Energy prices, sectoral indices and regulation

David Clive Broadstock; George Filis

doi:10.1007/978-3-319-13746-9_3

Energy prices, sectoral indices and regulation

David Clive Broadstock
, George Filis

Research output: Chapter in book / Conference proceeding › Chapter in an edited book (as author) › Academic research › peer-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 language	English
Title of host publication	Energy Technology and Valuation Issues
Publisher	Springer International Publishing
Pages	25-55
Number of pages	31
ISBN (Electronic)	9783319137469
ISBN (Print)	9783319137452
DOIs	https://doi.org/10.1007/978-3-319-13746-9_3
Publication status	Published - 1 Jan 2015
Externally published	Yes

Keywords

Industrial sectors
Oil price regulation
Oil price shocks
Stock market returns

ASJC Scopus subject areas

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

More information

10.1007/978-3-319-13746-9_3

Cite this

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AU - Filis, George

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KW - Stock market returns

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Energy prices, sectoral indices and regulation

Abstract

Keywords

ASJC Scopus subject areas

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