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Oil Price Shocks And Volatility In Australian Stock Returns, Mohammad Zahidul Hasan, Ronald A. Ratti
Oil Price Shocks And Volatility In Australian Stock Returns, Mohammad Zahidul Hasan, Ronald A. Ratti
Business Conference Papers
This paper examines the effect of oil shocks on return and volatility in the sectors of Australian stock market and finds significant effects for most sectors. For the overall market index, an increase in oil price return significantly reduces return, and an increase in oil price return volatility significantly reduces volatility. An advantage of looking at sector returns rather than a general index of stock returns is that sectors may well differ markedly in how they respond to oil price shocks. The energy and material sectors (as expected) and the financial sector (surprisingly) are out of step (in different ways) …
Oil And Coal Price Shocks And Coal Industry Returns: International Evidence, Ronald A. Ratti, Mohammad Zahidul Hasan
Oil And Coal Price Shocks And Coal Industry Returns: International Evidence, Ronald A. Ratti, Mohammad Zahidul Hasan
Business Conference Papers
This paper examines the effect of energy price shocks on coal sector stock returns and supplements studies evaluating the effect of oil prices on the stock price of oil and gas companies. A 1% increase in coal price return raises coal sector returns by between 0.22% and 0.30%. This result is robust across developed, emerging and differing groups of Asia-Pacific and Pacific countries, and is analogous with findings that a 1% increase in oil price raises the return of oil and gas companies by between 0.14% and 0.38% depending on country and time period studied. Oil price return also significantly …