New evidence on oil price and firm returns

Modelling oil and gas stock returns using multi factor asset pricing model including oil price exposure

“…Broadstock et al (2016) had made an assessment of oil shocks and stock returns of Chinese firms using Fama-French factors. For other similar studies see also Narayan and Sharma (2011), Phan et al (2015a) and Melichar (2016).…”

“…Other firms seemed to be able to transfer most of the oil price risk to customers or managed it with hedging. Phan et al (2015b) investigated the effect of oil price changes on stock returns of oil producers and oil consumers using a similar methodology adopted by Narayan and Sharma (2011) and Arouri (2011). Stock returns of oil producers were found to be positively affected by oil price changes regardless of whether it was an oil price increase or decrease.…”

Pricing of risk and volatility dynamics on an emerging stock market: evidence from both aggregate and disaggregate data

“…Initially, given the scarcity of evidence, particularly regarding the asymmetric volatility (for 17 models -16 sectoral and one aggregate market level -out of 24), further research studies should try to emphasise the micro-level analysis (i.e. firm level), first due to the fact that firms are heterogeneous in nature even in a very narrowly defined sectors (Ewing et al, 2005;Narayan & Sharma, 2011) and secondly due to the fact that firm level analysis is very scarce, particularly in Pakistan. In addition, the considerable significance granted by the influential literature to firm features (i.e.…”

Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets

“…the inclusion of commodity futures into stock portfolios have been found to decrease, particularly during crisis periods where they are needed (Silvennoinen and Thorp, 2010;Daskalaki and Skiadopoulos, 2011). Large fluctuations in commodity prices over recent years have also been causes for concern among governments, policymakers and traders 3 , which have significant impacts (either positive or negative) on equity markets (e.g., Baur and McDermott, 2010;Narayan and Sharma, 2011;Filis et al, 2011). Moreover, while the expansion of financial institutions' positions in commodity markets may improve risk sharing, it can increase the importance of common shocks and spark off substantial volatility spillover and contagious effects in case of important financial distresses due to limits to arbitrage as reported in Gromb and Vayanos (2010).…”