The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?

Energies

MohdAzlan Shah Zaidi¹  Soo-Wah Low²  MohammadEnamul Hoque² 

[1] Faculty of Economics and Management, Universiti Kebangsaan Malaysia, Bangi 43600, Malaysia;Graduate School of Business, Universiti Kebangsaan Malaysia, Bangi 43600, Malaysia;

关键词: oil and gas risk factor;    oil and gas industry;    asset pricing;    Malaysian stock market;   

DOI  :  10.3390/en13153901

来源: DOAJ

【 摘 要 】

This study explores Malaysian oil and gas stocks’ exposure to oil and gas risk factors, paying special attention to subindustry classification, stock size, book-to-market value, and volatility state. The study employs firm-level weekly frequency data of oil and gas firms and several multi-asset pricing models within a GARCH (1,1)-X and Markov-switching framework. The empirical findings reveal that oil price, gas price, and exchange rate exhibit positive effects on the stock returns of all oil and gas sub-industries, but they exhibit negative effects on gas utilities sub-industry stock returns. The empirical findings also reveal that the extent of this effect varies across sub-industry, stock size, book-to-market value, and volatility states. Thus, the findings suggest the existence of asymmetric, heterogeneous, and non-linear exposures.

【 授权许可】

Unknown