The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?

Mohammad Enamul Hoque, Soo-Wah Low, Mohd Azlan Shah Zaidi
2020 Energies  
This study explores Malaysian oil and gas stocks' exposure to oil and gas risk factors, paying special attention to subindustry classification, stock size, book-to-market value, and volatility state. The study employs firm-level weekly frequency data of oil and gas firms and several multi-asset pricing models within a GARCH (1,1)-X and Markov-switching framework. The empirical findings reveal that oil price, gas price, and exchange rate exhibit positive effects on the stock returns of all oil
more » ... eturns of all oil and gas sub-industries, but they exhibit negative effects on gas utilities sub-industry stock returns. The empirical findings also reveal that the extent of this effect varies across sub-industry, stock size, book-to-market value, and volatility states. Thus, the findings suggest the existence of asymmetric, heterogeneous, and non-linear exposures.
doi:10.3390/en13153901 fatcat:pc4pgweodjbepiijzsyuhiwmmi