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Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks

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  • Mohammad Enamul Hoque
  • Soo-Wah Low
  • Mohd Azlan Shah Zaidi
  • Lain-Tze Tee
  • Noor Azlan Ghazali

Abstract

This study examines asymmetric and the lag effects of oil price, gas price, and exchange rate on stock performance of the Malaysian oil and gas sub-industries. Using company-level data and multi factor asset pricing models, this study found that oil price, gas price, exchange rate, and common systematic risk factors such as market, size, and book-to-market have significant effects on the stock performance of Malaysian oil and gas sub-industries, but these exposures remain heterogeneous. Oil price and exchange rate show strong asymmetrical impacts on stock performance when decomposed into oil price increases (decreases) and exchange rate depreciation (appreciation). Increases in oil price and exchange rate depreciation have a greater impact on stock performance of oil and gas industry than decreases in oil price and exchange rate appreciation. Oil price, gas price, and exchange rate exhibit lag effects on the performance of oil and gas stocks. The findings have important asset pricing implications for profitable investment and portfolio strategies based on oil and gas risk factors for oil-exporting country. JEL Classifications : C13; C58; G10; G12; G14; Q4

Suggested Citation

  • Mohammad Enamul Hoque & Soo-Wah Low & Mohd Azlan Shah Zaidi & Lain-Tze Tee & Noor Azlan Ghazali, 2023. "Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks," SAGE Open, , vol. 13(3), pages 21582440231, July.
    • Handle: RePEc:sae:sagope:v:13:y:2023:i:3:p:21582440231179444
    DOI: 10.1177/21582440231179444
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    More about this item

    Keywords

    oil and gas risk factor; oil and gas industry; asset pricing; Malaysian stock market;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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