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Oil price shocks and stock returns of oil and gas corporations

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  • Diaz, Elena Maria
  • de Gracia, Fernando Perez

Abstract

In this paper we examine the impact of oil price shocks on stock returns of four oil and gas corporations listed on NYSE over the period January 1974 to December 2015. We consider different linear and nonlinear oil price specifications and take into account the structural break date of the year 1986. The novelty evidence supports a significant positive impact of oil price shocks on stock returns in the short-run. We also find that the relationship has become statistically significant during the post-1986 period.

Suggested Citation

  • Diaz, Elena Maria & de Gracia, Fernando Perez, 2017. "Oil price shocks and stock returns of oil and gas corporations," Finance Research Letters, Elsevier, vol. 20(C), pages 75-80.
  • Handle: RePEc:eee:finlet:v:20:y:2017:i:c:p:75-80
    DOI: 10.1016/j.frl.2016.09.010
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    References listed on IDEAS

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    1. repec:eee:phsmap:v:498:y:2018:i:c:p:123-136 is not listed on IDEAS

    More about this item

    Keywords

    Oil prices; Linear and nonlinear specifications; Vector autoregressive model; Stock returns; Oil and gas corporations;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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