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Investment and oil price volatility

Author

Listed:
  • Susan Sunila Sharma

    () (School of Accounting, Economics and Finance, Deakin University)

  • Paresh Kumar Narayan

    () (School of Accounting, Economics and Finance, Deakin University)

Abstract

In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm returns for the majority of the firms in our sample.

Suggested Citation

  • Susan Sunila Sharma & Paresh Kumar Narayan, 2012. "Investment and oil price volatility," Economics Bulletin, AccessEcon, vol. 32(2), pages 1428-1433.
  • Handle: RePEc:ebl:ecbull:eb-12-00212
    as

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    File URL: http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I2-P136.pdf
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    References listed on IDEAS

    as
    1. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2011. "New evidence on oil price and firm returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3253-3262.
    2. Zeira, Joseph, 1990. "Cost uncertainty and the rate of investment," Journal of Economic Dynamics and Control, Elsevier, vol. 14(1), pages 53-63, February.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Chen, Wei & Huang, Zhuo & Yi, Yanping, 2015. "Is there a structural change in the persistence of WTI–Brent oil price spreads in the post-2010 period?," Economic Modelling, Elsevier, vol. 50(C), pages 64-71.

    More about this item

    Keywords

    Oil Price; Volatility; Time Series; Firms; Returns.;

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • D4 - Microeconomics - - Market Structure, Pricing, and Design

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