EN
Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies
Abstract
In this paper we are testing whether the impact of oil prices is different on the overall market and automotive companies. In addition we investigate, if this relationship is nonlinear. For this we use stock return data of US, German and Japanese car companies, and returns of share indices from the same countries as control variables, and Brent crude oil price changes. We first estimate the impact of crude oil on the indices, then clean the indices from these influences, and afterwards estimate the impact on the stocks. For this we are using OLS and EGARCH (1,1). We conclude that in general the car companies‘ stocks do not react more adversely as the overall market to crude oil price increases, while Japanese companies do not show any excess sensitivity at all. German companies tend to be sensitive, and US and German companies are together more sensitive in the more recent time periods.
Keywords
Details
Primary Language
English
Subjects
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Journal Section
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Publication Date
June 1, 2012
Submission Date
June 1, 2012
Acceptance Date
-
Published in Issue
Year 2012 Volume: 2 Number: 2
APA
Lis, B., Nessler, C., & Retzmann, J. (2012). Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies. International Journal of Economics and Financial Issues, 2(2), 190-200. https://izlik.org/JA79AC27UM
AMA
1.Lis B, Nessler C, Retzmann J. Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies. IJEFI. 2012;2(2):190-200. https://izlik.org/JA79AC27UM
Chicago
Lis, Bettina, Christian Nessler, and Jan Retzmann. 2012. “Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies”. International Journal of Economics and Financial Issues 2 (2): 190-200. https://izlik.org/JA79AC27UM.
EndNote
Lis B, Nessler C, Retzmann J (June 1, 2012) Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies. International Journal of Economics and Financial Issues 2 2 190–200.
IEEE
[1]B. Lis, C. Nessler, and J. Retzmann, “Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies”, IJEFI, vol. 2, no. 2, pp. 190–200, June 2012, [Online]. Available: https://izlik.org/JA79AC27UM
ISNAD
Lis, Bettina - Nessler, Christian - Retzmann, Jan. “Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies”. International Journal of Economics and Financial Issues 2/2 (June 1, 2012): 190-200. https://izlik.org/JA79AC27UM.
JAMA
1.Lis B, Nessler C, Retzmann J. Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies. IJEFI. 2012;2:190–200.
MLA
Lis, Bettina, et al. “Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies”. International Journal of Economics and Financial Issues, vol. 2, no. 2, June 2012, pp. 190-0, https://izlik.org/JA79AC27UM.
Vancouver
1.Bettina Lis, Christian Nessler, Jan Retzmann. Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies. IJEFI [Internet]. 2012 Jun. 1;2(2):190-20. Available from: https://izlik.org/JA79AC27UM