Does oil move equity prices? A global viewMohan Nandha and Robert William Faff Energy Economics, 2008, vol. 30, issue 3, pages 986-997 Abstract: Many studies indicate that oil price shocks have an adverse effect on real output and, hence, an adverse effect on corporate profits where oil is used as a key input. The present study examines whether and to what extent the adverse effect of oil price shocks impacts stock market returns. To this end we, analyse 35 DataStream global industry indices for the period from April 1983 to September 2005. Our findings indicate that oil price rises have a negative impact on equity returns for all sectors except mining, and oil and gas industries. Generally, these results are consistent with economic theory and evidence provided by previous empirical studies. Little evidence of any asymmetry is detected in the oil price sensitivities. In light of our findings, we recommend that international portfolio investors consider hedging oil price risk. Downloads: (external link) Related works: Access Statistics for this article Energy Economics is edited by R. S. J. Tol and J. P. Weyant More articles in Energy Economics from Elsevier |
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