Economics, Finance & Accounting Faculty Publications
 

Abstract

This study aims to identify firm characteristics that affect the cross-firm variation in oil–stock interactions. A panel data analysis with a sample of U.S. and Canadian firms reveals that the stock price sensitivity to crude oil price returns is negatively and significantly associated with firm age. Contrary to a common belief, firm size or stock liquidity does not seem to influence heterogeneity in oil–stock relationships. My finding is consistent across oil-producing and consuming companies while the effect of firm age is not observed among financial institutions engaged in commodity trading. An additional test using the panel Granger causality approach shows no lagged effect of oil market movement on the oil and gas extraction firms, suggesting their prompt response to market information.

Document Type

Article

Source Publication

Cogent Economics and Finance

Version

Published Version

Publication Date

1-1-2020

Volume

8

Issue

1

Creative Commons License

Creative Commons Attribution 4.0 International License
This work is licensed under a Creative Commons Attribution 4.0 International License.

Rights

© 2020 The Author(s)

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