Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/118125
Authors: 
Lanza, Alessandro
Manera, Matteo
Grasso, Margherita
Giovannini, Massimo
Year of Publication: 
2003
Series/Report no.: 
Nota di Lavoro, Fondazione Eni Enrico Mattei 96.2003
Abstract: 
The identification of the forces that drive oil stock prices is extremely important given the size of the Oil&Gas industry and its links with the energy sector and the environment. In the next decade oil companies will have to deal with international policies to contrast climate change. This issue is likely to affect companies' shareholder values. In this paper we focus on the long-run financial determinants of the stock prices of six major oil companies (Bp, Chevron-Texaco, Eni, Exxon-Mobil, Royal Dutch Shell, Total-Fina-Elf) using multivariate cointegration techniques and vector error correction models. Weekly oil stock prices are analyzed together with the relevant stock market indexes, exchange rates, spot and future oil prices over the period January 1998- April 2003. The empirical results confirm the statistical significance of the major financial variables in explaining the long-run dynamics of oil companies' stock values.
Subjects: 
Cointegration
Vector error correction models
Oil companies
Oil stock prices
Hydrocarbon fuels
Energy
Non-renewable resources
Environment
JEL: 
C32
L71
Q30
Q40
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.