TY - JOUR
T1 - Energy commodity uncertainties and the systematic risk of US industries
AU - Naeem, Muhammad Abubakr
AU - Balli, Faruk
AU - Shahzad, Syed Jawad Hussain
AU - de Bruin, Anne
N1 - Publisher Copyright:
© 2019 Elsevier B.V.
PY - 2020/1
Y1 - 2020/1
N2 - We investigate the impact of energy commodity uncertainties on the systematic risk of twelve industries in the US. The dynamic betas using the dynamic conditional correlation – generalized auto-regressive conditional heterosckedasticity (DCC-GARCH) model, indicate that real estate, financials, and basic materials are the high-risk industries. Notably, the systematic risk of oil and gas sector was significantly affected during the Global Financial Crisis (GFC) and the Shale Oil Revolution (SOR) sub-periods. Our results provide convincing evidence of the positive impact of energy uncertainties on basic material, basic resources, financials, oil and gas, and real estate. On the other hand, we identify the negative impact on consumer goods, consumer services, health care, industrials, and technology industries. These findings have implications for investment and risk management.
AB - We investigate the impact of energy commodity uncertainties on the systematic risk of twelve industries in the US. The dynamic betas using the dynamic conditional correlation – generalized auto-regressive conditional heterosckedasticity (DCC-GARCH) model, indicate that real estate, financials, and basic materials are the high-risk industries. Notably, the systematic risk of oil and gas sector was significantly affected during the Global Financial Crisis (GFC) and the Shale Oil Revolution (SOR) sub-periods. Our results provide convincing evidence of the positive impact of energy uncertainties on basic material, basic resources, financials, oil and gas, and real estate. On the other hand, we identify the negative impact on consumer goods, consumer services, health care, industrials, and technology industries. These findings have implications for investment and risk management.
KW - Energy commodity uncertainties
KW - Industry betas
KW - Risk predictability
UR - http://www.scopus.com/inward/record.url?scp=85075910327&partnerID=8YFLogxK
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U2 - 10.1016/j.eneco.2019.104589
DO - 10.1016/j.eneco.2019.104589
M3 - Article
AN - SCOPUS:85075910327
SN - 0140-9883
VL - 85
JO - Energy Economics
JF - Energy Economics
M1 - 104589
ER -