Dynamic connectedness between crude oil and equity markets: What about the effects of firm's solvency and profitability positions?

IF 3.7 4区经济学 Q1 BUSINESS, FINANCE

Journal of Commodity Markets Pub Date : 2023-09-01 DOI:10.1016/j.jcomm.2023.100348

Faruk Balli , Hatice O Balli , Thi Thu Ha Nguyen

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Abstract

The paper aims to explore the presence of connectedness between oil price changes and stock returns of oil & gas sector. The analysis, adopting the connectedness approach developed by and the frequency connectedness developed by demonstrates a high level of connectedness, especially during the extreme economic meltdown. The short-term (1–5 days) level of total connectedness is substantially higher than the medium-term (5–30 days) and long-term levels (30–262 days). In addition, when examining the impact of the sectors' financial characteristics on the extent of the connectedness, we found that sectors with greater solvency position (lower debt to asset ratio and higher interest coverage) are less connected with the oil price changes. The impact of sector's solvency position on connectedness (between stock return and oil prices) is even more obvious for financially more open markets. Also, change in oil prices have a less impact on the returns of sectors with higher profitability ratios. The paper, therefore, brings several implications to both policy makers and investors.

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原油和股票市场之间的动态联系:公司的偿付能力和盈利能力状况的影响是什么?

本文旨在探讨石油价格变化与石油股票收益之间存在的联系。天然气行业。该分析采用了由作者提出的连通性方法和由作者提出的频率连通性，表明了高水平的连通性，特别是在极端经济崩溃期间。短期(1-5天)的总连通性水平大大高于中期(5-30天)和长期水平(30-262天)。此外，在考察行业财务特征对关联度的影响时，我们发现偿付能力较强的行业(较低的资产负债率和较高的利息覆盖率)与油价变化的关联度较低。在金融更开放的市场中，行业偿付能力状况对连通性(股票回报与油价之间的关系)的影响更为明显。此外，油价变化对利润率较高的行业的回报影响较小。因此，这篇论文对政策制定者和投资者都有几点启示。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Commodity Markets Multiple-

CiteScore

5.70

自引率

2.40%

发文量

期刊介绍： The purpose of the journal is also to stimulate international dialog among academics, industry participants, traders, investors, and policymakers with mutual interests in commodity markets. The mandate for the journal is to present ongoing work within commodity economics and finance. Topics can be related to financialization of commodity markets; pricing, hedging, and risk analysis of commodity derivatives; risk premia in commodity markets; real option analysis for commodity project investment and production; portfolio allocation including commodities; forecasting in commodity markets; corporate finance for commodity-exposed corporations; econometric/statistical analysis of commodity markets; organization of commodity markets; regulation of commodity markets; local and global commodity trading; and commodity supply chains. Commodity markets in this context are energy markets (including renewables), metal markets, mineral markets, agricultural markets, livestock and fish markets, markets for weather derivatives, emission markets, shipping markets, water, and related markets. This interdisciplinary and trans-disciplinary journal will cover all commodity markets and is thus relevant for a broad audience. Commodity markets are not only of academic interest but also highly relevant for many practitioners, including asset managers, industrial managers, investment bankers, risk managers, and also policymakers in governments, central banks, and supranational institutions.