Oil prices and transport sector returns: an international analysis

Oil prices and transport sector returns: an international analysis This study examines the role of oil prices in explaining ‘transport sector’ equity returns in 38 countries across the world. The findings of the study are strongly supportive of some role for oil prices in determining the transport sector returns for the countries falling within the ‘Developed’, ‘Europe’ and ‘G7’ groupings. In particular, by allowing for an asymmetry in our model, we find the oil factor to be jointly significant along with the presence of negative oil risk premium in these groupings. It is worth noting that these groups represent mature economies and stock markets. However, there appears to be no such evidence of a significant role for oil for other country groupings (named, Asia Pacific, Emerging and Latin America). Collectively these countries have a relatively short market history and/or are developing economies. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Quantitative Finance and Accounting Springer Journals

Oil prices and transport sector returns: an international analysis

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Publisher
Springer Journals
Copyright
Copyright © 2009 by Springer Science+Business Media, LLC
Subject
Finance; Corporate Finance; Accounting/Auditing; Econometrics; Operation Research/Decision Theory
ISSN
0924-865X
eISSN
1573-7179
D.O.I.
10.1007/s11156-009-0120-4
Publisher site
See Article on Publisher Site

Abstract

This study examines the role of oil prices in explaining ‘transport sector’ equity returns in 38 countries across the world. The findings of the study are strongly supportive of some role for oil prices in determining the transport sector returns for the countries falling within the ‘Developed’, ‘Europe’ and ‘G7’ groupings. In particular, by allowing for an asymmetry in our model, we find the oil factor to be jointly significant along with the presence of negative oil risk premium in these groupings. It is worth noting that these groups represent mature economies and stock markets. However, there appears to be no such evidence of a significant role for oil for other country groupings (named, Asia Pacific, Emerging and Latin America). Collectively these countries have a relatively short market history and/or are developing economies.

Journal

Review of Quantitative Finance and AccountingSpringer Journals

Published: Apr 21, 2009

References

  • The cross-section of expected stock returns
    Fama, E; French, K
  • Energy shocks and financial markets
    Huang, RD; Masulis, RW; Stoll, HR
  • Integration vs. segmentation in the Canadian stock market
    Jorion, P; Schwartz, E
  • Additional evidence on integration in the Canadian stock market
    Mittoo, U

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