How Do Oil Price Changes Affect German Stock Returns?

Authors

  • Laura Cüppers Heinrich Heine University Düsseldorf
  • Dieter Smeets Heinrich Heine University Düsseldorf

Abstract

In this article, the effects of oil price changes on the stock return of 17 German DAX companies are studied from February 1982 to July 2007. By applying panel estimations, we initially identify a nonlinear and asymmetric relationship between oil prices (quoted in US dollar) and the German stock market,which is consistent with a signalling (transmission) channel. Additionally, further evidence is provided for the signalling channel on a disaggregated and daily data base. The results reveal, however, that only certain specific industries are affected by oil price shocks, whereas others remain unaffected. These varying effects of oil price shocks mainly result from the cost- and demand-side dependence on oil that different companies are exposed to. Keywords: Oil prices; German stock returns; firm level analysis JEL Classifications: G12; Q43

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Author Biographies

Laura Cüppers, Heinrich Heine University Düsseldorf

Department of International Economics

Dieter Smeets, Heinrich Heine University Düsseldorf

Department of International Economics

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Published

2014-12-30

How to Cite

Cüppers, L., & Smeets, D. (2014). How Do Oil Price Changes Affect German Stock Returns?. International Journal of Energy Economics and Policy, 5(1), 321–334. Retrieved from https://econjournals.com./index.php/ijeep/article/view/1007

Issue

Vol. 5 No. 1 (2015)

Section

Articles

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