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Citations for "Common and Fundamental Factors in Stock Returns of Canadian Oil and Gas Companies"

by M. Martin Boyer & Didier Filion

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  1. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2009. "Volatility Spillovers Between Crude Oil Futures Returns and Oil Company Stocks Return," CIRJE F-Series CIRJE-F-639, CIRJE, Faculty of Economics, University of Tokyo.
  2. Basher, Syed Abul & Haug, Alfred A. & Sadorsky, Perry, 2011. "Oil prices, exchange rates and emerging stock markets," MPRA Paper 30140, University Library of Munich, Germany.
  3. El Hedi Arouri, Mohamed & Huong Dinh, Thanh & Khuong Nguyen, Duc, 2010. "Time-varying predictability in crude-oil markets: the case of GCC countries," Energy Policy, Elsevier, vol. 38(8), pages 4371-4380, August.
  4. Acaravci, Ali & Ozturk, Ilhan & Kandir, Serkan Yilmaz, 2012. "Natural gas prices and stock prices: Evidence from EU-15 countries," Economic Modelling, Elsevier, vol. 29(5), pages 1646-1654.
  5. Mohanty, Sunil & Nandha, Mohan & Bota, Gabor, 2010. "Oil shocks and stock returns: The case of the Central and Eastern European (CEE) oil and gas sectors," Emerging Markets Review, Elsevier, vol. 11(4), pages 358-372, December.
  6. Miller, J. Isaac & Ratti, Ronald A., 2009. "Crude oil and stock markets: Stability, instability, and bubbles," Energy Economics, Elsevier, vol. 31(4), pages 559-568, July.
  7. repec:ipg:wpaper:2014-085 is not listed on IDEAS
  8. Misund, Bard & Mohn, Klaus, 2014. "Exploration Risk in Oil & Gas Shareholder Returns," UiS Working Papers in Economics and Finance 2014/4, University of Stavanger.
  9. Tansuchat, R. & Chang, C-L. & McAleer, M.J., 2010. "Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns," Econometric Institute Research Papers EI 2010-12, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  10. Sunil Mohanty & Aigbe Akhigbe & Tawfeek Al-Khyal & Turki Bugshan, 2013. "Oil and stock market activity when prices go up and down: the case of the oil and gas industry," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 253-272, August.
  11. Ulrich Oberndorfer & Dirk Ulbricht & Janina Ketterer, 2007. "Lost in Transmission? Stock Market Impacts of the 2006 European Gas Crisis," Ifo Working Paper Series Ifo Working Paper No. 41, Ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
  12. Bouoiyour, Jamal & Selmi, Refk & Miftah, Amal, 2016. "On the reactions of sectoral equity returns to oil price in France: Implications for portfolio allocation," MPRA Paper 70382, University Library of Munich, Germany.
  13. Hammoudeh, Shawkat & Yuan, Yuan & Chiang, Thomas & Nandha, Mohan, 2010. "Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks," Energy Policy, Elsevier, vol. 38(8), pages 3922-3932, August.
  14. Misund, Bård, 2015. "Accounting for Oil and Gas Exploration Activities: A Triumph of Economics over Politics," UiS Working Papers in Economics and Finance 2015/15, University of Stavanger.
  15. Wang, Chih-Wei & Veiga, Helena & Ramos, Sofía B., 2012. "Asymmetric long-run effects in the oil industry," DES - Working Papers. Statistics and Econometrics. WS ws120502, Universidad Carlos III de Madrid. Departamento de Estadística.
  16. Berk, Istemi & Rauch, Jannes, 2016. "Regulatory interventions in the US oil and gas sector: How do the stock markets perceive the CFTC's announcements during the 2008 financial crisis?," Energy Economics, Elsevier, vol. 54(C), pages 337-348.
  17. Mohamed AROURI & Amine LAHIANI & D.-K. NGUYEN, 2010. "Forecasting the Conditional Volatility of Oil Spot andFutures Prices with Structural Breaksand Long Memory Models," LEO Working Papers / DR LEO 661, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  18. Boldanov, Rustam & Degiannakis, Stavros & Filis, George, 2015. "Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries," MPRA Paper 72082, University Library of Munich, Germany.
  19. Sadorsky, Perry, 2008. "Assessing the impact of oil prices on firms of different sizes: Its tough being in the middle," Energy Policy, Elsevier, vol. 36(10), pages 3854-3861, October.
  20. Aggarwal, Raj & Akhigbe, Aigbe & Mohanty, Sunil K., 2012. "Oil price shocks and transportation firm asset prices," Energy Economics, Elsevier, vol. 34(5), pages 1370-1379.
