Mohanty, Sunil; Akhigbe, Aigbe; Al-Khyal, Tawfeek; … - In: Review of Quantitative Finance and Accounting 41 (2013) 2, pp. 253-272
We examine the asymmetric effects of daily oil price changes on equity returns, market betas, oil betas, return variances, and trading volumes for the US oil and gas industry. The responses of stock returns associated with negative changes in oil prices are higher than that associated with...