Long-run Models of Oil Stock Prices

Arbeitspapier

The identification of the forces that drive oil stock prices is extremely important given the size of the Oil&Gas industry and its links with the energy sector and the environment. In the next decade oil companies will have to deal with international policies to contrast climate change. This issue is likely to affect companies' shareholder values. In this paper we focus on the long-run financial determinants of the stock prices of six major oil companies (Bp, Chevron-Texaco, Eni, Exxon-Mobil, Royal Dutch Shell, Total-Fina-Elf) using multivariate cointegration techniques and vector error correction models. Weekly oil stock prices are analyzed together with the relevant stock market indexes, exchange rates, spot and future oil prices over the period January 1998- April 2003. The empirical results confirm the statistical significance of the major financial variables in explaining the long-run dynamics of oil companies' stock values.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Nota di Lavoro ; No. 96.2003

Classification and Topics

• Classification: Wirtschaft ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Mining, Extraction, and Refining: Hydrocarbon Fuels ; Nonrenewable Resources and Conservation: General ; Energy: General
• Subject: Cointegration ; Vector error correction models ; Oil companies ; Oil stock prices ; Hydrocarbon fuels ; Energy ; Non-renewable resources ; Environment ; Mineralölwirtschaft ; Börsenkurs ; Kointegration ; Industrieländer ; Kointegration

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Lanza, Alessandro ; Manera, Matteo ; Grasso, Margherita ; Giovannini, Massimo
• Event: Veröffentlichung
• (who): Fondazione Eni Enrico Mattei (FEEM)
• (where): Milano
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/118125
• Last update: 10.03.2025, 11:42 AM CET