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Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies

Author

Listed:
  • Bettina Lis

    (Gutenberg University of Mainz, Institute of Media Studies and Communication, Mainz, Germany)

  • Christian Ne ler

    (Gutenberg University of Mainz, School of Management and Economics, Mainz, Germany)

  • Jan Retzmann

    (Gutenberg University of Mainz, School of Management and Economics, Mainz, Germany)

Abstract

In this paper we are testing whether the impact of oil prices is different on the overall market and automotive companies. In addition we investigate, if this relationship is nonlinear. For this we use stock return data of US, German and Japanese car companies, and returns of share indices from the same countries as control variables, and Brent crude oil price changes. We first estimate the impact of crude oil on the indices, then clean the indices from these influences, and afterwards estimate the impact on the stocks. For this we are using OLS and EGARCH (1,1). We conclude that in general the car companies stocks do not react more adversely as the overall market to crude oil price increases, while Japanese companies do not show any excess sensitivity at all. German companies tend to be sensitive, and US and German companies are together more sensitive in the more recent time periods.

Suggested Citation

  • Bettina Lis & Christian Ne ler & Jan Retzmann, 2012. "Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 190-200.
  • Handle: RePEc:eco:journ1:2012-02-7
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    References listed on IDEAS

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    Cited by:

    1. Josef Pavlata & Petr Strejček & Peter Albrecht & Martin Širůček, 2021. "The Empirical Linkage between Oil Prices and the Stock Returns of Oil Companies," European Journal of Business Science and Technology, Mendel University in Brno, Faculty of Business and Economics, vol. 7(2), pages 186-197.
    2. Sarwar, Suleman & Shahbaz, Muhammad & Anwar, Awais & Tiwari, Aviral Kumar, 2019. "The importance of oil assets for portfolio optimization: The analysis of firm level stocks," Energy Economics, Elsevier, vol. 78(C), pages 217-234.

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    More about this item

    Keywords

    Crude oil; Automotive; Car producers; Stock returns; Regression; Nonlinear;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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