Revisiting the Effect of Crude Oil Price Movements on US Stock Market Returns and Volatility

Sonenshine, Ralph; Cauvel, Michael

doi:10.4236/me.2017.85053

Cited by 3 publications

(2 citation statements)

References 19 publications

(32 reference statements)

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“…The disclosure of this information leads to the prediction by the oil companies about a non-increase in their sales revenue and a higher storage cost, which may not generate abnormal positive returns. This result is in line with those obtained by Hall and Kenjegaliev (2017) and Sonenshine and Cauvel (2017)´s studies. Faced with positive oil supply shocks, these authors do not obtain statistically significant positive CARs.…”

Section: Analysis Of Resultssupporting

confidence: 93%

The impact of the OPEC announcement on the oil companies' share prices

et al. 2021

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Purpose: This study aims at verifying the negative impact of the announcement made by OPEC to maintain oil production - on March 5, 2020 - on the oil companies´ share prices in the main countries of Latin America and the BRIC´s.Design/methodology/approach: Such objective is verified through an event whose final sample consists of 29 oil companies of Brazil, Chile, Colombia, Russia, India and China.Findings: H1- OPEC announcement negatively affects the share price of oil companies- is not confirmed. However, H2 – OPEC announcement differently affects the share price of oil companies in Latin America and other emerging countries that make up the BRIC - is confirmed.Research limitations/implications: The sample considers only oil companies operating in the oil and integrated gas segments, as well as oil and gas exploration and production.Practical implications: These results expand the understanding of the impact of oil commodity price shocks on the share prices of oil companies in emerging countries, during the Covid-19 pandemic.Originality/value: Verification of a positive shock impact on the supply or the reduction in the oil price on the return on shares of BRIC´s companies and among other Latin American countries, during Covid-19.

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Section: Analysis Of Resultssupporting

confidence: 93%

The impact of the OPEC announcement on the oil companies' share prices

et al. 2021

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“…By applying Vector Autoregression (VAR) models and bivariate Granger causality tests, Feride (2015) showed that both symmetric and positive oil price shocks decrease industrial production, money supply, and imports while the negative oil price shocks increase imports. Sonenshine and Cauvel (2017) explored how the magnitude of crude oil price changes affect the stock market returns and variances of key production, banking and consuming segments of the US economy. They provided explanations for the asymmetric responses to positive and negative oil shocks found in key sectors of the US economy.…”

Section: Literature Reviewmentioning

confidence: 99%

Economic Diversification and the State of Oil Dependency of UAE Stock Returns-An Analysis of ADX Indices 2014-2019

Ghosh¹

2019

AFR

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Impact of commodity price risk on stock return remains an important forecasting parameters across stock markets of developed and emerging markets. In recent times the subdued oil price poses a challenge to the economic imbalance among oil producing countries, and thus non-oil diversification has been adopted as an economic solution. Amongst the GCC countries, the intensity of non-oil diversification has been found to be higher in the UAE which prompted to conduct a separate study of impact of oil price volatility on stock returns of Abu Dhabi Securities Market General Index and various sectoral indices. This study examines whether UAE stock returns are still associated with changes in oil price as reported in earlier research despite significant improvements in non-oil sector GDP contributions. The empirical assessment is based on weekly returns of the Abu Dhabi Stock Market General Index and four sectoral indices, namely, banking, industrial, energy and real estate in relation to variations in weekly WTI prices for the period between 1st week of 2012 to 29th week of 2019, i.e., for a period of 392 weeks applying Vector Error Correction model and Granger Causality test. It is found that there exists both long run and short run association between oil price volatility and stock return except model misspecification in respect of industrial and energy sectors arising out of serial correlation. Two lagged weekly oil price movements are found to be strong explanatory variables of stock returns.

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