Oil price shocks, competition, and oil & gas stock returns — Global evidence
Kartick Gupta ()
Energy Economics, 2016, vol. 57, issue C, 140-153
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:57:y:2016:i:c:p:140-153
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