U.S. oil company stock returns and currency fluctuations

Abstract

Purpose – The purpose of this is paper is to pay a closer look at the 2008-2009 financial crisis (and its aftermath) and analyzes stock returns of nine major US oil companies as well as the oil and gas sector under daily data from January 1992 to April 2012. Design/methodology/approach – The authors adopt the arbitrage pricing theory model to examine the relationship between stock returns and their influences including oil price return, yield spreads, and US dollar index return. The authors also provide a test for structural changes in each regression model of return series to capture for multiple breaks. To examine the asymmetric effect of oil price returns on stock returns, the authors separate oil price returns series into two series: positive changes in oil price and negative changes in oil price. Findings – The authors find stock returns of oil companies as well as the oil and gas sector are positively affected by oil prices and have stronger effects in the downward direction. Interestingly, The authors find the effects of oil price movements on stock returns increase over time. The authors examine the possibility that investors wishing to hedge against a weakening USD invest in US oil companies and find that more than half of these companies benefit from a weaker USD against the JPY, while all strongly benefit from a weaker USD against major currencies. Originality/value – The authors employ daily data for two-decade period including the last global financial crisis. Due to the long-term period covered in this study, sequential Bai-Perron tests are used to detect structural breaks of stock return series. In addition, the data-dependent procedures result in good specifications throughout with white-noise processes in almost all cases.

Pengaruh Return On Equity (ROE), Debt To Assets Ratio (DAR), Price To Book Value (PBV) Dan Net Profit Margin (NPM) Terhadap Return Saham Perusahaan Sektor Perkebunan Yang Terdaftar Di Bursa Efek Indonesia Periode 2011-2017

“…Artikel ini menjelaskan bahwa returns saham sangat mudah dipengaruhi ole h perubahan yang berdampak pada perusahaan seperti terorisme. Mollick & Nguyen (2015) menyatakan bahwa return saham perusahaan sektor minyak dan gas dipengaruhi secara positif oleh fluktuasi harga minyak. Perubahan faktor harga menyebabkan return saham perusahaan berubah dengan cepat.…”

Gold-oil-exchange rate volatility, Bombay stock exchange and global financial contagion 2008: Application of NARDL model with dynamic multipliers for evidences beyond symmetry

“…In the existing literature, some of the researchers have utilized the arbitrage pricing model (Christofi et al, 1993;Günsel et al, 2009;Mollick & Nguyen, 2015;Saumya, 2012;Yan & Yang, 2016), while other have utilized efficient market hypothesis as an underpinning theoretical model in order to explore symmetrical and asymmetrical linkages between Gold-Oil-Exchange rates and stock indexes (Floros & Vougas, 2008;Hatemi-J, 2012;Singhania & Prakash, 2014;Wickremasinghe, 2011). To the best of our knowledge, this is the first research article which is intended to answer the research question about the asymmetrical impact of international oil prices, gold prices, and exchange rate fluctuations on the Bombay stock exchange before and after the international economic recession of 2008 and over the entire duration from April 2003 to May 2020.…”

“…In the existing literature, some of the researchers have utilized only gold prices (Arfaoui & Ben Rejeb, 2017;Shakil et al, 2018;Tuna, 2018) and others have utilized only oil prices (Lardic & Mignon, 2008;Sahu et al, 2014;Mollick & Nguyen, 2015;Wen et al, 2017;Abdel-Latif et al, 2018;Areli Bermudez Delgado et al, 2018;Pandey & Vipul, 2018;Kumar, 2019;A. Mouna, 2019;Narayan, 2019;Charfeddine & Barkat, 2020) in order to examine their linkages with stock market indexes.…”

“…Such countries required sufficient resources to stabilize against the aftereffects of the 2008 financial crisis and to rebound economically with maximum momentum. The major work onto the consequences and solutions to the 2008 international financial downturn, which is highly divisive by policymakers and scholars, has been widely discussed by (Asad & Farooq, 2009;Athukorala & Chongvilaivan, 2010;Muthukumaran et al, 2011;Al-Rjoub & Azzam, 2012;Inoguchi, 2014;Mollick & Nguyen, 2015;MengYun et al, 2018;Anisak & Mohamad, 2019;Husain, Tiwari, Sohag, & Shahbaz, 2019;Makin, 2019. Furthermore, the literature remains deficient regarding the asymmetrical impact of Gold-Oil-Exchange rate volatility on Indian stock indexes during three regimes such as the pre-2008 crisis regime, post-economic recession, and over the entire sample period.…”

“…Furthermore, the literature remains deficient regarding the asymmetrical impact of Gold-Oil-Exchange rate volatility on Indian stock indexes during three regimes such as the pre-2008 crisis regime, post-economic recession, and over the entire sample period. Mollick and Nguyen (2015) utilized the arbitrage pricing model to observe the relationship between stock price variations of the US energy sector and its determinants such as oil price volatility, currency value fluctuations, and yield spread. Results have revealed an asymmetrical association between variations in stock prices and their fundamental determinants during the global financial crisis of 2008.…”