Oil Price Shocks and Industry Stock Returns

9 Pages Posted: 16 Jun 2014

See all articles by Elyas Elyasiani

Elyas Elyasiani

Temple University - Department of Finance

Iqbal Mansur

Widener University - School of Business Administration

Babatunde Olatunji Odusami

Widener University - School of Business Administration

Date Written: June 2, 2010

Abstract

We examine the impact of changes in the oil returns and oil return volatility on excess stock returns and return volatilities of thirteen U.S. industries using the GARCH (1,1) technique. We find strong evidence in support of the view that oil price fluctuations constitute a systematic asset price risk at the industry level as nine of the thirteen sectors analyzed show statistically significant relationships between oil-futures return distribution and industry excess return. These industries are affected either by oil futures returns, oil futures return volatility or both. In general, excess returns of the oil-user industries are more likely to be affected by changes in the volatility of oil returns, than those of oil return itself. Volatilities of industry excess returns are time-varying, and return volatility for a number of sectors, appears to have long memory. Fama-French factors show universal statistical and high economic significance as risk factors influencing industry excess returns.

Keywords: Oil price, Industry excess returns, Industry return volatility, GARCH

JEL Classification: G12, E44

Suggested Citation

Elyasiani, Elyas and Mansur, Iqbal and Odusami, Babatunde Olatunji, Oil Price Shocks and Industry Stock Returns (June 2, 2010). Energy Economics 33 (2011) 966–974; Fox School of Business Research Paper. Available at SSRN: https://ssrn.com/abstract=2451163

Elyas Elyasiani (Contact Author)

Temple University - Department of Finance ( email )

Fox School of Business and Management
Philadelphia, PA 19122
United States
215-204-5881 (Phone)
215-204-5698 (Fax)

Iqbal Mansur

Widener University - School of Business Administration ( email )

3800 Vartan Way
PO Box 69381
Harrisburg, PA 17106-9381
United States

Babatunde Olatunji Odusami

Widener University - School of Business Administration ( email )

Chester, PA 19013
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
163
Abstract Views
737
rank
179,903
PlumX Metrics