Returns and Volatility of Eurozone Energy Stocks

27 Pages Posted: 28 Mar 2008 Last revised: 14 Aug 2008

See all articles by Ulrich Oberndorfer

Ulrich Oberndorfer

ZEW – Leibniz Centre for European Economic Research

Date Written: 2008

Abstract

This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the Eurozone. According to our results, the gas market does not play a role for the pricing of Eurozone energy stocks. However, changes in the Euro to U.S. Dollar exchange rate as well as developments at the money and especially at the oil market strongly affect returns of the energy stock portfolios analyzed. While oil price hikes negatively impact on stock returns of European utilities, they lead to an appreciation of oil and gas stocks. Most importantly, we show that oil market volatility negatively affects European oil and gas stocks. In contrast, energy stock volatility is not driven by volatility of the resource market, but only by its own dynamics.

Keywords: Energy stocks, resource prices, volatility, asset pricing

JEL Classification: Q40, Q43, C13, G12

Suggested Citation

Oberndorfer, Ulrich, Returns and Volatility of Eurozone Energy Stocks (2008). ZEW - Centre for European Economic Research Discussion Paper No. 08-017, Available at SSRN: https://ssrn.com/abstract=1113707 or http://dx.doi.org/10.2139/ssrn.1113707

Ulrich Oberndorfer (Contact Author)

ZEW – Leibniz Centre for European Economic Research ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
151
Abstract Views
980
rank
250,407
PlumX Metrics