Coal Sector Returns and Oil Prices: Developed and Emerging Countries

Mohammad Z. Hasan and Ronald Ratti
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Mohammad Z. Hasan: University of Notre Dame Australia, School of Business, Australia.

International Journal of Energy Economics and Policy, 2015, vol. 5, issue 2, 515-524

Abstract: This paper examines the effect of oil price on coal sector stock returns. A multifactor market model is used to estimate the expected excess returns to the coal sector. A 1% increase in oil price return has a statistically significant positive impact on coal sector returns of between 0.06% and 0.20%. A 1% increase in coal price raises the return of coal sector returns by between 0.22% and 0.30%. Increased volatility in oil price return significantly reduces coal sector return. Participants in energy markets may perceive oil price as being determined globally and as providing information on demand for energy overall. Understanding the variables that affect the behaviour of the stock prices in the coal is of importance to market participants and policy makers, and is helpful in developing efficient hedging policies to deal with changes in energy prices.

Keywords: Coal Sector Return; Oil Price; Coal Price (search for similar items in EconPapers)
JEL-codes: G15 O13 Q4 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2015-02-16

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