Global Energy Prices and the Behavior of Energy Stock Price Fluctuations

Ugur Ergun and Azizah Ibrahim

Asian Economic and Financial Review, 2013, vol. 3, issue 11, 1460-1465

Abstract: This study investigates the impact of global crude oil and global natural gas prices on the stocks price movements of the energy companies using multivariate regression and impulse response function analysis. Our data sets consist of global crude oil prices, global natural gas prices, stock market index and the stock prices of selected energy companies operating in Turkey. Our findings imply that, (a) market index is the most important factor in energy stock price movements, (b) a shock in the market index gives permanent positive impact on the energy stock price while, global crude oil and global natural gas prices give positive impact for one year and negative impact after one year.

Keywords: Energy stock prices; Market model; Impulse response function. (search for similar items in EconPapers)
Date: 2013
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