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Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars

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  • Mushtaq Hussain Khan

    (University of Azad Jammu & Kashmir, Muzaffarabad.)

  • Junaid Ahmed

    (Pakistan Institute of Development Economics, Islamabad.)

  • Mazhar Mughal

    (Pau Business School, France.)

Abstract

This study examines how crude oil price volatility affected the stock returns of major global oil and gas corporations during three major oil-price wars that took place between October 1991 and June 2020. Episodes considered include the 1998 Saudi Arabia—Venezuela war, the 2014-16 conflict and the 2020 Saudi Arabia—Russia war in a time of unprecedented crisis caused by the COVID-19 pandemic. Our findings reveal a significant evidence for volatility persistence and leverage effects in oil price during the three oil-price wars. These findings are consistent for WTI as well as Brent crude oil specifications. Though the persistence of volatility is similar to that of the previous two oilprice wars, the 2020 Saudi Arabia—Russia oil-price war has higher volatility spikes than the previous two wars. Besides, oil price shocks have a significant and positive effect on the returns of oil and gas companies. These findings provide information on how volatility in global oil prices is also sensitive to irregular events such as price wars between oil producers. This information can be important for economic agents contemplating shorter hedges by managing risks during times of high volatility.

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  • Mushtaq Hussain Khan & Junaid Ahmed & Mazhar Mughal, 2020. "Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars," PIDE-Working Papers 2020:22, Pakistan Institute of Development Economics.
    • Handle: RePEc:pid:wpaper:2020:22
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    More about this item

    Keywords

    Crude Oil; Oil and Gas Corporations; Oil-price Wars; Stock Returns; Volatility;
    All these keywords.

    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
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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