Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms

Fatema Alaali
Additional contact information
Fatema Alaali: Business and Finance College, Ahlia University, Manama, Kingdom of Bahrain

International Journal of Economics and Financial Issues, 2017, vol. 7, issue 4, 418-432

Abstract: This study examines the responses of some of the UK transportation, travel and leisure, and oil and gas firms to oil price changes. Fama-French and Carhart's (1997) four-factor asset pricing model is augmented with the oil price risk factor to study the association of oil and stock prices of 25 firms over the period from January 1998 to December 2012. The extent of the exposure of UK firms to oil price changes is heterogeneous, asymmetric and differs according to the economic situation. These results should be of interest to financial analysts, corporate executives, regulators and policy makers.

Keywords: Oil Price; Stock Returns; Asset Pricing (search for similar items in EconPapers)
JEL-codes: G12 Q31 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econjournals.com/index.php/ijefi/article/download/4821/pdf (application/pdf)
https://www.econjournals.com/index.php/ijefi/article/view/4821/pdf (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2017-04-51

Access Statistics for this article

International Journal of Economics and Financial Issues is currently edited by Ilhan Ozturk

More articles in International Journal of Economics and Financial Issues from Econjournals
Bibliographic data for series maintained by Ilhan Ozturk ().