Returns and Volatility of Eurozone Energy Stocks

Ulrich Oberndorfer

No 08-017, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

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.

Keywords: Energy stocks; resource prices; volatility; asset pricing (search for similar items in EconPapers)
JEL-codes: C13 G12 Q40 Q43 (search for similar items in EconPapers)
Date: 2008
New Economics Papers: this item is included in nep-eec, nep-ene, nep-fmk and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:7226

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