  21. David C. Broadstock, Ying Fan, Qiang Ji, and Dayong Zhang, 2016. "Shocks and Stocks: A Bottom-up Assessment of the Relationship Between Oil Prices, Gasoline Prices and the Returns of Chinese Firms," The Energy Journal, International Association for Energy Economics, vol. 0(China Spe).
  22. Mohamed EL HEDI AROURI & Philippe FOULQUIER & Julien FOUQUAU, 2011. "Oil Prices and Stock Markets in Europe: A Sector Perspective," Discussion Papers (REL - Recherches Economiques de Louvain) 2011011, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  23. Henriques, Irene & Sadorsky, Perry, 2010. "Can environmental sustainability be used to manage energy price risk?," Energy Economics, Elsevier, vol. 32(5), pages 1131-1138, September.
  24. Veiga, Helena & Ramos, Sofía B. & Martín-Barragán, Belén, 2013. "Correlations between oil and stock markets : a wavelet-based approach," DES - Working Papers. Statistics and Econometrics. WS ws130504, Universidad Carlos III de Madrid. Departamento de Estadística.
  25. Riadh Aloui & Rangan Gupta & Stephen M. Miller, 2015. "Uncertainty and Crude Oil Returns," Working Papers 201503, University of Pretoria, Department of Economics.
  26. Rania Jammazi & Duc Khuong Nguyen, 2015. "Responses of international stock markets to oil price surges: a regime-switching perspective," Applied Economics, Taylor & Francis Journals, vol. 47(41), pages 4408-4422, September.
  27. Arouri, Mohamed El Hedi & Jouini, Jamel & Nguyen, Duc Khuong, 2012. "On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness," Energy Economics, Elsevier, vol. 34(2), pages 611-617.
  28. Talbot, Edward & Artiach, Tracy & Faff, Robert, 2013. "What drives the commodity price beta of oil industry stocks?," Energy Economics, Elsevier, vol. 37(C), pages 1-15.
  29. Sukcharoen, Kunlapath & Zohrabyan, Tatevik & Leatham, David & Wu, Ximing, 2014. "Interdependence of oil prices and stock market indices: A copula approach," Energy Economics, Elsevier, vol. 44(C), pages 331-339.
  30. Ben Ammar, Semir & Eling, Martin, 2015. "Common risk factors of infrastructure investments," Energy Economics, Elsevier, vol. 49(C), pages 257-273.
  31. repec:ipg:wpaper:2013-034 is not listed on IDEAS
  32. Ugur Ergun & Azizah Ibrahim, 2013. "Global Energy Prices and the Behavior of Energy Stock Price Fluctuations," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(11), pages 1460-1465, November.
  33. Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2013. "A time-varying copula approach to oil and stock market dependence: The case of transition economies," Energy Economics, Elsevier, vol. 39(C), pages 208-221.
  34. Šoba, Oldřich & Širůček, Martin & Havíř, Tomáš, 2013. "Závislost cen akcií ropných společností na ceně ropy
    [The dependence of oil company's stock price on oil price]
    ," MPRA Paper 62899, University Library of Munich, Germany, revised 2013.
  35. Moya-Martínez, Pablo & Ferrer-Lapeña, Román & Escribano-Sotos, Francisco, 2014. "Oil price risk in the Spanish stock market: An industry perspective," Economic Modelling, Elsevier, vol. 37(C), pages 280-290.
  36. Mohanty, Sunil & Nandha, Mohan & Habis, Essam & Juhabi, Eid, 2014. "Oil price risk exposure: The case of the U.S. Travel and Leisure Industry," Energy Economics, Elsevier, vol. 41(C), pages 117-124.
  37. repec:ipg:wpaper:34 is not listed on IDEAS
  38. David C Broadstock & Rui Wang & Dayong Zhang, 2014. "The direct and indirect e ects of oil shocks on energy related stocks," Surrey Energy Economics Centre (SEEC), School of Economics Discussion Papers (SEEDS) 146, Surrey Energy Economics Centre (SEEC), School of Economics, University of Surrey.
  39. Mohamed El Hedi Arouri & Duc Khuong Nguyen, 2010. "Oil Prices, Stock Markets and Portfolio Investment: Evidence from Sector Analysis in Europe over the Last Decade," Working Papers hal-00507823, HAL.
  40. Berk, Istemi & Aydogan, Berna, 2012. "Crude Oil Price Shocks and Stock Returns: Evidence from Turkish Stock Market under Global Liquidity Conditions," EWI Working Papers 2012-15, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
  41. Degiannakis, Stavros & Filis, George & Floros, Christos, 2013. "Oil and stock returns: Evidence from European industrial sector indices in a time-varying environment," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 175-191.
