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The U.K. Oil Industry: Some Inferences from the Efficient Market Hypothesis

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  • Manning, Neil
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    Abstract

    This study investigates the sensitivity of the prices of London quoted oil company shares to spot oil prices over the period January 1986 to June 1988. The hypothesized positive relationship is strongest for those firms engaged in exploration and weakest for integrated oil companies. The cointegration procedure is employed to assess market efficiency in accordance with the method of Granger and Escribano and noncointegratability implies market efficiency. However, the dynamic versions of the "market model" include lagged responses of portfolio returns to oil price "news" which, in a frictionless market, implies the existence of unexploited gains in the market in these shares. Copyright 1991 by Scottish Economic Society.

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    Bibliographic Info

    Article provided by Scottish Economic Society in its journal Scottish Journal of Political Economy.

    Volume (Year): 38 (1991)
    Issue (Month): 4 (November)
    Pages: 324-34

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    Handle: RePEc:bla:scotjp:v:38:y:1991:i:4:p:324-34

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    Cited by:
    1. Oberndorfer, Ulrich, 2008. "Returns and Volatility of Eurozone Energy Stocks," ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research 08-017, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    2. Oberndorfer, Ulrich, 2009. "EU Emission Allowances and the stock market: Evidence from the electricity industry," Ecological Economics, Elsevier, Elsevier, vol. 68(4), pages 1116-1126, February.
    3. Oberndorfer, Ulrich, 2009. "Energy prices, volatility, and the stock market: Evidence from the Eurozone," Energy Policy, Elsevier, Elsevier, vol. 37(12), pages 5787-5795, December.
    4. Ugur Ergun & Azizah Ibrahim, 2013. "Global Energy Prices and the Behavior of Energy Stock Price Fluctuations," Asian Economic and Financial Review, Asian Economic and Social Society, Asian Economic and Social Society, vol. 3(11), pages 1460-1465, November.
    5. Oberndorfer, Ulrich, 2008. "EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry," ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research 08-059, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.

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