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Source: Journal Citation ReportsTM from ClarivateTM 2022

Entrepreneurship and Sustainability Issues Open access
Journal Impact FactorTM (2022) 1.7
Journal Citation IndicatorTM (2022) 0.42
Received: 2022-12-11  |  Accepted: 2023-03-16  |  Published: 2023-03-30

Title

Oil price and stock returns in Europe


Abstract

In this paper we examine the relationship between oil price changes and of European oil and gas companies. We use all the widely known equilibrium models and extend them with the oil price factor as well. We classify the companies according to their location into Western European (WE), Central and Eastern European (CEE) and South Eastern European region (SE). Our results show that oil is a significant factor for most of the Western European, but less than the half of the CEE and SE companies. These results suggest that Western European oil and gas companies have high exposure to oil price changes, while the returns of their CEE and SE counterparts are less influenced by the oil price. When we incorporate oil price changes the explaining power of the models increases substantially for Western European companies but we can detect only a slight change for CEE and South Eastern European oil and gas companies. We also detect regional differences in the sign of the HML factor, which is usually negative for Western European and positive for CEE and South Eastern European companies.


Keywords

asset pricing, oil price, regional differences


JEL classifications

G12 , G15


URI

http://jssidoi.org/jesi/article/1070


DOI


Pages

329-339


Funding

This research was supported by the project VEGA 1/0568/20 called “Equilibrium modelling of V4 capital markets”, which has received funding from Ministry of Education, Science, Research and Sport of the Slovak Republic.

This is an open access issue and all published articles are licensed under a
Creative Commons Attribution 4.0 International License

Authors

Bóta, Gábor
Eötvös Loránd University, Budapest, Hungary https://www.elte.hu
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Ormos, Mihály
J. Selye University, Komárno, Slovakia https://www.ujs.sk
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Antalík, Imrich
J. Selye University, Komárno, Slovakia https://www.ujs.sk
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Journal title

Entrepreneurship and Sustainability Issues

Volume

10


Number

3


Issue date

March 2023


Issue DOI


ISSN

ISSN 2345-0282 (online)


Publisher

VšĮ Entrepreneurship and Sustainability Center, Vilnius, Lithuania

Cited

Google Scholar

Article views & downloads

HTML views: 731  |  PDF downloads: 353

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