Abstract

This paper examines the effect of oil prices movements on the stock price of Oil and Gas companies in three different markets (US, India ad UK). Using daily data; the dynamic interaction between oil prices and stock prices is investigated in the presence of economic variables like interest rates and industrial productions. The results suggest that there exists significant short run and long run relationship between oil price and the oil stocks including the effect of the other variables such as interest rate and the stock index. The oil price volatility transmission has a persistent effect on the volatility of the stocks of the oil companies in all the countries that were studied.

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