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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 7 (2019) 3, pp. 1-17

crude oil is to extract asphaltene from crude oil. Considering the Asphaltene Removal (AR) as a factor in the nexus between …. The AR is certainly one of the significant matters of the oil industry and can affect the price of oil. Therefore, changes … policies in the petroleum industry including investing in new procedures to manage and decrease the costs and time of the AR …

Persistent link: https://www.econbiz.de/10013199583

The forecasting power of EPU for crude oil return volatility

Ma, Rufei; Zhou, Changfeng; Cai, Huan; Deng, Chengtao - In: Energy reports 5 (2019), pp. 866-873

paper investigates the impact of EPU on the crude oil return volatility and which EPU index has the most forecasting power … in crude oil market. To this end, we employ the GARCH-MIDAS model which can incorporate lower frequency EPU index … the crude oil return volatility, but the effect is short-lived and the decay period is about one year. Particularly, our …

Persistent link: https://www.econbiz.de/10012040309

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

Using monthly data from January 2000 to August 2018, this paper examines how the Canadian oil and gas industry and individual firms’ equity prices react to oil price fluctuations, which are measured by the traditional West Texas Intermediate (WTI) benchmark and the Canada-specific Western...

Persistent link: https://www.econbiz.de/10012587455

Impact of Oil Price Changes on Stock Returns of UK Oil and Gas Companies : A Wavelet-Based Analysis

Liu, Jingzhen - 2017

The relationship between oil and stock is important because oil is the key production input for most industries and stock market performance, to some extent, reflects the economic conditions. However, the relationship between oil price and stock prices of oil and gas industry companies is more...

Persistent link: https://www.econbiz.de/10012952899

Oil and Equity Return Predictability : The Importance of Dissecting Oil Price Changes

Jiang, Haibo - 2018

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a negative predictive slope. Extending the sample to 2015, we document that this relationship has been reversed over the last ten years and therefore has not been stable over time....

Persistent link: https://www.econbiz.de/10012935742

Price Dynamic, Volatility and Information Flows in the Oil Industry : A Multivariate Analysis

Mauro, Alessandro - 2014

The relationships between crude and product prices are crucial throughout oil markets and especially so within the refining industry, where they define the refinery margin between cost of inputs (crudes) and value of outputs (products). The oil market is global but regional factors are also...

Persistent link: https://www.econbiz.de/10013067163

National Oil Sentiment Index : Predictive Strength on Returns of Oil Futures

Kordi, Kamiar - 2017

This paper aims to create a composite national oil sentiment index and examine the sentiment effects on oil futures. The intent is to extrapolate this index for the US market and assess its viability and applicability to other countries in future research. Oil sentiment is measured through...

Persistent link: https://www.econbiz.de/10012949027

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...

Persistent link: https://www.econbiz.de/10010407524

Time-Varying Correlation Between Oil and Stock Market Volatilities : Evidence From Oil-Importing and Oil-Exporting Countries

Boldanov, Rustam - 2018

This paper investigates the time-varying conditional correlation between oil price and stock market volatility for six …

Persistent link: https://www.econbiz.de/10012910118

Oil price forecasting using crack spread futures and oil exchange traded funds

Choi, Hankyeung; Leatham, David J.; Sukcharoen, Kunlapath - In: Contemporary economics 9 (2015) 1, pp. 29-44

Given the emerging consensus from previous studies that crude oil and refined product (as well as crack spread) prices are cointegrated, this study examines the link between the crude oil spot and crack spread derivatives markets. Specifically, the usefulness of the two crack spread derivatives...

Persistent link: https://www.econbiz.de/10010520870