Risk factors in the Oil industry: An upstream and downstream analysis

Sofia B. Ramos, Helena Veiga, Chih Wei Wang

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


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.

Original languageEnglish
Pages (from-to)3-32
Number of pages30
JournalLecture Notes in Energy
StatePublished - 2014


  • Asymmetric effects
  • Oil and natural gas companies
  • Oil prices
  • Oil volatility


Dive into the research topics of 'Risk factors in the Oil industry: An upstream and downstream analysis'. Together they form a unique fingerprint.

Cite this