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The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?

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  • Mohammad Enamul Hoque

    (Graduate School of Business, Universiti Kebangsaan Malaysia, Bangi 43600, Malaysia)

  • Soo-Wah Low

    (Graduate School of Business, Universiti Kebangsaan Malaysia, Bangi 43600, Malaysia)

  • Mohd Azlan Shah Zaidi

    (Faculty of Economics and Management, Universiti Kebangsaan Malaysia, Bangi 43600, Malaysia)

Abstract

This study explores Malaysian oil and gas stocks’ exposure to oil and gas risk factors, paying special attention to subindustry classification, stock size, book-to-market value, and volatility state. The study employs firm-level weekly frequency data of oil and gas firms and several multi-asset pricing models within a GARCH (1,1)-X and Markov-switching framework. The empirical findings reveal that oil price, gas price, and exchange rate exhibit positive effects on the stock returns of all oil and gas sub-industries, but they exhibit negative effects on gas utilities sub-industry stock returns. The empirical findings also reveal that the extent of this effect varies across sub-industry, stock size, book-to-market value, and volatility states. Thus, the findings suggest the existence of asymmetric, heterogeneous, and non-linear exposures.

Suggested Citation

  • Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi, 2020. "The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?," Energies, MDPI, vol. 13(15), pages 1-22, July.
    • Handle: RePEc:gam:jeners:v:13:y:2020:i:15:p:3901-:d:392498
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