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Long-run Models of Oil Stock Prices

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Author Info
Alessandro Lanza (Eni S.p.A., Roma, Fondazione Eni Enrico Mattei, Milano and CRENoS, Cagliari, Italy)
Matteo Manera (Department of Statistics, University of Milano-Bicocca and Fondazione Eni Enrico Mattei, Milano, Italy)
Margherita Grasso (Fondazione Eni Enrico Mattei, Milano, Italy)
Massimo Giovannini (Department of Economics, Boston College, USA and Fondazione Eni Enrico Mattei, Milano, Italy)

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Abstract

The identification of the forces that drive oil stock prices is extremely important given the size of the Oil&Gas industry and its links with the energy sector and the environment. In the next decade oil companies will have to deal with international policies to contrast climate change. This issue is likely to affect companies’ shareholder values. In this paper we focus on the long-run financial determinants of the stock prices of six major oil companies (Bp, Chevron-Texaco, Eni, Exxon-Mobil, Royal Dutch Shell, Total-Fina-Elf) using multivariate cointegration techniques and vector error correction models. Weekly oil stock prices are analyzed together with the relevant stock market indexes, exchange rates, spot and future oil prices over the period January 1998- April 2003. The empirical results confirm the statistical significance of the major financial variables in explaining the long-run dynamics of oil companies’ stock values.

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Paper provided by Fondazione Eni Enrico Mattei in its series Working Papers with number 2003.96.

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Date of creation: Oct 2003
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Handle: RePEc:fem:femwpa:2003.96

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Related research
Keywords: Cointegration; Vector error correction models; Oil companies; Oil stock prices; Hydrocarbon fuels; Energy; Non-renewable resources; Environment;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
L71 - Industrial Organization - - Industry Studies: Primary Products and Construction - - - Mining, Extraction, and Refining: Hydrocarbon Fuels
Q30 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Nonrenewable Resources and Conservation - - - General
Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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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.:
  1. Sadorsky, Perry, 2001. "Risk factors in stock returns of Canadian oil and gas companies," Energy Economics, Elsevier, vol. 23(1), pages 17-28, January. [Downloadable!] (restricted)
  2. Amano, R. A. & van Norden, S., 1998. "Oil prices and the rise and fall of the US real exchange rate," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 299-316, April. [Downloadable!] (restricted)
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  3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  4. Urbain, Jean-Pierre, 1992. "On Weak Exogeneity in Error Correction Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(2), pages 187-207, May.
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  5. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec.. [Downloadable!] (restricted)
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(explanations, 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.)

  1. Matteo Manera & Massimo Giovannini & Margherita Grasso & Alessandro Lanza, 2004. "Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants," Working Papers 2004.71, Fondazione Eni Enrico Mattei. [Downloadable!]
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