  42. Oberndorfer, Ulrich, 2009. "EU Emission Allowances and the stock market: Evidence from the electricity industry," Ecological Economics, Elsevier, vol. 68(4), pages 1116-1126, February.
  43. Oberndorfer, Ulrich, 2008. "Returns and Volatility of Eurozone Energy Stocks," ZEW Discussion Papers 08-017, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  44. Aynur Pala, 2014. "The Effect of Valuation Ratios, Gold Price, and Petroleum Price on Equity Returns: A Comparison of Static Panel and Quantile Regressions," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(1), pages 80-89, January.
  45. Ntantamis, Christos & Zhou, Jun, 2015. "Bull and bear markets in commodity prices and commodity stocks: Is there a relation?," Resources Policy, Elsevier, vol. 43(C), pages 61-81.
  46. Lin, Boqiang & Wesseh, Presley K. & Appiah, Michael Owusu, 2014. "Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness," Energy Economics, Elsevier, vol. 42(C), pages 172-182.
  47. Shu-Yi Liao & Sheng-Tung Chen & Mao-Lung Huang, 2016. "Will the oil price change damage the stock market in a bull market? A re-examination of their conditional relationships," Empirical Economics, Springer, vol. 50(3), pages 1135-1169, May.
  48. Mollick, André Varella & Assefa, Tibebe Abebe, 2013. "U.S. stock returns and oil prices: The tale from daily data and the 2008–2009 financial crisis," Energy Economics, Elsevier, vol. 36(C), pages 1-18.
  49. Phan, Dinh & Nguyen, Hoa & Faff, Robert, 2014. "Uncovering the asymmetric linkage between financial derivatives and firm value — The case of oil and gas exploration and production companies," Energy Economics, Elsevier, vol. 45(C), pages 340-352.
  50. Ratti, Ronald A. & Hasan, M. Zahid, 2013. "Oil Price Shocks and Volatility in Australian Stock Returns ‎," MPRA Paper 49043, University Library of Munich, Germany.
  51. Arouri Mohamed El Hedi & Jawadi Fredj, 2010. "Short and long-term links between oil prices and stock markets in Europe," Economics Bulletin, AccessEcon, vol. 30(1), pages 817-828.
  52. Arouri, Mohamed El Hedi, 2011. "Does crude oil move stock markets in Europe? A sector investigation," Economic Modelling, Elsevier, vol. 28(4), pages 1716-1725, July.
  53. El Hedi Arouri, Mohamed & Jouini, Jamel & Nguyen, Duc Khuong, 2011. "Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1387-1405.
  54. Malte Sunderkötter, 2011. "Fuel mix characteristics and expected stock returns of European power companies," EWL Working Papers 11056, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Oct 2011.
  55. Henriques, Irene & Sadorsky, Perry, 2008. "Oil prices and the stock prices of alternative energy companies," Energy Economics, Elsevier, vol. 30(3), pages 998-1010, May.
  56. Korkmaz, Turhan & Cevik, Emrah Ismail & Birkan, Elif & Özataç, Nesrin, 2010. "Testing CAPM using Markov switching model: the case of coal firms," MPRA Paper 71479, University Library of Munich, Germany, revised 2010.
  57. Misund, Bård, 2015. "Vertical Integration and Value Relevance: Empirical Evidence from Oil and Gas Producers," UiS Working Papers in Economics and Finance 2015/14, University of Stavanger.
  58. Ramos, Sofia B. & Veiga, Helena, 2011. "Risk factors in oil and gas industry returns: International evidence," Energy Economics, Elsevier, vol. 33(3), pages 525-542, May.
  59. Abhay Abhyankar, Bing Xu, and Jiayue Wang, 2013. "Oil Price Shocks and the Stock Market: Evidence from Japan," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
  60. Wen, Xiaoqian & Guo, Yanfeng & Wei, Yu & Huang, Dengshi, 2014. "How do the stock prices of new energy and fossil fuel companies correlate? Evidence from China," Energy Economics, Elsevier, vol. 41(C), pages 63-75.
  61. Chen, Qian & Lv, Xin, 2015. "The extreme-value dependence between the crude oil price and Chinese stock markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 121-132.
  62. Puah, Chin-Hong & Tan, Lay-Phin & Md Isa, Abu Hassan, 2009. "Nexus between Oil Price and Stock Performance of Power Industry in Malaysia," MPRA Paper 31757, University Library of Munich, Germany.
