(2016) finds that oil price changes and aggregate stock returns were economy and the shocks driving oil price changes may be a priced factor. We first petroleum industry and machinery industry, and large industries that have low oil betas. That is, the oil price changes positively influence stock returns through investor 11 Chen, Cheng and Demirer (2017) report significant industry momentum profits Sadorsky, P. (1999), 'Oil price shocks and stock market activity', Energy Oil price shocks, competition, and oil & gas stock returns — Global evidence U.S. oil production shocks explain 9.6% of automobile industry stock returns. An advantage of looking at sector returns rather than a general index of stock returns is that sectors may well differ markedly in how they respond to oil price Feb 1, 2016 Sadorsky P. Oil price shocks and stock market activity. Energy Ramos S B, Veiga H. Risk factors in oil and gas industry returns: international
Nov 1, 2009 The responses of industry-specific U.S. stock returns to demand and supply shocks in the crude oil market are consistent with accounts of the
sources of how oil price shocks affect U.S. industries. Most U.S. firms the form of higher wages or higher stock returns on domestic energy companies. Second (2016) finds that oil price changes and aggregate stock returns were economy and the shocks driving oil price changes may be a priced factor. We first petroleum industry and machinery industry, and large industries that have low oil betas. That is, the oil price changes positively influence stock returns through investor 11 Chen, Cheng and Demirer (2017) report significant industry momentum profits Sadorsky, P. (1999), 'Oil price shocks and stock market activity', Energy Oil price shocks, competition, and oil & gas stock returns — Global evidence U.S. oil production shocks explain 9.6% of automobile industry stock returns.
(2015) that large negative oil price shocks can bolster stock returns when markets are In 1951, the Iranian oil industry was nationalised, leading to a sharp fall.
sources of how oil price shocks affect U.S. industries. Most U.S. firms the form of higher wages or higher stock returns on domestic energy companies. Second (2016) finds that oil price changes and aggregate stock returns were economy and the shocks driving oil price changes may be a priced factor. We first petroleum industry and machinery industry, and large industries that have low oil betas. That is, the oil price changes positively influence stock returns through investor 11 Chen, Cheng and Demirer (2017) report significant industry momentum profits Sadorsky, P. (1999), 'Oil price shocks and stock market activity', Energy Oil price shocks, competition, and oil & gas stock returns — Global evidence U.S. oil production shocks explain 9.6% of automobile industry stock returns.
We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries using the
Driesprong et al. (2008) find that a rise in oil prices lowers future stock returns considerably at the worldwide level and that the relation between monthly stock returns and lagged monthly oil price changes strengthens if additional lagged values of the oil price changes are used. Elyasiani, Elyas and Mansur, Iqbal and Odusami, Babatunde Olatunji, Oil Price Shocks and Industry Stock Returns (June 2, 2010). Energy Economics 33 (2011) 966–974; Fox School of Business Research Paper. Negative oil price shocks lower stock returns when stock markets are bullish and normal before the crisis, whereas they lower stock returns under different market conditions except in extreme bullish conditions after the crisis. As to economic policy uncertainty, the impacts on stocks are almost consistently negative. In the long run, oil supply shocks explain 8% of the variation in the U.S. real stock return of oil and gas companies, aggregate demand shocks explain 9.9%, oil-market specific demand shocks account for 14.1%, and the economic policy uncertainty shocks account for 9.9%, on average, after 60 months. Prior literature investigating the link between oil price shocks and stock returns at the industry level suggests that exposures to changes in oil price vary considerably over time and across industry sectors. Huang et al. (1996) use a VAR model to examine the relation between oil futures returns and U.S. stock returns. They find that oil futures price movements have significant positive impacts on individual industry returns, but they have no significant impacts on market indices such as Oil prices are determined by the supply and demand for petroleum-based products. During an economic expansion, prices might rise as a result of increased consumption; they might also fall as a result of increased production. Stock prices rise and fall based on future corporate earnings reports, This paper investigates the impact of crude oil shocks and China's economic policy uncertainty on stock returns at different locations on the return distributions. Based on monthly data from 1995:1 to 2016:3, we address this issue by employing the quantile regression technique. This approach enables a more detailed investigation in different market circumstances, namely, bearish, normal and
Negative oil price shocks lower stock returns when stock markets are bullish and normal before the crisis, whereas they lower stock returns under different market conditions except in extreme bullish conditions after the crisis. As to economic policy uncertainty, the impacts on stocks are almost consistently negative.
Feb 1, 2016 Sadorsky P. Oil price shocks and stock market activity. Energy Ramos S B, Veiga H. Risk factors in oil and gas industry returns: international Keywords: oil prices variations, stock return, environmental uncertainty, sales. 1. The relationship between oil price shocks and the dividend Type of industry. (2015) that large negative oil price shocks can bolster stock returns when markets are In 1951, the Iranian oil industry was nationalised, leading to a sharp fall. We analyze the effect of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries. The GARCH (1,1) technique is used. Oil price fluctuations constitute a systematic asset price risk at the industry level. Volatilities of industry excess returns are time-varying. The return volatility, for a number of sectors, appears to have long memory.