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Coal Sector Returns and Oil Prices: Developed and Emerging Countries

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  • Mohammad Z. Hasan

    (University of Notre Dame Australia, School of Business, Australia.)

  • Ronald A. Ratti

    (University of Notre Dame Australia, School of Business, Australia.)

Abstract

This paper examines the effect of oil price on coal sector stock returns. A multifactor market model is used to estimate the expected excess returns to the coal sector. A 1% increase in oil price return has a statistically significant positive impact on coal sector returns of between 0.06% and 0.20%. A 1% increase in coal price raises the return of coal sector returns by between 0.22% and 0.30%. Increased volatility in oil price return significantly reduces coal sector return. Participants in energy markets may perceive oil price as being determined globally and as providing information on demand for energy overall. Understanding the variables that affect the behaviour of the stock prices in the coal is of importance to market participants and policy makers, and is helpful in developing efficient hedging policies to deal with changes in energy prices.

Suggested Citation

  • Mohammad Z. Hasan & Ronald A. Ratti, 2015. "Coal Sector Returns and Oil Prices: Developed and Emerging Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 515-524.
    • Handle: RePEc:eco:journ2:2015-02-16
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    Cited by:

    1. Chen, Mei-Ping & Chen, Wen-Yi & Tseng, Tseng-Chan, 2017. "Co-movements of returns in the health care sectors from the US, UK, and Germany stock markets: Evidence from the continuous wavelet analyses," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 484-498.
    2. Pande Ketut Rheynaldi & Endri Endri & Minanari Minanari & Putri Andari Ferranti & Subur Karyatun, 2023. "Energy Price and Stock Return: Evidence of Energy Sector Companies in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 13(5), pages 31-36, September.
    3. Tri Wahyu Adi, 2022. "The International Gas and Crude Oil Price Variability Effect on Indonesian Coal Mining Companies Listed at IDX," International Journal of Energy Economics and Policy, Econjournals, vol. 12(5), pages 1-10, September.
    4. Ding, Lili & Zhao, Zhongchao & Han, Meng, 2021. "Probability density forecasts for steam coal prices in China: The role of high-frequency factors," Energy, Elsevier, vol. 220(C).

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    More about this item

    Keywords

    Coal Sector Return; Oil Price; Coal Price;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • O13 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Agriculture; Natural Resources; Environment; Other Primary Products
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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