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Impact of geo-political risk on stocks, oil, and gold returns during GFC, COVID-19, and Russian-Ukraine War
Shaik, Muneer; Jamil, Syed Ahsan; Hawaldar, Iqbal Thonse; … - In: Cogent economics & finance 11 (2023) 1, pp. 1-14
-Ukraine war period compared to COVID-19 period and is shown to have least variation during the GFC period. WTI crude oil and DJGI … observe that GOLD offers better diversification opportunity as well as leading movement against WTI and DJGI during disruptive …
Persistent link: https://www.econbiz.de/10014500724
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Leverage effect in energy futures
Kristoufek, Ladislav - 2014
specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After …
Persistent link: https://www.econbiz.de/10010407507
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Crude Oil Prices, Risk Preferences, and Intertemporal Variation in Market Expected Returns : Empirical Evidence from the Nigerian Stock Exchange (NSE)
Obrimah, Oghenovo A. - 2019
This study finds crude oil prices (`oil prices') affect market or portfolio expected returns on the NSE only via inducement of changes to risk aversion parameters of the `representative agent' who has exposure to both stock market return volatility risk and oil price risk. I refer to this effect...
Persistent link: https://www.econbiz.de/10012903916
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The Effects of Investor Emotions Sentiments on Crude Oil Returns : A Time and Frequency Dynamics Analysis
Maghyereh, Aktham Issa - 2019
We investigate the co-movement between oil-specific emotions sentiments and the crude oil returns over time-scales and frequencies. Using wavelet coherence analysis, we find that sentiment is statistically significant coherence with oil returns both over time and frequencies. The pleasant...
Persistent link: https://www.econbiz.de/10012894517
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Volatility Spillover from World Oil Spot Markets to Aggregate and Electricity Stock Index Returns in Turkey
Soytas, Ugur - 2020
This study examines the inter-temporal links between world oil prices, ISE 100 and ISE electricity index returns unadjusted and adjusted for market effects. The traditional approaches could not detect a causal relationship running from oil returns to any of the stock returns. However, when we...
Persistent link: https://www.econbiz.de/10012857517
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The influence of oil prices on equity returns of Canadian energy firms
Batabyal, Sourav; Killins, Robert - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-16
(WTI) benchmark and the Canada-specific Western Canadian Select (WCS) benchmark. The findings provide support for the view … individual oil and gas firms in Canada. Both WTI and WCS measures provide statistically significant evidence, but the results … support that WTI may still be the more relevant measure for Canadian-based firms. We also find that the spread between WTI and …
Persistent link: https://www.econbiz.de/10012587455
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Are energy returns skewed?
Carnero, M. Angeles; Leon, Angel; Ñíguez, Trino Manuel - 2021
the innovations. Our results show that crude oil (Brent and WTI) and Gasoline returns are negatively skewed while other …
Persistent link: https://www.econbiz.de/10013312454
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Stock Returns, Oil Prices, and Leverage : Evidence from U.S. Firms
Amin, Md Ruhul; Mollick, André Varella - 2021
This paper examines how the relationship between stock returns of U.S. firms and WTI oil prices is affected by leverage …
Persistent link: https://www.econbiz.de/10013321857
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Conditional correlations in the returns on oil companies stock prices and their determinants
Giovannini, Massimo; Grasso, Margherita; Lanza, Alessandro - 2004
The identification of the forces that drive stock returns and the dynamics of their associated volatilities is a major concern in empirical economics and finance. This analysis is particularly relevant for determining optimal hedging strategies based on whether shocks to the volatilities of...
Persistent link: https://www.econbiz.de/10011603089
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The nexus between stock returns of oil companies and oil price fluctuations after heavy oil upgrading : toward theoretical progress
Sedigh, Mojtaba; Mohammadi, Majid; Farahani Fard, Saeed; … - In: Economies : open access journal 7 (2019) 3/71, pp. 1-17
This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil....
Persistent link: https://www.econbiz.de/10012029331