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Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms

Year 2017, Volume: 7 Issue: 4, 418 - 432, 01.12.2017

Fatema Alaali

Abstract

This study examines the responses of some of the UK transportation, travel and leisure, and oil and gas firms to oil price changes. Fama-French-Carhart's (1997) four-factor asset pricing model is augmented with the oil price risk factor to study the association of oil and stock prices of 25 firms over the period from January 1998 to December 2012. The extent of the exposure of UK firms to oil price changes is heterogeneous, asymmetric and differs according to the economic situation. These results should be of interest to financial analysts, corporate executives, regulators and policy makers.

Keywords

Oil Price Stock returns Asset pricing

Year 2017, Volume: 7 Issue: 4, 418 - 432, 01.12.2017

Fatema Alaali

Abstract

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Details

Other ID JA48ME39PT
Journal Section Research Article
Authors

Fatema Alaali This is me

Publication Date December 1, 2017
Published in Issue Year 2017 Volume: 7 Issue: 4

Cite

APA Alaali, F. (2017). Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms. International Journal of Economics and Financial Issues, 7(4), 418-432.
AMA Alaali F. Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms. IJEFI. December 2017;7(4):418-432.
Chicago Alaali, Fatema. “Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms”. International Journal of Economics and Financial Issues 7, no. 4 (December 2017): 418-32.
EndNote Alaali F (December 1, 2017) Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms. International Journal of Economics and Financial Issues 7 4 418–432.
IEEE F. Alaali, “Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms”, IJEFI, vol. 7, no. 4, pp. 418–432, 2017.
ISNAD Alaali, Fatema. “Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms”. International Journal of Economics and Financial Issues 7/4 (December 2017), 418-432.
JAMA Alaali F. Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms. IJEFI. 2017;7:418–432.
MLA Alaali, Fatema. “Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms”. International Journal of Economics and Financial Issues, vol. 7, no. 4, 2017, pp. 418-32.
Vancouver Alaali F. Analysing the Effect of Oil Price Shocks on Asset Prices: Evidence from UK Firms. IJEFI. 2017;7(4):418-32.