Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach

• Main Authors: Thu Thuy Nguyen, Van Chien Nguyen, Trong Nguyen Tran
• Format: Article
• Language: English
• Published: Taylor & Francis Group 2020-01-01
• Series: Cogent Economics & Finance
• Subjects: copula; dependence structure; stock market; crude oil
• Online Access: http://dx.doi.org/10.1080/23322039.2020.1799908

This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil- and gas-related firms. Based on copula approach and the sample data of domestic giant oil- and gas firms from 2009 to 2019, in particular in the situation of oil price steadily going up and economic depression of 2011–2012; approximately nine copulas including Gauss, Clayton, Rotated-Clayton, Plackett, Frank, Gumbel, Rotated-Gumbel, Student, Symmetrized-Joe-Clayton have been focused. A new evidence could be found that the oil price shocks have not impacted on the stock return of oil- and gas-related firms in the wave of increasing oil price, but a lagged period of time oil- and gas-related firms could receive more stock returns. The results further demonstrate that world oil price fluctuations have significantly impacted on the financial performance of some firms as PVS, PVG, and PET in the pre-depression period. In respect to the economic depression of 2011–2012, the study reveals no evidence in the relationship between world oil price fluctuations and stock returns of oil- and gas-related firms. In other words, results in the post-depression period suggest that world oil price shocks can affect stock returns of selected giant oil- and gas-related firms.