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Effect of oil price changes on the price of Russian and Chinese oil shares

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  • Stephen Hall

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  • Amangeldi Kenjegaliev

Abstract

Do changes of oil prices have an effect on the stocks of oil companies in emerging markets? Do the shares of oil companies of emerging markets react to the price news in a similar way as those of the Western companies? This paper aims to answer these questions utilising various event study techniques. As expected, the results of both parametric and non-parametric tests suggest that the fluctuations of oil price have an effect on the stock prices. However, an interesting result is that the responses of stocks of Chinese and Russian oil companies are considerably different from the shares of their Western counterparts.

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File URL: http://www.le.ac.uk/economics/research/repec/lec/leecon/dp09-14.pdf
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Bibliographic Info

Paper provided by Department of Economics, University of Leicester in its series Discussion Papers in Economics with number 09/14.

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Date of creation: Sep 2009
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Handle: RePEc:lec:leecon:09/14

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Postal: Department of Economics University of Leicester, University Road. Leicester. LE1 7RH. UK
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Related research

Keywords: Event Studies; Abnormal Return; Parametric T-test; Non-Parametric Rank Test; Oil Companies.;

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