Publication Date
1-1-2001
Document Type
Dissertation/Thesis
First Advisor
Becher, David
Degree Name
B.S. (Bachelor of Science)
Legacy Department
Department of Finance
Abstract
To better understand the components of volatility in oil-related industries, I examine the relationship between changes in crude oil prices and stock returns in the United States between 1987 and 2000. I find that the spot price of crude oil is statistically positive related to the stock returns of oil-related industries. In addition, changes in the aggregate level of oil reserves are only significant in explaining returns of firms in operation of oil distribution. I also analyze the relationship between oil price changes and aggregate market returns. The results of these tests indicate that oil price changes Grainger cause stock market returns (inversely), and there is a one-month lag in this relationship. In addition, there may be a pattern of stock market returns in the three months prior to an increase/decrease in oil prices.
Recommended Citation
Kirschner, Daniel L., "The Oil Industry and Aggregate Economy: An Analysis of the Effect of Oil Price Fluctuations" (2001). Honors Capstones. 1246.
https://huskiecommons.lib.niu.edu/studentengagement-honorscapstones/1246
Extent
24 pages
Language
eng
Publisher
Northern Illinois University
Rights Statement
In Copyright
Rights Statement 2
NIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.
Media Type
Text
