Oil price uncertainty and the risk‐return relation in stock markets: Evidence from oil‐importing and oil‐exporting countries
Why this work is in the frame
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Bibliographic record
Abstract
Abstract This article examines the role of oil price uncertainty measured by the crude oil volatility index (OVX) in the risk‐return relation of stock markets from oil‐importing and exporting countries with the extended GARCH‐M models. It is found that oil price uncertainties have significant impacts on the stock risk‐return relationship in oil importers and exporters. Specifically, there is a positive risk‐return relation during the decreasing period of oil price uncertainty. This positive correlation will be undermined and become negative during the rising period of oil price uncertainty in most countries studied. What's more, change in oil price uncertainty negatively affects the stock risk‐return relation in general, and it has a more significant asymmetric effect in oil exporters than that in oil importers for the whole sample. In addition, we examine whether the impact of oil price uncertainty is sensitive to the global financial crisis in 2008. Our empirical results reveal that, on average, the stock risk‐return relation is more susceptible to OVX changes after the crisis period than that during the crisis period, suggesting impacts of OVX changes are undermined due to the extremely unstable global economy.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.003 | 0.002 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.000 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it