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The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies

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  • Ewing, Bradley T.
  • Kang, Wensheng
  • Ratti, Ronald A.

Abstract

A time-varying parameter VAR model is used to examine the impact of structural oil supply shocks on the US real stock market return of oil and gas exploration and production companies. The result shows that the impact response of the real return of the upstream stocks to a negative world non-US oil supply shock increases substantially over recent years, from an average value of 0.70% in 2006 to 6.16% during 2008–2010, with a spike of 6.81% in 2014Q3. The endogenous effects of US oil supply shocks on the return play an important role, in that the responses of the stock returns to a negative US oil supply shock are positive and persistent with an average value of 3.60% over time. The time-varying effects of oil supply shocks are heterogeneous. The magnitudes of return responses are different among independents, large proved-reserve independents and integrated companies over time.

Suggested Citation

  • Ewing, Bradley T. & Kang, Wensheng & Ratti, Ronald A., 2018. "The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies," Energy Economics, Elsevier, vol. 72(C), pages 505-516.
    • Handle: RePEc:eee:eneeco:v:72:y:2018:i:c:p:505-516
    DOI: 10.1016/j.eneco.2018.05.001
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    More about this item

    Keywords

    Oil supply shocks; Real stock return; Time-varying parameter VAR; Oil and gas exploration and production companies;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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