Oil price explosivity and stock return: Do sector and firm size matter?

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dc.authoridHAYKIR, OZKAN/0000-0003-2800-8699
dc.authoridYAGLI, IBRAHIM/0000-0001-8985-0172
dc.contributor.authorHaykir, Ozkan
dc.contributor.authorYagli, Ibrahim
dc.contributor.authorGok, Emine Dilara Aktekin
dc.contributor.authorBudak, Hilal
dc.date.accessioned2024-11-07T13:31:55Z
dc.date.available2024-11-07T13:31:55Z
dc.date.issued2022
dc.departmentNiğde Ömer Halisdemir Üniversitesi
dc.description.abstractThe paper examines whether the oil price series contains price explosivity and if price explosivity exists whether it offers excess return for oil-related, oil-substitute, and oil-user companies in US stock markets. Moreover, we investigate whether the size effect moderates the relationship between oil price explosivity and stock returns. We use monthly West Texas Intermediate crude oil prices between January 1986 and December 2019 and employ the Generalized Supremum Augmented Dickey-Fuller test to detect the price explosivity. Feasible Generalized Least Squares estimator is also implemented to capture the impact of oil price bubble on stock returns of US companies. The results indicate multiple episodes of price explosivity which mostly coincides with the 2008 financial crisis. The price explosivity leads to an excess return for oil-related companies; whereas, it negatively impacts oil-substitute and oil-user firms. However, the effect of oil price explosivity on stock returns is heterogeneous across size groups. The results provide key insightful information to policymakers and investors. Policymakers should prevent the occurrence of price explosivity to increase the efficiency of an oil futures market. Given the diverse impact of oil price explosivity on the stock return across sectors and sub-size groups, investors can maximize their profits by rebalancing their portfolio based on oil dependency and the firm's size.
dc.identifier.doi10.1016/j.resourpol.2022.102892
dc.identifier.issn0301-4207
dc.identifier.issn1873-7641
dc.identifier.scopus2-s2.0-85134431831
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.resourpol.2022.102892
dc.identifier.urihttps://hdl.handle.net/11480/15128
dc.identifier.volume78
dc.identifier.wosWOS:000853384700004
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherElsevier Sci Ltd
dc.relation.ispartofResources Policy
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.snmzKA_20241106
dc.subjectPrice explosivity
dc.subjectOil price
dc.subjectExcess return
dc.subjectUS stock Markets
dc.titleOil price explosivity and stock return: Do sector and firm size matter?
dc.typeArticle

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