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How Do Oil Price Changes Affect German Stock Returns?

Year 2015, Volume: 5 Issue: 1, 321 - 334, 01.03.2015

Laura Cüppers Dieter Smeets

Abstract

In this article, the effects of oil price changes on the stock return of 17 German DAX companies are studied from February 1982 to July 2007. By applying panel estimations, we initially identify a nonlinear and asymmetric relationship between oil prices (quoted in US dollar) and the German stock market,which is consistent with a signalling (transmission) channel. Additionally, further evidence is provided for the signalling channel on a disaggregated and daily data base. The results reveal, however, that only certain specific industries are affected by oil price shocks, whereas others remain unaffected. These varying effects of oil price shocks mainly result from the cost- and demand-side dependence on oil that different companies are exposed to

Keywords

Oil prices German stock returns firm level analysis

Year 2015, Volume: 5 Issue: 1, 321 - 334, 01.03.2015

Laura Cüppers Dieter Smeets

Abstract

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Details

Other ID JA96CF93HJ
Journal Section Research Article
Authors

Laura Cüppers This is me

Dieter Smeets This is me

Publication Date March 1, 2015
Published in Issue Year 2015 Volume: 5 Issue: 1

Cite

APA Cüppers, L., & Smeets, D. (2015). How Do Oil Price Changes Affect German Stock Returns?. International Journal of Energy Economics and Policy, 5(1), 321-334.
AMA Cüppers L, Smeets D. How Do Oil Price Changes Affect German Stock Returns?. IJEEP. March 2015;5(1):321-334.
Chicago Cüppers, Laura, and Dieter Smeets. “How Do Oil Price Changes Affect German Stock Returns?”. International Journal of Energy Economics and Policy 5, no. 1 (March 2015): 321-34.
EndNote Cüppers L, Smeets D (March 1, 2015) How Do Oil Price Changes Affect German Stock Returns?. International Journal of Energy Economics and Policy 5 1 321–334.
IEEE L. Cüppers and D. Smeets, “How Do Oil Price Changes Affect German Stock Returns?”, IJEEP, vol. 5, no. 1, pp. 321–334, 2015.
ISNAD Cüppers, Laura - Smeets, Dieter. “How Do Oil Price Changes Affect German Stock Returns?”. International Journal of Energy Economics and Policy 5/1 (March 2015), 321-334.
JAMA Cüppers L, Smeets D. How Do Oil Price Changes Affect German Stock Returns?. IJEEP. 2015;5:321–334.
MLA Cüppers, Laura and Dieter Smeets. “How Do Oil Price Changes Affect German Stock Returns?”. International Journal of Energy Economics and Policy, vol. 5, no. 1, 2015, pp. 321-34.
Vancouver Cüppers L, Smeets D. How Do Oil Price Changes Affect German Stock Returns?. IJEEP. 2015;5(1):321-34.