The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?

Mohammad Enamul Hoque, Soo-Wah Low and Mohd Azlan Shah Zaidi
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Mohammad Enamul Hoque: Graduate School of Business, Universiti Kebangsaan Malaysia, Bangi 43600, Malaysia
Soo-Wah Low: Graduate School of Business, Universiti Kebangsaan Malaysia, Bangi 43600, Malaysia
Mohd Azlan Shah Zaidi: Faculty of Economics and Management, Universiti Kebangsaan Malaysia, Bangi 43600, Malaysia

Energies, 2020, vol. 13, issue 15, 1-22

Abstract: This study explores Malaysian oil and gas stocks’ exposure to oil and gas risk factors, paying special attention to subindustry classification, stock size, book-to-market value, and volatility state. The study employs firm-level weekly frequency data of oil and gas firms and several multi-asset pricing models within a GARCH (1,1)-X and Markov-switching framework. The empirical findings reveal that oil price, gas price, and exchange rate exhibit positive effects on the stock returns of all oil and gas sub-industries, but they exhibit negative effects on gas utilities sub-industry stock returns. The empirical findings also reveal that the extent of this effect varies across sub-industry, stock size, book-to-market value, and volatility states. Thus, the findings suggest the existence of asymmetric, heterogeneous, and non-linear exposures.

Keywords: oil and gas risk factor; oil and gas industry; asset pricing; Malaysian stock market (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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