Oil price shocks and stock returns of oil and gas corporations

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• 作者：Elena Maria Diaz ; Fernando Perez de Gracia ; ^{fgracia@unav.es}
• 关键词：C32 ; G10 ; Q43
• 刊名：Finance Research Letters
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：20
• 期：Complete
• 页码：75-80
• 全文大小：1572 K
• 卷排序：20

文摘

We analyze the impact of oil prices on stock returns of oil and gas corporations (i) covering four decades of oil price fluctuations. Using both RAC and WTI, we consider four alternative linear and nonlinear oil price specifications. We find that the linear specification oil price changes have a positive significant impact on real stock returns of oil and gas corporations in the short-run. We also provided evidence that a nonlinear specification such as oil price increases has a positive impact on stock returns in the short-run.