Long-Run Models of Oil Stock Prices

32 Pages Posted: 6 Dec 2003

See all articles by Matteo Manera

Matteo Manera

University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS); Fondazione Eni Enrico Mattei (FEEM), Milan, Italy

Alessandro Lanza

Fondazione Eni Enrico Mattei (FEEM), Milan; CMCC - Centro Euro-Mediterraneo sui Cambiamenti Climatici; Bocconi University - IEFE Centre for Research on Energy and Environmental Economics and Policy

Margherita Grasso

University College London - Department of Economics

Massimo Giovannini

Boston College - Department of Economics

Date Written: October 2003

Abstract

The identification of the forces that drive oil stock prices is extremely important given the size of the Oil&Gas industry and its links with the energy sector and the environment. In the next decade oil companies will have to deal with international policies to contrast climate change. This issue is likely to affect companies' shareholder values. In this paper we focus on the long-run financial determinants of the stock prices of six major oil companies (Bp, Chevron-Texaco, Eni, Exxon-Mobil, Royal Dutch Shell, Total-Fina-Elf) using multivariate cointegration techniques and vector error correction models. Weekly oil stock prices are analyzed together with the relevant stock market indexes, exchange rates, spot and future oil prices over the period January 1998 - April 2003. The empirical results confirm the statistical significance of the major financial variables in explaining the long-run dynamics of oil companies' stock values.

Keywords: Cointegration, Vector error correction models, Oil companies, Oil stock prices, Hydrocarbon fuels, Energy, Non-renewable resources, Environment

JEL Classification: C32, L71, Q30, Q40

Suggested Citation

Manera, Matteo and Lanza, Alessandro and Grasso, Margherita and Giovannini, Massimo, Long-Run Models of Oil Stock Prices (October 2003). FEEM Working Paper No. 96.2003. Available at SSRN: https://ssrn.com/abstract=467283 or http://dx.doi.org/10.2139/ssrn.467283

Matteo Manera (Contact Author)

University of Milan-Bicocca, Italy - Department of Economics, Management and Statistics (DEMS) ( email )

Via Bicocca degli Arcimboldi, 8
Milan, 20126
Italy
+39 02 6448 5819 (Phone)
+39 02 6448 5878 (Fax)

HOME PAGE: http://www.matteomanera.it

Fondazione Eni Enrico Mattei (FEEM), Milan, Italy ( email )

Corso Magenta, 63
Milan, 20123
Italy
+39 02 520 36944 (Phone)

HOME PAGE: http://www.feem.it

Alessandro Lanza

Fondazione Eni Enrico Mattei (FEEM), Milan

Corso Magenta 63
20123 Milan
Italy

CMCC - Centro Euro-Mediterraneo sui Cambiamenti Climatici ( email )

via Augusto Imperatore, 16
Bologna, I-73100
Italy

Bocconi University - IEFE Centre for Research on Energy and Environmental Economics and Policy ( email )

viale Filippetti, 9
Milan, 20122
Italy

Margherita Grasso

University College London - Department of Economics ( email )

Gower Street
London
United Kingdom

Massimo Giovannini

Boston College - Department of Economics ( email )

140 Commonwealth Avenue
Chestnut Hill, MA 02467
United States

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