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Oil shocks and stock returns: The case of the Central and Eastern European (CEE) oil and gas sectors

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  • Mohanty, Sunil
  • Nandha, Mohan
  • Bota, Gabor
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    Abstract

    We analyze the relation between oil prices and the stock returns of oil and gas firms in Central and Eastern European (CEE) countries. The overall results indicate no significant association between oil prices and the stock returns over 1998-2010 period. In contrast, the sub-period analysis reveals that oil price exposures of some oil and gas companies do vary across firms and over time. These results are likely to be attributed to the systematic risk factors including global risk arising from the global financial crisis as well as local risk factors at the country, industry, and firm level.

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    Bibliographic Info

    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 11 (2010)
    Issue (Month): 4 (December)
    Pages: 358-372

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    Handle: RePEc:eee:ememar:v:11:y:2010:i:4:p:358-372

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    Web page: http://www.elsevier.com/locate/inca/620356

    Related research

    Keywords: Oil price shocks Stock returns Central and Eastern Europe (CEE) Oil and gas sectors;

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    Cited by:
    1. Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2013. "A time-varying copula approach to oil and stock market dependence: The case of transition economies," Energy Economics, Elsevier, vol. 39(C), pages 208-221.
    2. Arouri, Mohamed El Hedi, 2011. "Does crude oil move stock markets in Europe? A sector investigation," Economic Modelling, Elsevier, vol. 28(4), pages 1716-1725, July.
    3. Kollias, Christos & Kyrtsou, Catherine & Papadamou, Stephanos, 2013. "The effects of terrorism and war on the oil price–stock index relationship," Energy Economics, Elsevier, vol. 40(C), pages 743-752.
    4. Fayyad, Abdallah & Daly, Kevin, 2011. "The impact of oil price shocks on stock market returns: Comparing GCC countries with the UK and USA," Emerging Markets Review, Elsevier, vol. 12(1), pages 61-78, March.
    5. Aloui, Chaker & Nguyen, Duc Khuong & Njeh, Hassen, 2012. "Assessing the impacts of oil price fluctuations on stock returns in emerging markets," Economic Modelling, Elsevier, vol. 29(6), pages 2686-2695.

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