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Oil price shocks, competition, and oil & gas stock returns — Global evidence

Kartick Gupta ()

Energy Economics, 2016, vol. 57, issue C, 140-153

Abstract: Extant literature suggests that oil price shocks have a strong impact on the macroeconomy and the stock market. However, relatively less is known about the effect of country-level determinants, competition, and asymmetrical relationship in affecting the oil & gas stock return at the firm-level. Using a comprehensive firm-level monthly data from 70 countries spanning 1983 to 2014, we find: (i) macroeconomic stress negatively impact firm-level returns; (ii) oil price shocks positively impact firm-level returns; (iii) firms located in high oil producing countries are more sensitive to global uncertainty and oil price shocks; (iv) firms located in non-competitive industries are less sensitive to oil price shocks; and (v) firms located in non-competitive industries are less affected by the drop in oil price, as compared to firms that are located in highly competitive industries. Our results remain qualitatively similar using a battery of robustness checks.

Keywords: Equity returns; Oil prices; Market dislocation; Production and consumption; Competition (search for similar items in EconPapers)
JEL-codes: C23 G12 Q43 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.eneco.2016.04.019

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Energy Economics is currently edited by R. S. J. Tol, Beng Ang, Lance Bachmeier, Perry Sadorsky, Ugur Soytas and J. P. Weyant

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