TY - JOUR
T1 - Risk factors in the Oil industry
T2 - An upstream and downstream analysis
AU - Ramos, Sofia B.
AU - Veiga, Helena
AU - Wang, Chih Wei
N1 - Publisher Copyright:
© Springer-Verlag Berlin Heidelberg 2014.
PY - 2014
Y1 - 2014
N2 - In this paper we examine the drivers of stock market value in the upstream (producers) and downstream segments (petroleum refiners) of the oil industry. Using a sample of U.S. firms we find that stock returns of upstream and downstream firms follow stock market and oil price returns. Moreover, the upstream firm stock returns are sensitive to changes in the Canadian dollar, an important oil trade partner of the U.S., to natural gas returns and its volatility, but not to oil return volatility. Both the upstream and downstream segments present asymmetric changes regarding oil return changes. Stock returns of the oil industry respond asymmetrically to oil returns, i.e., positive oil returns had a greater impact than oil price drops in the period 1998-2004. Before 1997 we do not find any asymmetric effects, and after 2004, they are only statistically significant in the upstream segment. Overall, the evidence for asymmetric effects is more consistent across measures and time in the upstream than in the downstream segment.
AB - In this paper we examine the drivers of stock market value in the upstream (producers) and downstream segments (petroleum refiners) of the oil industry. Using a sample of U.S. firms we find that stock returns of upstream and downstream firms follow stock market and oil price returns. Moreover, the upstream firm stock returns are sensitive to changes in the Canadian dollar, an important oil trade partner of the U.S., to natural gas returns and its volatility, but not to oil return volatility. Both the upstream and downstream segments present asymmetric changes regarding oil return changes. Stock returns of the oil industry respond asymmetrically to oil returns, i.e., positive oil returns had a greater impact than oil price drops in the period 1998-2004. Before 1997 we do not find any asymmetric effects, and after 2004, they are only statistically significant in the upstream segment. Overall, the evidence for asymmetric effects is more consistent across measures and time in the upstream than in the downstream segment.
KW - Asymmetric effects
KW - Oil and natural gas companies
KW - Oil prices
KW - Oil volatility
UR - http://www.scopus.com/inward/record.url?scp=84927605508&partnerID=8YFLogxK
U2 - 10.1007/978-3-642-55382-0_1
DO - 10.1007/978-3-642-55382-0_1
M3 - 期刊論文
AN - SCOPUS:84927605508
SN - 2195-1284
VL - 54
SP - 3
EP - 32
JO - Lecture Notes in Energy
JF - Lecture Notes in Energy
ER -