Effects of Oil Price Changes on European Stock Returns

被引：0

作者：

Bota, Gabor ^{[1
]}

Ormos, Mihaly ^{[1
]}

机构：

[1] Budapest Univ Technol & Econ, Dept Finance, Magyar Tudosok Krt 2, H-1117 Budapest, Hungary

来源：

PROCEEDINGS OF THE 9TH INTERNATIONAL CONFERENCE ON CURRENCY, BANKING AND INTERNATIONAL FINANCE | 2017年

关键词：

asset pricing; oil price; RISK; MARKETS; MACROECONOMY; EQUILIBRIUM; COUNTRIES; SHOCKS; COMMON; IMPACT;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We investigate the effects of oil price changes on returns of European sectoral stock indexes. We run regressions for extended versions of different market equilibrium models incorporating oil price changes. We also separate different market situations based on the oil price. Our results suggest that from among the investigated European industries oil and gas companies have higher exposure to oil price changes than companies from other industries. When examining the broad oil and gas industry on a sub-sector level we can also detect some significant differences.

引用

页码：31 / 39

页数：9

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