| Summary: | 碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 98 === High oil price and its volatility have a great effect on the economy in recent years. The fluctuation of crude oil price even influences the profitability, operation cost and the stock price of industries. Therefore, we investigate the relationship between oil price change and stock returns by analyzing different industries.
This paper tried to indentify the true effect of crude oil price and other relevant variables, such as interest rate spread, market excess return, market value and B/M ratio on the economy by cross-industrial comparison research. The monthly data begin from January, 1995 and end in February, 2010. Samples are selected from companies listed in New York Stock Exchange. This paper also adopts the Capital Asset Pricing Model from Sharpe and panel data methods to implement our empirical analysis.
Our findings indicate that oil price changes have a positive impact on the stock excess returns for the oil and gas and mining industries. In addition to this, oil price changes have significant negative impacts on transportation, alternative energy and banks industries. But the computer equipment industry doesn''t associate with oil price changes. Market excess return, change of the market value, and B/M ratio also have significantly positive impacts on the industries stock excess returns, while the interest rate spread factor has significantly negative impact on oil and gas and mining industries'' stock excess returns. Furthermore, we divide firms into small and large-sized groups. The empirical results show that relative to large firms, oil price changes have larger impacts on the stock excess returns of small firms.
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