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Title:Returns and Volatility of Eurozone Energy Stocks PDF Logo
Authors:Oberndorfer, Ulrich
Issue Date:2008
Series/Report no.:ZEW Discussion Papers 08-017
Abstract:This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the Eurozone. According to our results, the gas market does not play a role for the pricing of Eurozone energy stocks. However, changes in the Euro to U.S. Dollar exchange rate as well as developments at the money and especially at the oil market strongly affect returns of the energy stock portfolios analyzed. While oil price hikes negatively impact on stock returns of European utilities, they lead to an appreciation of oil and gas stocks. Most importantly, we show that oil market volatility negatively affects European oil and gas stocks. In contrast, energy stock volatility is not driven by volatility of the resource market, but only by its own dynamics.
Subjects:Energy stocks
resource prices
volatility
asset pricing
JEL:Q43
C13
Q40
G12
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des ZEW
ZEW Discussion Papers

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