Oil Price and Stock Prices of EU Financial Companies: Evidence from Panel Data Modeling

Horobeț, Alexandra; Vrinceanu, Georgiana; Popescu, Consuela; Belaşcu, Lucian

doi:10.3390/en12214072

Cited by 10 publications

(4 citation statements)

References 38 publications

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“…Previous research has used this methodology to investigate the relationship between share prices of financial companies and oil price (Horobet et al, 2019), to analyse the effects of sectoral shifts and capital inflows in Latin American countries (Kumar, 2013), or to study the uncovered interest parity (Afat & Frömmel, 2021).…”

Section: Maturity Risk Premium On Treasury Bonds (Ytm)mentioning

confidence: 99%

Oil Price Volatility and Airlines’ Stock Returns: Evidence From the Global Aviation Industry

Horobeț

Zlatea

Belaşcu

et al. 2022

Journal of Business Economics and Management

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The paper explores the long versus short-term attributes of the airline industry exposure to oil price risk in a macroeconomic framework that emphasizes the interconnections between various risk factors, which is the main contribution to the research in the field. A panel ARDL model and PMG estimator have been applied on monthly data between 2007 and 2020 to investigate the long-term equilibrium relationship between airline companies’ stock prices, oil price risk, financial market volatility, currency risk, inflation, and maturity risk. The negative impact of oil price risk on airlines’ stock prices is significant, robust, and pervasive, and is coupled with a concerning exposure to the US dollar currency risk. As another contribution, the paper analyses the prospects and challenges of the airline industry in dealing with oil price risk in the post-pandemic world. The results point towards the need of the airline industry to rethink its strategic decisions in the more uncertain and unpredictable post-pandemic world, requiring a more comprehensive approach of the complex and dynamic network of risk exposures and a reconsideration of hedging policies.

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Section: Maturity Risk Premium On Treasury Bonds (Ytm)mentioning

confidence: 99%

Oil Price Volatility and Airlines’ Stock Returns: Evidence From the Global Aviation Industry

Horobeț

Zlatea

Belaşcu

et al. 2022

Journal of Business Economics and Management

Self Cite

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“…Indeed, as it is affected by market sentiment, the US dollar index may fluctuate sharply. Since the US dollar index strongly correlates with oil prices, the fluctuation will further impact oil prices [ 40 , 41 , 42 , 43 , 44 , 45 , 46 ]. On the one hand, if the PHEIC is only of limited influence and short duration, and if there are effective measures to prevent and control it, its influence on oil price trends will gradually wane and disappear.…”

Section: Deducing the Logical Relationshipmentioning

confidence: 99%

Can Major Public Health Emergencies Affect Changes in International Oil Prices?

Cheng

Chen

Guo-gang

et al. 2021

IJERPH

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In order to deepen the understanding of the impact of major public health emergencies on the oil market and to enhance the risk response capability, this study analyzed the logical relationship between major public health emergencies and international oil price changes, identified the change points, and calculated the probability of abrupt changes to international oil prices. Based on monthly data during six major public health emergencies from 2009 to 2020, this study built a product partition model. The results show that only the influenza A (H1N1) and COVID-19 pandemics were significant reasons for abrupt changes in international oil prices. Furthermore, the wild poliovirus epidemic, the Ebola epidemic, the Zika epidemic, and the Ebola epidemic in the Democratic Republic of the Congo had limited effects. Overall, the outbreak of a Public Health Emergency of International Concern (PHEIC) in major global economies has a more pronounced impact on international oil prices.

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“…Findings suggest that UK and USA financial markets have a negative association with oil in post-GFC (global financial crisis) period, while for china results are mixed. Horobet et al (2019) study transmission of volatility between European Union financial sector and oil market for a period 2010-2018, by Auto-regressive distributed lag (ARDL) specifications. Findings reveal that financial sector stocks are exposed to oil price risk in the long run.…”

Section: Literature Reviewmentioning

confidence: 99%

Relationship Between Oil and Stock Markets: Evidence From Pakistan Stock Exchange

Hanif¹

2020

IJEEP

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This study documents the impact of price variations in global markets, specifically oil, on stock returns at Pakistan stock exchange (PSX). We select three global markets (oil, gold and currency exchange) and two PSX indices (conventional and Islamic) for a period 2009-2020 to provide evidence. Monthly data for the selected time series is used for analysis. Analysis techniques include descriptive statistics, stationarity testing, Johansen cointegration, correlation and regression analysis. Findings suggest joint long-run co-movements of selected markets. Regression results indicate the significance of oil prices at 1% level, with positive signs, in the stock return generation process at PSX (for both indices conventional and Islamic). Other selected markets (gold and currency exchange) are although significant but at a higher degree, with negative signs. For the oil market, results confirm the demand-pull inflation hypothesis in Pakistani market. Results also confirm shifting to gold market by investors in the period of reductions in stock returns. Finally, depreciation of domestic currency discourages investors in buying stocks. We recommend investors to have an eye on oil, gold and currency markets while making investment decisions at PSX. We also recommend to policymakers to take timely actions for exchange rate stability, to avoid the outflow of capital. To the best of our knowledge, this is the only study documenting the influence of global markets on stock returns at PSX in recent years.

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Oil Price and Stock Prices of EU Financial Companies: Evidence from Panel Data Modeling

Cited by 10 publications

References 38 publications

Oil Price Volatility and Airlines’ Stock Returns: Evidence From the Global Aviation Industry

Oil Price Volatility and Airlines’ Stock Returns: Evidence From the Global Aviation Industry

Can Major Public Health Emergencies Affect Changes in International Oil Prices?

Relationship Between Oil and Stock Markets: Evidence From Pakistan Stock Exchange

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