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Evidence on the nature and extent of the relationship between oil prices and equity values in the UK

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  • El-Sharif, Idris
  • Brown, Dick
  • Burton, Bruce
  • Nixon, Bill
  • Russell, Alex

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  • El-Sharif, Idris & Brown, Dick & Burton, Bruce & Nixon, Bill & Russell, Alex, 2005. "Evidence on the nature and extent of the relationship between oil prices and equity values in the UK," Energy Economics, Elsevier, vol. 27(6), pages 819-830, November.
  • Handle: RePEc:eee:eneeco:v:27:y:2005:i:6:p:819-830
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    References listed on IDEAS

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    1. Faff, Robert W. & Brailsford, Timothy J., 1999. "Oil price risk and the Australian stock market," Journal of Energy Finance & Development, Elsevier, vol. 4(1), pages 69-87, June.
    2. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    3. Stone, Bernell K., 1974. "Systematic Interest-Rate Risk in a Two-Index Model of Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(5), pages 709-721, November.
    4. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
    5. Martin, John D. & Keown, Arthur J., 1977. "Interest Rate Sensitivity and Portfolio Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(2), pages 181-195, June.
    6. Ferson, Wayne E & Harvey, Campbell R, 1991. "The Variation of Economic Risk Premiums," Journal of Political Economy, University of Chicago Press, vol. 99(2), pages 385-415, April.
    7. Robert Faff & Howard Chan, 1998. "A multifactor model of gold industry stock returns: evidence from the Australian equity market," Applied Financial Economics, Taylor & Francis Journals, vol. 8(1), pages 21-28.
    8. Sadorsky, Perry & Henriques, Irene, 2001. "Multifactor risk and the stock returns of Canadian paper and forest products companies," Forest Policy and Economics, Elsevier, vol. 3(3-4), pages 199-208, November.
    9. Sadorsky, Perry, 2001. "Risk factors in stock returns of Canadian oil and gas companies," Energy Economics, Elsevier, vol. 23(1), pages 17-28, January.
    10. Jorion, Philippe, 1990. "The Exchange-Rate Exposure of U.S. Multinationals," The Journal of Business, University of Chicago Press, vol. 63(3), pages 331-345, July.
    11. Khoo, Andrew, 1994. "Estimation of foreign exchange exposure: an application to mining companies in Australia," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 342-363, June.
    12. Chen, Nai-Fu, 1991. "Financial Investment Opportunities and the Macroeconomy," Journal of Finance, American Finance Association, vol. 46(2), pages 529-554, June.
    13. Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
    14. Harvey, Campbell R., 1989. "Time-varying conditional covariances in tests of asset pricing models," Journal of Financial Economics, Elsevier, vol. 24(2), pages 289-317.
    15. Jones, Charles M & Kaul, Gautam, 1996. "Oil and the Stock Markets," Journal of Finance, American Finance Association, vol. 51(2), pages 463-491, June.
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