Tight oil, real WTI prices and U.S. stock returns

Huang, Wanling; Mollick, André Varella

doi:10.1016/j.eneco.2019.104574

Cited by 19 publications

(12 citation statements)

References 39 publications

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“…This is what makes the world oil price variable has a significant effect on mining companies in Indonesia. This result is supported by research by Ma et al (2019), Diaz and de Gracia (2016), Huang andMollick (2020), andWahyono et al (2019).…”

Section: Discussionsupporting

confidence: 70%

Oil Price and Stock Return: Evidence of Mining Companies in Indonesia

Endri

Rinaldi

Arifian³

et al. 2021

IJEEP

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This research aims to analyze the determinants of stock return disclosure of mining sector companies listed on the Indonesia Stock Exchange in 2014-2018. The research adopted the Eviews program in data processing and Random effect regression model was chosen to test the relationship between internal and external indicators as independent variables include return on asset (ROA), debt to equity ratio (DER), total asset turnover (TATO), oil price and exchange rate. The result shows that return on assets and debt to equity ratio have no effect on stock return. Total asset turnover and exchange rate have negative and significant effect on stock return, while Oil price have positif and significant effect on stock return.

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Section: Discussionsupporting

confidence: 70%

Oil Price and Stock Return: Evidence of Mining Companies in Indonesia

Endri

Rinaldi

Arifian³

et al. 2021

IJEEP

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“…Although these three variables are overall statically insignificant as well, there are periods observed in these variables where they affect FSCN positively, which is statistically significant. The response of change in FSCN to a one-standard-deviation-shock to PROD is positive at the beginning after which there is a downturn and it is statistically insignificant which is in line with the responses of Huang and Mollick (2020) for world oil production (excluding the USA) but statistically significant just at month one.…”

Section: Us Shale Oil Productionsupporting

confidence: 68%

The US shale oil production, market forces and the US export ban

Taneri

Dogan

Berument

2021

IJESM

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Purpose The purpose of this paper is to use the novel data from the primary vision to determine the main financial and economic drivers of this revolutionary shale oil production and how these drivers changed after 2016 when the US removed its oil-exporting ban. Design/methodology/approach In this paper, the authors use the vector autoregressive model to assess the dynamic relationships among the Frac Count (FSCN) from the primary vision and the set of financial/macro-economic variables and how this dynamic relationship is altered with the effects of the US export ban before and after the lifting of the export ban. Findings The empirical evidence reveals that a positive shock to New York Mercantile Exchange, Standard and Poor’s 500, rig count, West Texas Intermediate or the US ending oil stocks increase the FSCN but higher interest rates and oil production decrease the FSCN. After the US became one of the major oil producers, it removed its crude export ban in December 2015. The empirical evidence suggests that the shale oil industry gets more integrated with the financial system and becomes more efficient in its production process in the post-2016 era after the export ban was removed. Originality/value The purpose of this paper is to use the novel data from the primary vision to determine the main financial and economic drivers of this revolutionary shale oil production and how these drivers changed after 2016 when the US removed its oil-exporting ban.

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“…In addition, a U-shaped correlation between volatility of oil price and investment could be found. On the same token, Huang and Mollick (2020) findings suggested that a structural vector autoregression model (SVAR) is applied in order to estimate the variance decomposition of returns of oil-related companies in aggregate market in S&P 500, S&P energy industry, Chevron as well as Exxon Mobil oil giant companies. The sample data was classified by two subsamples from 2000 to 2010 period and 2011-2018 period.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Concerned with the linkage between world oil price and stock returns, recent literature is in lack of empirical investigations of this relationship based on copula approach (Huang & Mollick, 2020). Regarding the dependence structure between stock returns, it is expected to use the copula modeling for financial market.…”

Section: Literature Reviewmentioning

confidence: 99%

“…For the dependence structure between world crude oil return and each stock return, we use the copula functions which were introduced by Nelsen 2006, Huang and Mollick (2020) as the method used in the financial market. This method had been supported by Boubaker and Salma (2011) who measured the dependence structure with five copulas: Gauss, Student, Clayton, Gumbel, and Frank.…”

Section: Research Analysismentioning

confidence: 99%

See 1 more Smart Citation

Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach

Nguyễn

Nguyen

Tran

2020

Cogent Economics & Finance

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This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil-and gas-related firms. Based on copula approach and the sample data of domestic giant oil-and gas firms from 2009 to 2019, in particular in the situation of oil price steadily going up and economic depression of 2011-2012; approximately nine copulas including Gauss, Clayton, Rotated-Clayton, Plackett, Frank, Gumbel, Rotated-Gumbel, Student, Symmetrized-Joe-Clayton have been focused. A new evidence could be found that the oil price shocks have not impacted on the stock return of oil-and gas-related firms in the wave of increasing oil price, but a lagged period of time oil-and gas-related firms could receive more stock returns. The results further demonstrate that world oil price fluctuations have significantly impacted on the financial performance of some firms as PVS, PVG, and PET in the pre-depression period. In respect to the economic depression of 2011-2012, the study reveals no evidence in the relationship between world oil price fluctuations and stock returns of oil-and gas-related firms. In other words, results in the post-depression period suggest that world oil price shocks can affect stock returns of selected giant oil-and gas-related firms.

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Tight oil, real WTI prices and U.S. stock returns

Cited by 19 publications

References 39 publications

Oil Price and Stock Return: Evidence of Mining Companies in Indonesia

Oil Price and Stock Return: Evidence of Mining Companies in Indonesia

The US shale oil production, market forces and the US export ban

Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach

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