This study analyzes oil price exposure of the oil–gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter instabilities due to fluctuations in the oil and stock markets over the period under study. Moreover, the time-varying estimates indicate that the oil–gas sectors of these countries are riskier than the overall stock market. The results further suggest that, except for Indonesia, oil prices have a positive impact on the sectoral returns of all markets, whereas the impact of the exchange rates on the oil–gas sector returns varies across time and countries.

中文翻译：

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油价对脆弱五国油气存量回报的时变影响

本研究使用 1996 年 5 月 29 日至 2020 年 1 月 27 日的每日数据，基于多因素资产定价模型分析了脆弱五个国家油气部门股票回报的石油价格敞口。由于研究期间石油和股票市场的波动而导致的参数不稳定性。此外，随时间变化的估计表明，这些国家的油气行业风险高于整体股票市场。结果进一步表明，除了印度尼西亚，石油价格对所有市场的部门回报都有积极影响，而汇率对油气部门回报的影响因时间和国家而异。