  63. Inchauspe, Julian & Ripple, Ronald D. & Trück, Stefan, 2015. "The dynamics of returns on renewable energy companies: A state-space approach," Energy Economics, Elsevier, vol. 48(C), pages 325-335.
  64. Misund, Bård, 2015. "Reserves Replacement and Oil and Gas Company Shareholder returns," UiS Working Papers in Economics and Finance 2015/11, University of Stavanger.
  65. Mohamed Amine BOUTABA, . "Does Carbon Affect European Oil Companies' Equity Values?," EcoMod2009 21500018, EcoMod.
  66. Balcilar, Mehmet & Ozdemir, Zeynel Abidin, 2013. "The causal nexus between oil prices and equity market in the U.S.: A regime switching model," Energy Economics, Elsevier, vol. 39(C), pages 271-282.
  67. Muñoz, M. Pilar & Dickey, David A., 2009. "Are electricity prices affected by the US dollar to Euro exchange rate? The Spanish case," Energy Economics, Elsevier, vol. 31(6), pages 857-866, November.
  68. Misund, Bård & Osmundsen, Petter, 2015. "Probable Oil and Gas Reserves and Shareholder Returns: The Impact of Shale Gas," UiS Working Papers in Economics and Finance 2015/17, University of Stavanger.
  69. Cheong, Chin Wen, 2009. "Modeling and forecasting crude oil markets using ARCH-type models," Energy Policy, Elsevier, vol. 37(6), pages 2346-2355, June.
  70. Oberndorfer, Ulrich, 2008. "EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry," ZEW Discussion Papers 08-059, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  71. Ulrich OBERNDORFER, . "Returns and Volatility of Eurozone Energy Stocks," EcoMod2008 23800097, EcoMod.
  72. Broadstock, David C. & Filis, George, 2014. "Oil price shocks and stock market returns: New evidence from the United States and China," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 417-433.
  73. Umut Halaç & Fatma Dilvin Taşkın & Efe Çağlar Çağlı, 2013. "The Turkish Stock Market Integration with Oil Prices: Cointegration Analysis with Unknown Regime Shifts," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 60(4), pages 499-513, June.
  74. Ali, Mohsin & Masih, Mansur, 2014. "Does Indian Stock Market Provide Diversification Benefits Against Oil Price Shocks? A Sectoral Analysis," MPRA Paper 58828, University Library of Munich, Germany.
  75. Oberndorfer, Ulrich, 2009. "Energy prices, volatility, and the stock market: Evidence from the Eurozone," Energy Policy, Elsevier, vol. 37(12), pages 5787-5795, December.
  76. Broadstock, David C. & Wang, Rui & Zhang, Dayong, 2014. "Direct and indirect oil shocks and their impacts upon energy related stocks," Economic Systems, Elsevier, vol. 38(3), pages 451-467.
  77. Bianconi, Marcelo & Yoshino, Joe A., 2014. "Risk factors and value at risk in publicly traded companies of the nonrenewable energy sector," Energy Economics, Elsevier, vol. 45(C), pages 19-32.
  78. Nandha, Mohan & Faff, Robert, 2008. "Does oil move equity prices? A global view," Energy Economics, Elsevier, vol. 30(3), pages 986-997, May.
  79. Scholtens, Bert & Yurtsever, Cenk, 2012. "Oil price shocks and European industries," Energy Economics, Elsevier, vol. 34(4), pages 1187-1195.
  80. Igor LEBRUN & Ludovic DOBBELAERE, . "A Macro-econometric Model for the Economy of Lesotho," EcoMod2010 259600102, EcoMod.
  81. Mohamed El Hédi Arouri & Amine Lahiani & Duc Khuong Nguyen, 2012. "Oil-stock volatility transmission, portfolio selection and hedging," Economics Bulletin, AccessEcon, vol. 32(4), pages 2768-2778.
  82. repec:ipg:wpaper:2014-080 is not listed on IDEAS
  83. Ng, Alex & Donker, Han, 2013. "Purchasing reserves and commodity market timing as takeover motives in the oil and gas industry," Energy Economics, Elsevier, vol. 37(C), pages 167-181.
  84. Combes, C. & Rivat, C., 2008. "A modelling environment based on data warehousing to manage and to optimize the running of international company," International Journal of Production Economics, Elsevier, vol. 112(1), pages 294-308, March.
  85. Elyasiani, Elyas & Mansur, Iqbal & Odusami, Babatunde, 2011. "Oil price shocks and industry stock returns," Energy Economics, Elsevier, vol. 33(5), pages 966-974, September.
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