Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks

نویسندگان

چکیده

This study examines asymmetric and the lag effects of oil price, gas exchange rate on stock performance Malaysian sub-industries. Using company-level data multi factor asset pricing models, this found that rate, common systematic risk factors such as market, size, book-to-market have significant sub-industries, but these exposures remain heterogeneous. Oil price show strong asymmetrical impacts when decomposed into increases (decreases) depreciation (appreciation). Increases in a greater impact industry than decreases appreciation. exhibit stocks. The findings important implications for profitable investment portfolio strategies based oil-exporting country. JEL Classifications: C13; C58; G10; G12; G14; Q4

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ژورنال

عنوان ژورنال: SAGE Open

سال: 2023

ISSN: ['2158-2440']

DOI: https://doi.org/10.1177/21582440231179444