Energy prices, sectoral indices and regulation

David Clive Broadstock, George Filis

Research output: Chapter in book / Conference proceedingChapter in an edited book (as author)Academic researchpeer-review

1 Citation (Scopus)

Abstract

The aim of this research is to examine the time-varying correlation between selected industrial sector indices (oil-intensive, oil-substitutes and non-oilrelated) and oil price shocks. We investigate this correlation for both oil-importing and oil-exporting economies. Using data from 1998 until 2013 and employing a Scalar-BEKK model, we report the following regularities: (1) the correlation between oil price shocks and index returns are showing some differences depending on whether a country is oil-importer or oil-exporter, (2) the correlations are industry-specific and shock-specific and (3) the demand-side shocks mainly generate moderate positive correlations, whereas index returns have low to zero correlation with the supply-side shocks. Prominent among our results is that oil-specific demand shocks have a moderate positive correlation with all indices. Our results have important implication for investors, as well as policy makers.
Original languageEnglish
Title of host publicationEnergy Technology and Valuation Issues
PublisherSpringer International Publishing
Pages25-55
Number of pages31
ISBN (Electronic)9783319137469
ISBN (Print)9783319137452
DOIs
Publication statusPublished - 1 Jan 2015
Externally publishedYes

Keywords

  • Industrial sectors
  • Oil price regulation
  • Oil price shocks
  • Stock market returns

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)
  • Business, Management and Accounting(all)
  • Social Sciences(all)

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