The effect of oil price changes on the price of Russian and Chinese oil shares

Kenjegaliev, Amangeldi; Hall, Stephen G.

Abstract

© 2016, The Author(s). Do changes in oil prices have an effect on stocks of oil companies in emerging markets? Do the shares of oil companies in emerging markets react to the price news in a similar way as those of the Western companies? This paper aims to answer these questions utilizing event study techniques. As expected, the results of both parametric and nonparametric tests suggest that the fluctuations in oil prices have an effect on the stock prices. However, an interesting result is that the responses of stocks of Chinese and Russian oil companies are considerably different from the shares of their Western counterparts.

Citation

Kenjegaliev, A., & Hall, S. G. (2017). The effect of oil price changes on the price of Russian and Chinese oil shares. Empirical economics, 53(4), 1639-1656. https://doi.org/10.1007/s00181-016-1176-3

• Journal Article Type: Article
• Acceptance Date: Aug 13, 2016
• Online Publication Date: Oct 4, 2016
• Publication Date: Dec 1, 2017
• Deposit Date: Feb 24, 2017
• Publicly Available Date: Feb 24, 2017
• Journal: Empirical economics
• Print ISSN: 0377-7332
• Electronic ISSN: 1435-8921
• Publisher: Springer Verlag
• Peer Reviewed: Peer Reviewed
• Volume: 53
• Issue: 4
• Pages: 1639-1656
• DOI: https://doi.org/10.1007/s00181-016-1176-3
• Keywords: Event studies, Abnormal return, Parametric t test, Nonparametric rank test, Oil companies
• Public URL: https://hull-repository.worktribe.com/output/448788
• Publisher URL: https://link.springer.com/article/10.1007/s00181-016-1176-3#aboutarticle
• Additional Information: Copy of article first published in: Empirical economics, 2016