Suchergebnisse

In the last decade, energy markets have developed substantially due to the growing activity of financial investors. One consequence of this massive presence of investors is a stronger link between the hitherto segmented energy and financial markets. This book addresses some of the recent developments in the interrelationship between financial and energy markets. It aims to further the understanding of the rich interplay between financial and energy markets by presenting several empirical studies that illustrate and discuss some of the main issues on this agenda.

This paper analyzes the exposure of the oil and gas industry of 34 countries to oil prices. Using a multifactor panel model to estimate the oil and gas excess stock returns, our results strongly support the view that oil price is a globally priced factor for the oil industry. In particular, the response of the oil and gas sector to changes oil prices is positive and larger for developed countries than for emerging markets. The industry response is asymmetric, with positive oil price changes having a greater impact on the oil sector returns than negative changes. Furthermore, local market index returns, currency rates and oil price volatility also have a significant impact on oil industry's excess returns. Finally, industry local sensitivities seem to vary with stock market activity and with levels of appropriation of industry revenues by governments. Results are robust to a battery of tests.

The autocorrelation function (acf) of powered absolute returns and their cross-correlations with original returns are derived, for any value of the power parameter, in the context of long-memory stochastic volatility models with leverage effect and Gaussian noises. These autocorrelations and cross-correlations generalize and correct recent results on the acf of squared and absolute returns. ; We acknowledge financial support from the Spanish Government, project SEJ2006-03919. The research of A. Pérez was also supported by Junta de Castilla y León, projects VA092A08 and VA027A08. We are very grateful to the editor E. Kontoghiorghes and two anonymous referees for their comments ; Publicado