Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach
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...
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2020-01-01
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Online Access: | http://dx.doi.org/10.1080/23322039.2020.1799908 |
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doaj-1d16be59b9294b0b8a7c4fadc5c022162021-06-02T10:12:13ZengTaylor & Francis GroupCogent Economics & Finance2332-20392020-01-018110.1080/23322039.2020.17999081799908Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approachThu Thuy Nguyen0Van Chien Nguyen1Trong Nguyen Tran2Thuongmai UniversityThu Dau Mot UniversityAcademy of Policy and DevelopmentThis 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.http://dx.doi.org/10.1080/23322039.2020.1799908copuladependence structurestock marketcrude oil |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Thu Thuy Nguyen Van Chien Nguyen Trong Nguyen Tran |
spellingShingle |
Thu Thuy Nguyen Van Chien Nguyen Trong Nguyen Tran Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach Cogent Economics & Finance copula dependence structure stock market crude oil |
author_facet |
Thu Thuy Nguyen Van Chien Nguyen Trong Nguyen Tran |
author_sort |
Thu Thuy Nguyen |
title |
Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach |
title_short |
Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach |
title_full |
Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach |
title_fullStr |
Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach |
title_full_unstemmed |
Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach |
title_sort |
oil price shocks against stock return of oil- and gas-related firms in the economic depression: a new evidence from a copula approach |
publisher |
Taylor & Francis Group |
series |
Cogent Economics & Finance |
issn |
2332-2039 |
publishDate |
2020-01-01 |
description |
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. |
topic |
copula dependence structure stock market crude oil |
url |
http://dx.doi.org/10.1080/23322039.2020.1799908 |
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