کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069261 1476984 2017 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Oil price shocks and stock returns of oil and gas corporations
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Oil price shocks and stock returns of oil and gas corporations
چکیده انگلیسی


- We analyze the impact of oil prices on stock returns of oil and gas corporations (i) covering four decades of oil price fluctuations.
- Using both RAC and WTI, we consider four alternative linear and nonlinear oil price specifications.
- We find that the linear specification oil price changes have a positive significant impact on real stock returns of oil and gas corporations in the short-run.
- We also provided evidence that a nonlinear specification such as oil price increases has a positive impact on stock returns in the short-run.

In this paper we examine the impact of oil price shocks on stock returns of four oil and gas corporations listed on NYSE over the period January 1974 to December 2015. We consider different linear and nonlinear oil price specifications and take into account the structural break date of the year 1986. The novelty evidence supports a significant positive impact of oil price shocks on stock returns in the short-run. We also find that the relationship has become statistically significant during the post-1986 period.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 20, February 2017, Pages 75-80
نویسندگان
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