Oil sensitivity and systematic risk in China OG industry stock indices

摘要

In order to solve the multi-attribute factors analysis problem of China Oil and Gas industry, a multifactor market model is used to estimate its expected stock returns. Results are presented to show that volatility of exchange rate and crude oil prices have large and significant impacts on China oil and gas industry stock returns. In particular, an increase in the market or oil price factor increases the returns to China oil and gas stock indices while an increase in exchange rates or the term premium increases the returns to the stock prices of China oil and gas industry. Furthermore, the oil and gas sector is less risky than the market and its moves are pro-cyclical. The analysis suggests that China oil and gas industry stocks may be a good hedge against inflation.