Oil and the Stock Market: An Industry Level Analysis
The Financial Review, Forthcoming
23 Pages Posted: 30 Nov 2006 Last revised: 30 Apr 2010
Date Written: February 19, 2010
Abstract
I investigate the impact of daily oil price changes on the stock returns of a wide array of industries. I find that in addition to the stock returns of industries that depend heavily on oil, stock returns of some industries that use little oil also are sensitive to oil prices perhaps because their main customers are impacted by oil price changes. In addition, I present robust estimates of industries’ cost-side and demand-side dependence on oil. These measures can serve as reliable benchmarks when classifying industries into oil-intensive and non-oil intensive groups, a distinction widely used in studies and media without any quantitative justification so far. Further, I find that the sensitivity of industries’ returns to oil price changes depends on both the cost-side and demand-side dependence on oil and that the relative effects of these factors vary across industries.
Keywords: Oil Prices, Stock Price Reaction, Commodities, Clientele
JEL Classification: G10, G14
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Imperfect Competition and the Effects of Energy Price Increases on Economic Activity
-
Not All Oil Price Shocks are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market
By Lutz Kilian
-
Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative
By Robert Barsky and Lutz Kilian
-
Oil and the Macroeconomy Since the 1970s
By Robert Barsky and Lutz Kilian
-
Oil and the Macroeconomy Since the 1970s
By Robert Barsky and Lutz Kilian
-
The Macroeconomic Effects of Oil Price Shocks: Why are the 2000s so Different from the 1970s?
By Olivier J. Blanchard and Jordi Galí
-
The Macroeconomic Effects of Oil Shocks: Why are the 2000s so Different from the 1970s?
By Olivier J. Blanchard and Jordi Galí
-
The Macroeconomic Effects of Oil Shocks: Why are the 2000s so Different from the 1970s?
By Olivier J. Blanchard and Jordi Galí
-
Exogenous Oil Supply Shocks: How Big are They and How Much Do They Matter for the Us Economy?
By Lutz Kilian