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The effect of oil price changes on the price of Russian and Chinese oil shares

Stephen Hall and Amangeldi Kenjegaliev (a.kenjegaliev@hull.ac.uk)

Empirical Economics, 2017, vol. 53, issue 4, No 12, 1639-1656

Abstract: Abstract Do changes in oil prices have an effect on stocks of oil companies in emerging markets? Do the shares of oil companies in emerging markets react to the price news in a similar way as those of the Western companies? This paper aims to answer these questions utilizing event study techniques. As expected, the results of both parametric and nonparametric tests suggest that the fluctuations in oil prices have an effect on the stock prices. However, an interesting result is that the responses of stocks of Chinese and Russian oil companies are considerably different from the shares of their Western counterparts.

Keywords: Event studies; Abnormal return; Parametric t test; Nonparametric rank test; Oil companies (search for similar items in EconPapers)
Date: 2017
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Working Paper: Effect of oil price changes on the price of Russian and Chinese oil shares (2009) Downloads
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DOI: 10.1007/s00181-016-1176-3

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