Energy commodity uncertainties and the systematic risk of US industries

Muhammad Abubakr Naeem, Faruk Balli, Syed Jawad Hussain Shahzad, Anne de Bruin

Research output: Contribution to journalArticlepeer-review

50 Citations (Scopus)

Abstract

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.

Original languageEnglish
Article number104589
JournalEnergy Economics
Volume85
DOIs
Publication statusPublished - Jan 2020
Externally publishedYes

Keywords

  • Energy commodity uncertainties
  • Industry betas
  • Risk predictability

ASJC Scopus subject areas

  • Economics and Econometrics
  • General Energy

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