Lost in Transmission? Stock Market Impacts of the 2006 European Gas Crisis

Ulrich Oberndorfer and Dirk Ulbricht

No 07-030, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

Abstract: Around the turn of the year 2005/2006, the Russian freezing of natural gas exports to the Ukraine led to a European gas crisis. Using event study technique, we first investigate whether the Russian announcement of suspension of gas deliveries, this suspension itself as well as its withdrawal, had an effect on unsystematic volatility of European energy stocks. Secondly, we measure event effects on stock returns, taking volatility into account. Our results suggest that the announcement of the crisis and therefore a rise of Western Europe?s energy cost and risk tended to increase market expectations with respect to energy-related firms. In contrast, market uncertainty increased when Russia reopened its valves. One reason for these findings could be windfall profits of energy-related companies due to increasing resource and electricity prices. The existence of event-induced volatility confirms our methodological approach in order to test for abnormal returns.

Keywords: energy security; event study; gas crisis (search for similar items in EconPapers)
JEL-codes: G14 Q41 Q43 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-cfn, nep-eec, nep-ene and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/24593/1/dp07030.pdf (application/pdf)

Related works:
Working Paper: Lost in Transmission? Stock Market Impacts of the 2006 European Gas Crisis (2007)
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:zbw:zewdip:5689

Access Statistics for this paper

More papers in ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().