Oil Price and The Energy Related Stocks in An Oil-Importing Country and An Oil-Exporting County Evidence From United States and Canada
Patrick Kuntara H.S (Adv.:Dr. J.J.G. Lemmen), Dr. J.J.G. Lemmen
This research examined the impact of international oil prices on energy related stock returns in an oil-importing
country and an oil-exporting country following the financial crisis of 2008. United States is
chosen to proxy an oil-importing country, while Canada is chosen to proxy an oil-exporting country. Using
three major world oil benchmarks and asset pricing models, the results showed that the Brent and the WTI
oil price changes are positively correlated with energy related stock returns in the period following the
global financial crisis of 2008, conforming to the findings of Broadstock et al. (2012) for the Chinese stock
market. One of the possible explanations of this phenomenon could be the case that the investors for the
energy related sectors in the United States stock market and the Canadian stock market are more sensitive
to energy price volatility. The returns of energy related firmsÂ’ stocks in oil-importing country are seemingly
much more sensitive to oil price changes but the explanatory power of the model is considerably higher in
oil-exporting country. Furthermore, the explanatory power of the model for coal and electricity sub-index
is higher in the United States stock market compared to the Canadian stock market.
Kata Kunci : Oil prices, energy related stocks, financial crises, oil-importing and oil-exporting country, asset pricing
