A number of recent studies have found a link between oil price changes and stock prices. However, these studies mostly concentrate on developed economies and analyze the impact of oil price shocks on stock returns at the aggregate stock market level. We assess the relation between changes in...

The main purpose of this paper is to investigate the relation between oil price movements and stock returns in US transportation companies. We estimate oil price risk exposures of the US oil transport sector at the firm level as well as at the industry level over November 1999 to February 2008...

We investigate the oil price risk exposure of the U.S. Travel and Leisure industry. In this paper, we utilize the Fama–French–Carhart's (1997) four-factor asset pricing model augmented with oil price risk factor. The results of our study suggest that oil price sensitivities vary...

We analyze the relation between oil prices and the stock returns of oil and gas firms in Central and Eastern European (CEE) countries. The overall results indicate no significant association between oil prices and the stock returns over 1998-2010 period. In contrast, the sub-period analysis...

This paper examines the short-run and the long-run oil price sensitivity of Indian, Pakistani and Sri Lankan equity returns using industry share price indices that are common between at least two countries. A generalised method of moments based approach is applied to a market model augmented by...

Consequent to alarming household debt levels and depressed capital market conditions, policy-makers in many countries are facing a dilemma either to raise interest rates to curtail household debt or to do the opposite for boosting their economies and capital markets. The traditional policy...

An important question in asset markets is whether oil prices are a global factor in asset returns. In this paper, we propose a hierarchical model of stock returns which assumes that markets are integrated conditional on a set of factors, including oil. The hierarchical model is a variant of the...