• Login
    View Item 
    •   Home
    • Theses and Dissertations
    • Theses and Dissertations
    • View Item
    •   Home
    • Theses and Dissertations
    • Theses and Dissertations
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Browse

    All of TUScholarShareCommunitiesDateAuthorsTitlesSubjectsGenresThis CollectionDateAuthorsTitlesSubjectsGenres

    My Account

    LoginRegister

    Help

    AboutPeoplePoliciesHelp for DepositorsData DepositFAQs

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular Authors

    The relationship between oil prices and stock/bond market: a sectoral analysis

    • CSV
    • RefMan
    • EndNote
    • BibTex
    • RefWorks
    Thumbnail
    Name:
    Huang_temple_0225E_12627.pdf
    Size:
    2.442Mb
    Format:
    PDF
    Download
    Genre
    Thesis/Dissertation
    Date
    2016
    Author
    Huang, Juan
    Advisor
    Elyasiani, Elyas
    Committee member
    Kushnirsky, Fyodor I.
    Blackstone, Erwin A., 1942-
    Mansur, Iqbal
    Department
    Economics
    Subject
    Economics
    Finance
    Asymmetric Effects
    Corporate Bond Yield
    Egarch
    Merger
    Oil Discovery
    Oil Price Volatility
    Permanent link to this record
    http://hdl.handle.net/20.500.12613/1473
    
    Metadata
    Show full item record
    DOI
    http://dx.doi.org/10.34944/dspace/1455
    Abstract
    While numerous studies have investigated the impact of oil prices on the stock market, Chapter 2 is the first to examine the association between corporate bond yields and oil returns. We examine the association between oil-returns and corporate bond yields of four major U.S. industrial and financial sectors (including thirteen sub-sectors). Chapter 3 examines the reaction of stock markets in the U.K. and the Netherlands to a major composite event in the oil industry – the merger of the Royal Dutch Shell (RDSA) and the BG Group (BRGYY) on April 8, 2015, and the subsequent discovery of oil in southern England on April 9. We employ an exponential autoregressive conditionally heteroskedastic (EGARCH (1, 1)) framework in both Chapters, which allows for asymmetry of the effects between positive and negative external shocks including oil return shocks, shows the effects on both the yields/stock returns and their volatilities, and permits the persistence of the shocks to be measured. Three main results are obtained in Chapter 2. First, oil returns are significantly associated with the yield levels of corporate bonds issued in ten out of the thirteen sub-sectors considered within the oil-substitute, oil-related, oil-user, and financial services sectors. The three exceptions are the Petroleum Refinery, Building, and Chemical sub-sectors. Second, the return volatilities of corporate bonds issued in the Plastic & Rubber sub-sector demonstrate asymmetric responses to positive and negative shocks. To elaborate, negative shocks lead to lower volatility in the Plastic & Rubber sub-sector than positive shocks of the same magnitude. Third, the half-life, or the time it takes for the volatility of the portfolio of bonds in the Industrial Machinery sub-sector to move halfway back to its conditional mean after a shock is introduced, is 8.6 months. For bonds in all other sub-sectors, the half-life is less than 2.5 months. We obtain several results in Chapter 3. First, the composite event of merger and oil discovery generated significant abnormal returns in six out of the thirteen sub-sectors considered in the U.K. and three out of ten sub-sectors in the Netherlands. The remaining seven sub-sectors in the U.K. and the other seven sub-sectors in the Netherlands show no sensitivity in returns to the shock. Second, there is evidence of some information leakage about the composite event as demonstrated in the significant abnormal returns for Coal, Oil & Gas Extraction, Depository Institute, Chemical and Plastic & Rubber sub-sectors in U.K. and Coal, Depository Institute and Air Transportation sub-sectors in the Netherlands up to three days before the announcement of the composite event. Third, the behavioral patterns of four of the thirteen sub-sectors considered in the U.K. and four of the ten sub-sectors considered in the Netherlands demonstrate asymmetry in response to external shocks to their respective returns. These results have three main implications. First, investors holding bonds issued by the two sub-sectors with asymmetric oil shock effects need to add bonds from oil-related and oil-substitute sectors to lower the volatility of their bond portfolio because the latter do not exhibit asymmetry. Second, considering the overall finding of sensitivity to oil price changes, institutional investors need to examine the sensitivity of their bond portfolios to oil return changes and to guard against excessive risk. Similarly, corporations should monitor oil price variations and hedge the volatility risk accordingly. Finally, stock investors in the U.K. and the Netherlands might benefit from monitoring the key events that may affect the oil supply and oil prices, and acting accordingly.
    ADA compliance
    For Americans with Disabilities Act (ADA) accommodation, including help with reading this content, please contact scholarshare@temple.edu
    Collections
    Theses and Dissertations

    entitlement

     
    DSpace software (copyright © 2002 - 2023)  DuraSpace
    Temple University Libraries | 1900 N. 13th Street | Philadelphia, PA 19122
    (215) 204-8212 | scholarshare@temple.edu
    Open Repository is a service operated by 
    Atmire NV
     

    Export search results

    The export option will allow you to export the current search results of the entered query to a file. Different formats are available for download. To export the items, click on the button corresponding with the preferred download format.

    By default, clicking on the export buttons will result in a download of the allowed maximum amount of items.

    To select a subset of the search results, click "Selective Export" button and make a selection of the items you want to export. The amount of items that can be exported at once is similarly restricted as the full export.

    After making a selection, click one of the export format buttons. The amount of items that will be exported is indicated in the bubble next to export format.