Advanced Search
MyIDEAS: Login to save this article or follow this journal

Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies

Contents:

Author Info

  • Bettina Lis

    (Gutenberg University of Mainz, Institute of Media Studies and Communication, Mainz, Germany)

  • Christian Neßler

    (Gutenberg University of Mainz, School of Management and Economics, Mainz, Germany)

  • Jan Retzmann

    (Gutenberg University of Mainz, School of Management and Economics, Mainz, Germany)

Registered author(s):

    Abstract

    In this paper we are testing whether the impact of oil prices is different on the overall market and automotive companies. In addition we investigate, if this relationship is nonlinear. For this we use stock return data of US, German and Japanese car companies, and returns of share indices from the same countries as control variables, and Brent crude oil price changes. We first estimate the impact of crude oil on the indices, then clean the indices from these influences, and afterwards estimate the impact on the stocks. For this we are using OLS and EGARCH (1,1). We conclude that in general the car companies‘ stocks do not react more adversely as the overall market to crude oil price increases, while Japanese companies do not show any excess sensitivity at all. German companies tend to be sensitive, and US and German companies are together more sensitive in the more recent time periods.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.econjournals.com/index.php/ijefi/article/download/105/pdf
    Download Restriction: no

    File URL: http://www.econjournals.com/index.php/ijefi/article/view/105/pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Econjournals in its journal International Journal of Economics and Financial Issues.

    Volume (Year): 2 (2012)
    Issue (Month): 2 ()
    Pages: 190-200

    as in new window
    Handle: RePEc:eco:journ1:2012-02-7

    Contact details of provider:
    Web page: http://www.econjournals.com

    Related research

    Keywords: Crude oil; Automotive; Car producers; Stock returns; Regression; Nonlinear;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Keith Sill, 2007. "The macroeconomics of oil shocks," Business Review, Federal Reserve Bank of Philadelphia, issue Q1, pages 21-31.
    2. Bernd Hayo & Ali M. Kutan, 2005. "The impact of news, oil prices, and global market developments on Russian financial markets," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(2), pages 373-393, 04.
    3. Jones, Charles M & Kaul, Gautam, 1996. " Oil and the Stock Markets," Journal of Finance, American Finance Association, vol. 51(2), pages 463-91, June.
    4. Bansal, Ravi & Viswanathan, S, 1993. " No Arbitrage and Arbitrage Pricing: A New Approach," Journal of Finance, American Finance Association, vol. 48(4), pages 1231-62, September.
    5. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
    6. James D. Hamilton, 1985. "Historical Causes of Postwar Oil Shocks and Recessions," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 97-116.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eco:journ1:2012-02-7. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ilhan Ozturk).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.