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首页> 外文期刊>Energy economics >How do US stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?
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How do US stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?

机译：美国股票收益如何应对危机前，金融危机内和危机后的油价冲击？

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We use a long time series of daily data for 682 firms over a period from January, 1990 to December, 2012. Each firm includes 5,772 daily observations. Our sample involves a total of 3,936,504 observations to investigate how U.S. stock returns respond differently to oil price shocks prior to, during, and after a financial crisis. We provide evidence that U.S. stock returns in turn respond positively to the changes in oil prices during and after such a crisis. We use firm-level data to find that positive and negative oil price shocks have asymmetric effects on stock returns during the crisis and after the crisis. Then, we examine whether the effect of an oil price shock on stock returns varies across oil-intensive industries. Within the crisis and post-crisis, our results indicate that stock returns in response to oil price shocks across industries are heterogeneous, and the stock returns of some energy-intensive manufacturing industries respond more positively to oil price shocks compared with less energy-intensive manufacturing industries. We use total assets, total revenue, and the number of employees as proxy variables to measure each firm's size and then examine whether oil price shocks affect stock returns differently across firm sizes. We find that big firms are the most strongly and negatively influenced by an oil price shock prior to the crisis. On the other hand, our results indicate that an oil price shock in the post-financial crisis period is positively amplified in the case of medium-sized firms. (C) 2015 Published by Elsevier B.V.
机译：我们使用1990年1月至2012年12月期间针对682家公司的长期每日数据系列。每家公司都包含5,772条每日观察值。我们的样本涉及总共3,936,504个观察值，以调查美国股票收益率如何在金融危机之前，之中和之后对油价冲击做出不同反应。我们提供的证据表明，在这种危机期间和之后，美国的股票收益反过来对油价的变化产生了积极的响应。我们使用公司一级的数据发现，正负油价冲击在危机期间和危机之后对股票收益产生不对称影响。然后，我们研究了石油密集型行业中油价冲击对股票收益的影响是否不同。在危机和危机后，我们的结果表明，响应各行业油价震荡的股票收益是异质的，与一些能源密集型制造业相比，一些能源密集型制造业的股票收益对油价震荡的反应更为积极行业。我们使用总资产，总收入和员工人数作为代理变量来衡量每个公司的规模，然后检查油价冲击是否会在整个公司规模上对股票收益产生不同的影响。我们发现，大公司受到危机之前石油价格冲击的最大和负面影响。另一方面，我们的结果表明，对于中型企业而言，在金融危机后时期的石油价格冲击正得到放大。 （C）2015由Elsevier B.V.发布

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