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How Do Oil Price Changes Affect German Stock Returns?

Author

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  • Laura Cueppers

    (Heinrich Heine University Duesseldorf, Universitaetsstr 1, Duesseldorf D-40225, Germany)

  • Dieter Smeets

    (Heinrich Heine University Duesseldorf, Universitaetsstr 1, Duesseldorf D-40225, Germany.)

Abstract

In this article, the effects of oil price changes on the stock return of 17 German DAX companies are studied from February 1982 to July 2007. By applying panel estimations, we initially identify a nonlinear and asymmetric relationship between oil prices (quoted in US dollar) and the German stock market,which is consistent with a signalling (transmission) channel. Additionally, further evidence is provided for the signalling channel on a disaggregated and daily data base. The results reveal, however, that only certain specific industries are affected by oil price shocks, whereas others remain unaffected. These varying effects of oil price shocks mainly result from the cost- and demand-side dependence on oil that different companies are exposed to.

Suggested Citation

  • Laura Cueppers & Dieter Smeets, 2015. "How Do Oil Price Changes Affect German Stock Returns?," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 321-334.
  • Handle: RePEc:eco:journ2:2015-01-24
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    References listed on IDEAS

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    Cited by:

    1. Iqbal Thonse Hawaldar & T. M. Rajesha & Lokesha Lokesha & Adel M. Sarea, 2020. "Causal Nexus between the Anamolies in the Crude Oil Price and Stock Market," International Journal of Energy Economics and Policy, Econjournals, vol. 10(3), pages 233-238.
    2. Ankit Sharma & Sasmita Giri & Harsh Vardhan & Sujeet Surange & Rohan Shetty & Vishwaroop Shetty, 2018. "Relationship between Crude Oil Prices and Stock Market: Evidence from India," International Journal of Energy Economics and Policy, Econjournals, vol. 8(4), pages 331-337.

    More about this item

    Keywords

    Oil prices; German stock returns; firm level analysis;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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