the most systemically important firms and countries. |
Note: | Reproducció del document publicat a: http://www.ub.edu/irea/working_papers/2022/202216.pdf |
It is part of: | IREA – Working Papers, 2022, IR22/16 |
URI: | http://hdl.handle.net/2445/190500 |
Appears in Collections: | Documents de treball (Institut de Recerca en Economia Aplicada Regional i Pública (IREA)) |
Files in This Item:
File | Description | Size | Format | |
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IR22_016_Chulia et al.pdf | 1.77 MB | Adobe PDF | View/Open |
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