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Oil shocks and stock returns: The case of the Central and Eastern European (CEE) oil and gas sectors

  • Mohanty, Sunil
  • Nandha, Mohan
  • Bota, Gabor
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    We analyze the relation between oil prices and the stock returns of oil and gas firms in Central and Eastern European (CEE) countries. The overall results indicate no significant association between oil prices and the stock returns over 1998-2010 period. In contrast, the sub-period analysis reveals that oil price exposures of some oil and gas companies do vary across firms and over time. These results are likely to be attributed to the systematic risk factors including global risk arising from the global financial crisis as well as local risk factors at the country, industry, and firm level.

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    File URL: http://www.sciencedirect.com/science/article/B6W69-50F3PMB-1/2/6328eb381b5d5d918195f522a91e9de4
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    Article provided by Elsevier in its journal Emerging Markets Review.

    Volume (Year): 11 (2010)
    Issue (Month): 4 (December)
    Pages: 358-372

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    Handle: RePEc:eee:ememar:v:11:y:2010:i:4:p:358-372
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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