The Empirical Linkage between Oil Price and Stock Returns of Oil Companies

Josef Pavlata, Petr Strejček, Peter Albrecht, Martin Širůček

The Empirical Linkage between Oil Price and Stock Returns of Oil Companies

Číslo: 2/2021
Periodikum: European Journal of Business Science and Technology
DOI: 10.11118/ejobsat.2021.016

Klíčová slova: oil shock, stock markets, state-owned companies

Pro získání musíte mít účet v Citace PRO.

Přečíst po přihlášení

Anotace: This paper identifies the relationship between changes in oil prices and the returns of the world's highest-producing oil companies. Oil companies are divided into state-owned (national) and private companies. This paper focused on three different time periods to identify the relationship between changes in oil price and stock market returns by examining the specific backgrounds of each period. The results revealed that during oil's bearish market, it was more beneficial for investors to prefer state-owned companies to optimise their portfolios. The risk analysis focused on systematic risk, and the beta coefficients confirmed that state-owned companies are less sensitive to market shocks. State-owned companies are supported by governments during periods of downtrends in oil prices; therefore, they are less likely to go bankrupt. However, these companies do not have as much flexibility as private companies to cut their costs; therefore, they are more negatively affected by market movements not defined by shocks.