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Susan Sunila Sharma and Paresh Kumar Narayan
''Investment and oil price volatility''
( 2012, Vol. 32 No.2 )
In this note, we consider the relationship between oil price volatility and firm returns for 560 firms listed on the New York Stock Exchange. Using daily time series data from 2000 to 2008, we find that oil price volatility increases firm returns for the majority of the firms in our sample.
Keywords: Oil Price; Volatility; Time Series; Firms; Returns.
JEL: C1 - Econometric and Statistical Methods: General
D4 - Market Structure and Pricing: General
Manuscript Received : Mar 08 2012 Manuscript Accepted : May 14 2012

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