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Empirical Economics

Erschienen in:

20.07.2017

Impact of oil prices on firm stock return: industry-wise analysis

verfasst von: Rida Waheed, Chen Wei, Suleman Sarwar, Yulan Lv

Erschienen in: Empirical Economics | Ausgabe 2/2018

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Abstract

The study investigates the impact of oil prices on firm-level stock returns in case of Pakistan over the period 1998–2014, as this relationship is neglected by the previous literature. By using the panel data estimation, the results of full sample indicate significant positive effect of oil price changes on firm stock returns in the same period, whereas the lagged oil price changes have significant negative effect on firms’ stock return. Moreover, the industry-level analysis also confirms the similar findings; results indicate significant positive impact of oil price on firms’ stock return in full sample, textile, chemical and miscellaneous industry, while the lagged oil price changes negatively affect the stock returns of full sample and all the industries except tobacco, jute and vanaspati industries. The study confirms that rise in oil price transfers a positive signal in the stock market that boosts the firm-level stock returns in Pakistan. In contrast to the negative shocks, the stock returns are significantly affected by the positive oil price shocks.

Vorheriger Artikel Global idiosyncratic risk moments

Nächster Artikel Political openness and the growth of small and medium enterprises: empirical evidence from transition economies

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Arouri et al. (2011) method is used to calculate the oil return

Oil price volatility is used by GARCH method.

These industries are classified using the Industry Classification Benchmark (ICB) that was developed by Dow Jones Indexes and FTSE.

Pesaran’s test of cross-sectional independence \(=\) 97.282, \(Pr = 0.0000\).

Wooldridge test for autocorrelation in panel data (Prob \({>} F \)=0.0000).

Due to the less number of firms, we combine them in one head for better statistical analysis.

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Titel: Impact of oil prices on firm stock return: industry-wise analysis
verfasst von: Rida Waheed
Chen Wei
Suleman Sarwar
Yulan Lv
Publikationsdatum: 20.07.2017
Verlag: Springer Berlin Heidelberg
Erschienen in: Empirical Economics / Ausgabe 2/2018
Print ISSN: 0377-7332
Elektronische ISSN: 1435-8921
DOI: https://doi.org/10.1007/s00181-017-1296-4

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