Energy Prices and the Stock Market:Evidence from the oil and gas industry in Europe

• Main Authors: Yong-Zai Chen, 陳勇在
• Other Authors: Eliza Wang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/27318170872488214036

碩士 === 國立臺北商業技術學院 === 財務金融研究所 === 98 === The main prupose of this article is to examine the empirical relationship between energy prices and the stock returns. The data used in this study includes the component stocks from Dow Jones EURO STOXX Oil ＆ Gas index, the carbon rights from EU Emission Allowance(EUA), as well as the energy prices, such as oil, matural gas, coal and electricity prices. The sample period covers the period from April 22, 2005 to December 14, 2009. To further explore the impact of Kyoto Protocol on the relationship between energy prices and stock market, this study decomposed the data into two sub-period samples. The first sub-sample is the EU ETS Phase I from April,22,2005 to December,31,2007, while the second one is the Kyoto period from January 1,2008 to December 14,2009. Using the Panel Data approach, we discover that the pooled OLS model is more suitable in the analysis than the fixed-effects or random-effects model. Our results suggest that oil price changes have positive impacts on the stock returns of oil and gas companies. In addition, during pre-Kyoto period we find no evidence for the relationship between the EUA, gas and coal price changes and the stock returns. During Kyoto period, however, we find that there are positive impacts of the EUA and coal price changes on the stock returns, wheares there are negative impacts of natural gas price changes on the stock returns. Finally, no evidence is found for the impact of electricity price changes on the stock returns of oil and gas corporations. The result suggests that the Kyoto Protocol have impacts on the Oil and Gas stock returns. Besides, we provide some possible explanations for such a relationship. This study gives further insights into the academic and empirical studies on the topic of CO2 emissions.