Risk factors in oil and gas industry returns: International evidence

By Sofia Ramos, Helena Veiga. 2011

164 citations recorded by the source corpus.

The recent boom in oil prices has attracted many investors to oil companies in search of both returns and diversification benefits. This analysis of the risk factors of investing in the oil and gas industry in 34 countries finds evidence that oil price is a globally priced factor for the oil industry. The oil and gas sector in developed countries responds more strongly to oil price changes than in emerging markets. Oil and gas industry returns also respond asymmetrically to changes in oil prices; oil price rises have a greater impact than oil price drops. There is no parallel to the asymmetry of oil price changes in other industries related to commodities. If there is any asymmetry, it is in the opposite direction from oil. Negative commodity price changes have a greater impact than positive ones. The results seem to indicate that the oil and gas industry is distinguished by a pass-through effect.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/c4289afa5ed60f4f7c6f7ca404f23d3672e03633

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Citations in the corpus

Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018, background): “…by different industrial sectors (see, among others, Broadstock et al., 2014; Scholtens and Yurtsever, 2012; Arouri, 2012; Broadstock et al., 2012; Ramos and Veiga, 2011; Arouri, 2011; Elyasiani et al., 2011; Mohanty et al., 2011; Narayan and Sharma, 2011; Arouri et al., 2011a; Arouri and Nguyen,…”
Herding behaviour in energy stock markets during the Global Financial Crisis, SARS, and ongoing COVID-19* (2020, unknown): “Much of the empirical analysis has concentrated on market fluctuations in crude oil prices and associated financial markets ([35] Oberndorfer, 2009 [36]; Ramos and Veiga, 2011 [37]; Zamani, 2016 [38]; Chang et al.”
Assessing the impacts of oil price fluctuations on stock returns in emerging markets (2012, background): “The interested readers can, however, refer to, among others, Henriques and Sadorsky (2008), Nandha and Faff (2008), Arouri and Nguyen (2010), Ramos and Veiga (2011), and Lee et al. (2012) for a detailed discussion of these topics.”
Oil price risk in the Spanish stock market: An industry perspective (2014, background): “Conversely, industries that generate a large share of their revenue from oil and oil-related products such as Oil and Gas usually exhibit a positive oil price exposure (Boyer and Filion, 2007; El-Sharif et al., 2005; Ramos and Veiga, 2011).”