Oil and coal price shocks and coal industry returns: international evidence

摘要

This paper examines the effect of energy price shocks on coal sector stock returns and supplements studies evaluating the effect of oil prices on the stock price of oil and gas companies. A 1% increase in coal price return raises coal sector returns by between 0.22% and 0.30%. This result is robust across developed, emerging and differing groups of Asia-Pacific and Pacific countries, and is analogous with findings that a 1% increase in oil price raises the return of oil and gas companies by between 0.14% and 0.38% depending on country and time period studied. Oil price return also significantly influences coal sector return even controlling for coal price return. Relatively large increases in coal and oil price returns have statistically significant and disproportionate effects on raising coal sector returns. Market return, interest rate premium, and foreign exchange rate risk are also significant risk factors for excess coal sector stock returns. The sensitivity of coal sector returns to oil price shocks suggest a role for investment in stocks that rise when energy prices increase in a well balanced portfolio and in pursuing profitable investment strategies. Natural gas price returns do not influence coal sector returns in the presence of coal price returns.