Investment and oil price volatility

In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm returns for the majority of the firms in our sample.

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Year of publication:	2012
Authors:	Sharma, Susan Sunila ; Narayan, Paresh Kumar
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 32.2012, 2, p. 1428-1433
Publisher:	AccessEcon
Subject:	Oil Price \| Volatility \| Time Series \| Firms \| Returns

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Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General ; D4 - Market Structure and Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011278529