The Impact of Crude Oil Prices on Industry Returns: Evidence from Emerging Economies

The Impact of Crude Oil Prices on Industry Returns: Evidence from Emerging Economies

Bu bildiri, Çağlar Ozan GÖNÜLLÜ ve Mehmet Hakan ŞENGÖZ ile yapılmış olup, 1 – 4 Mayıs 2013 tarihleri arasında ABD’nin Chicago kentinde düzenlenen “4th Multinational Energy and Value Conference” kapsamında sunulmuştur.

Abstract:

The aim of this study is to assess the impact of crude oil price changes on stock prices in terms of emerging economies. We, therefore, focus on BRIC and MIST countries in order to analyze the impact of the change in crude oil prices and stock market returns on petrochemical industry using a two-factor model. The study covers data on industry risk premium, crude oil price changes and stock indices for respective countries spanning from 2003 to 2012. The study attempts to explain the effects of oil price changes on industry returns both in a daily setting with six-month sub-periods and in a monthly setting. We principally argue that the relationship between returns of oil and energy industry would be beneficial in terms of valuing capital market instruments.

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