Relationship Between Oil Prices and Stock Prices of Major Oil Companies[Relation entre le prix du pétrole et les cours boursiers des grandes compagnies pétrolières mondiales]

The paper explains how stock price of oil companies depends on oil futures market price. The model is applied to major oil company stocks: Shell, Exxon Mobil, BP, Total and Chevron. The topic is original because it focuses on short‐ and long‐term relationships with vector error correction models (VECM) with changing regimes. To get structural model between stock price of oil companies and oil futures market price, investigation is oriented to cointegration link with autoregressive vector (VAR). Research is conducted in using monthly data from November 1989 to June 2011. The stationarity of times series is tested with Dickey‐Fuller unit root test, Philips‐Perron and KPSS. The approaches of Engle‐Granger and Johansen do not enable to find long‐term relationship over the overall period. However, cointegration with 5 changing regimes is found. The Bai and Perron approach enables to find 5 breakpoints. In order to identify cointegration relationships with changing regimes, the Gregory and Hansen method is used and results show cointegration with changing regimes. Vector error correction (VEC) models associated to cointegration with changing regimes are estimated. VEC looks at the dynamics on the short‐term.Then economic and financial analysis is done and choc analysis is implemented with impulse response function. Furthermore, ARCH‐LM test shows the existence of an ARCH vectorial model. The paper shows how recent cointegration techniques are useful in including endogenous structural breaks leading to changing regimes. Further investigations could be done to estimate whether one could be able to hedge commodity price fluctuations in using stocks whose markets are a lot more liquid. This modeling will be extended by short‐term construction of models incorporating changing regimes with Markovian approach MS‐VAR and MS‐VECM.