Oil price and stock returns of consumers and producers of crude oil

Phan,DHB, Sharma,SS and Narayan,PK 2015, Oil price and stock returns of consumers and producers of crude oil, Journal of International Financial Markets, Institutions and Money, vol. 34, pp. 245-262, doi: 10.1016/j.intfin.2014.11.010.

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Title Oil price and stock returns of consumers and producers of crude oil
Author(s) Phan,DHB
Sharma,SSORCID iD for Sharma,SS orcid.org/0000-0002-7297-1557
Narayan,PKORCID iD for Narayan,PK orcid.org/0000-0001-7934-8146
Journal name Journal of International Financial Markets, Institutions and Money
Volume number 34
Start page 245
End page 262
Total pages 18
Publisher Elsevier
Place of publication Amsterdam , Netherlands
Publication date 2015-01
ISSN 1042-4431
Keyword(s) Consumer
Oil price returns
Producer
Profits
Stock returns
Summary In this paper we investigate how differently stock returns of oil producers and oil consumers are affected from oil price changes. We find that stock returns of oil producers are affected positively by oil price changes regardless of whether oil price is increasing or decreasing. For oil consumers, oil price changes do not affect all consumer sub-sectors and where it does, this effect is heterogeneous. We find that oil price returns have an asymmetric effect on stock returns for most sub-sectors. We devise simple trading strategies and find that while both consumers and producers of oil can make statistically significant profits, investors in oil producer sectors make relatively more profits than investors in oil consumer sectors.
Language eng
DOI 10.1016/j.intfin.2014.11.010
Field of Research 150202 Financial Econometrics
Socio Economic Objective 910206 Market-Based Mechanisms
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30069529

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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