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Returns and Volatility of Eurozone Energy Stocks
Oberndorfer, Ulrich - 2008
This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the … European utilities, they lead to an appreciation of oil and gas stocks. Most importantly, we show that oil market volatility … negatively affects European oil and gas stocks. In contrast, energy stock volatility is not driven by volatility of the resource …
Persistent link: https://www.econbiz.de/10010298026
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The liquidity of energy stocks
Sklavos, Konstantinos; Dam, Lammertjan; Scholtens, Bert - In: Energy Economics 38 (2013) C, pp. 168-175
This study investigates the dynamics of stock market liquidity in the energy industry in the US for 130 firms for the period 2006–2011. We use a (structural) vector autoregression approach to model the simultaneous relationships between three liquidity measures, namely turnover, price impact...
Persistent link: https://www.econbiz.de/10010868704
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EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry
Oberndorfer, Ulrich - 2008
where the electricity corporations analysed are headquartered. Stock market reactions to EUA volatility could not be shown. …
Persistent link: https://www.econbiz.de/10010298070
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EU Emission Allowances and the Stock Market: Evidence from the Electricity Industry
Oberndorfer, Ulrich - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2008
where the electricity corporations analysed are headquartered. Stock market reactions to EUA volatility could not be shown. …
Persistent link: https://www.econbiz.de/10005097601
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Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries
Awartani, Basel; Maghyereh, Aktham Issa - In: Energy Economics 36 (2013) C, pp. 28-42
the dynamic spillover of return and volatility between oil and equities in the Gulf Cooperation Council Countries during … the period 2004 to 2012. Our results indicate that return and volatility transmissions are bi-directional, albeit …
Persistent link: https://www.econbiz.de/10010616851
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Returns and Volatility of Eurozone Energy Stocks
Oberndorfer, Ulrich - 2008
This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the … European utilities, they lead to an appreciation of oil and gas stocks. Most importantly, we show that oil market volatility … negatively affects European oil and gas stocks. In contrast, energy stock volatility is not driven by volatility of the resource …
Persistent link: https://www.econbiz.de/10012724782
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The contribution of frictions to expected returns
Hirakiy, Kazuhiro; Skiadopoulos, George - 2018
We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...
Persistent link: https://www.econbiz.de/10011932555
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Interpreting the oil risk premium : do oil price shocks matter?
Valenti, Daniele; Manera, Matteo; Sbuelz, Alessandro - 2018
This paper provides an analysis of the link between the global market for crude oil and oil futures risk premium at the aggregate level. It off ers empirical evidence on whether the compensation for risk required by the speculators depends on the type of the structural shock of interest....
Persistent link: https://www.econbiz.de/10011794500
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Modelling the global price of oil : is there any role for the oil futures-spot spread?
Valenti, Daniele - 2018
In this work, we propose an analysis of the global market for crude oil based on a revised version of the Structural Vector Autoregressive (SVAR) model introduced by Kilian and Murphy (2014). On this respect, we replace the global proxy for above-ground crude oil inventories with the oil...
Persistent link: https://www.econbiz.de/10011794647
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Co-Movements between Carbon, Energy and Financial Markets : A Multivariate GARCH Approach
Koch, Nicolas - 2014
triggered a need for understanding the volatility and correlation structure between carbon, energy and financial markets. This … change over time and the VSTOXX index, on the other hand, to account for uncertainty and volatility in markets. The effects … market volatility …
Persistent link: https://www.econbiz.de/10013066954