The purpose of this paper is to contribute to the literature on stock markets and energy prices by studying the impact of oil price changes on a large set of emerging stock market returns. The approach taken in this paper uses an international multi-factor model that allows for both unconditional and conditional risk factors to investigate the relationship between oil price risk and emerging stock market returns. This paper, thus, represents one ofthe first comprehensive studies ofthe impact ofoil price risk on emerging stock markets. In general we find strong evidence that oil price risk impacts stock price returns in emerging markets. Results for other risk factors like market risk, total risk, skewness, and kurtosis are also presented. These results are useful for individual and institutional investors, managers and policy makers.© 2006 Elsevier Inc. All rights reserved.
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