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http://hdl.handle.net/2445/212447
Title: | Energy Firms in Emerging Markets: Systemic Risk and Diversification Opportunities |
Author: | Chuliá Soler, Helena Muñoz Mendoza, Jordi Uribe, Jorge M. |
Keywords: | Borsa de valors Energia Stock-exchange Energy |
Issue Date: | 2023 |
Publisher: | Elsevier B.V. |
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 idiosyncratically important firms and countries. |
Note: | Reproducció del document publicat a: https://doi.org/10.1016/j.ememar.2023.101053 |
It is part of: | Emerging Markets Review, 2023, vol. 56, num.101053 |
URI: | http://hdl.handle.net/2445/212447 |
ISSN: | 1566-0141 |
Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) |
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