Price fluctuation of Brent futures and the impact on stock prices of oil companies in Malaysia

Izaan Azyan Abdul Jamil and Lim Thieng Sang and Mori bin Kogid and Caroline Geetha (2022) Price fluctuation of Brent futures and the impact on stock prices of oil companies in Malaysia.

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Official URL: https://www.researchgate.net/publication/364744995...

Abstract

This study aims to investigate the impact of crude oil market price fluctuations on public listed oil companies in Malaysia. Individual stocks of oil producers and refineries were selected instead of stock market indexes. This study employed autoregressive distributed lag bounds test approach with weekly data spanning from January 2011 until June 2022. The study found statistical evidence of a cointegration relationship between Brent Futures with stock prices of PETRONAS Chemical, PETRONAS Gas, Hibiscus Petroleum, and Petron Malaysia indicating potential co-movement towards long-run equilibrium. On top of that, substantial statistical evidence of causal impact is also found from Brent Futures to the stock prices of oil companies implying the significant role of Brent futures in influencing the stock prices behaviour of oil companies in Malaysia. The empirical results of this study will be able to assist the fund managers of these companies or retail investors in making investment decisions and hedging strategies.

Item Type:	Proceedings
Keyword:	Oil companies, Stock prices, Brent futures, ARDL, Malaysia
Subjects:	H Social Sciences > HB Economic theory. Demography > HB1-3840 Economic theory. Demography > HB221-236 Price H Social Sciences > HD Industries. Land use. Labor > HD28-9999 Industries. Land use. Labor > HD9000-9999 Special industries and trades > HD9502-9502.5 Energy industries. Energy policy. Fuel trade H Social Sciences > HG Finance > HG1-9999 Finance > HG4501-6051 Investment, capital formation, speculation > HG4551-4598 Stock exchanges
Department:	FACULTY > Faculty of Business, Economics and Accounting
Depositing User:	Ag Abdul Hakim Bin Sohit
Date Deposited:	09 Sep 2024 15:23
Last Modified:	09 Sep 2024 15:23
URI:	https://eprints.ums.edu.my/id/eprint/40921

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