The Impact of Oil Price Fluctuations on Industry Stock Returns: Evidence from International Markets


Oil price
Oil and sector return
Industry return volatility
Stock market
Portfolio management
Panel data

How to Cite

Randjbaran, E., Tahmoorespour, R., Rezvani, M., & Safari, M. (2018). The Impact of Oil Price Fluctuations on Industry Stock Returns: Evidence from International Markets. Journal of Management Info, 5(1), 1-12.


This study investigates the impact of oil price variation on 14 industries in six markets, including Canada, China, France, India, the United Kingdom, and the United States. Panel weekly data were collected from June 1998 to December 2011. The results indicate that price fluctuations primarily affect the Oil and Gas as well as the Mining industries and have the least influence on the Food and Beverage industry. Furthermore, in three out of six of these countries (Canada, France, and the U.K.), oil price changes negatively affect the Pharmaceutical and Biotechnology industry. One possible reason for the negative relationship between oil price changes and the Pharmaceutical and Biotechnology industries in the above-mentioned countries is that the governments of these countries fund their healthcare systems. Portfolio managers and investors will find the results of this study useful because it enables adjusting portfolios based on knowledge of the industries that are impacted the most or the least by oil price fluctuations.


Al-Mudhaf, A., & Goodwin, T. H. (1993). Oil shocks and oil stocks: evidence from the 1970s. Applied Economics, 25(2), 181-190.
Apergis, N., & Miller, S. M. (2009). Do structural oil-market shocks affect stock prices? Energy Economics, 31(4), 569-575.
Barsky, R., & Kilian, L. (2004). Oil and the Macroeconomy since the 1970s: National Bureau of Economic Research.
Barsky, R. B., & Kilian, L. (2002). Do we really know that oil caused the great stagflation? A monetary alternative: MIT Press.
Bernanke, B. S., Gertler, M., Watson, M., Sims, C. A., & Friedman, B. M. (1997). Systematic monetary policy and the effects of oil price shocks. Brookings papers on economic activity, 1997(1), 91-157.
Boyer, M. M., & Filion, D. (2007). Common and fundamental factors in stock returns of Canadian oil and gas companies. Energy Economics, 29(3), 428-453.
Brown, S., & Yücel, M. K. (2002). Energy prices and aggregate economic activity: an interpretative survey. The Quarterly Review of Economics and Finance, 42(2), 193-208.
Bruno, M., & Sachs, J. (1982). Input price shocks and the slowdown in economic growth: the case of UK manufacturing. The Review of Economic Studies, 49(5), 679.
Burbidge, J., & Harrison, A. (1984). Testing for the effects of oil-price rises using vector autoregressions. International Economic Review, 25(2), 459-484.
Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of business, 383-403.
Choi, K., & Hammoudeh, S. (2010). Volatility behavior of oil, industrial commodity and stock markets in a regime-switching environment. Energy Policy, 38(8), 4388-4399.
Cologni, A., & Manera, M. (2005). Oil Prices, Inflation and Interest Rates in a Sstructural Cointegrated VAR Model for the G-7 Countries.
Davis, S. J., & Haltiwanger, J. (1999). Sectoral job creation and destruction responses to oil price changes: National Bureau of Economic Research.
Dhawan, R., & Jeske, K. (2008). Energy price shocks and the macroeconomy: the role of consumer durables. Journal of Money, Credit and Banking, 40(7), 1357-1377.
Driesprong, G., Jacobsen, B., & Maat, B. (2008). Striking oil: Another puzzle? Journal of financial economics, 89(2), 307-327.
Edelstein, P., & Kilian, L. (2007). Retail energy prices and consumer expenditures. Ann Arbor, 1001, 48109-41220.
El-Sharif, I., Brown, D., Burton, B., Nixon, B., & Russell, A. (2005). Evidence on the nature and extent of the relationship between oil prices and equity values in the UK. Energy Economics, 27(6), 819-830.
Elyasiani, E., Mansur, I., & Odusami, B. (2011). Oil price shocks and industry stock returns. Energy Economics.
Etienne, C., & Asamoa-Baah, A. (2010). WHO The world health report-health systems financing: the path to universal coverage: World Health Organization.
Faffa, R. W., & Brailsfordb, T. J. (1999). Oil price risk and the Australian stock market. Journal of Energy Finance and Development, 4, 69-87.
Fayyad, A., & Daly, K. (2010). The impact of oil price shocks on stock market returns: Comparing GCC countries with the UK and USA. Emerging Markets Review.
Gisser, M., & Goodwin, T. H. (1986). Crude oil and the macroeconomy: Tests of some popular notions: Note. Journal of Money, Credit and Banking, 18(1), 95-103.
Gronwald, M. (2008). Large oil shocks and the US economy: Infrequent incidents with large effects. The Energy Journal, 29(1), 151-172.
Hamilton, J. D. (1983). Oil and the macroeconomy since World War II. The Journal of Political Economy, 228-248.
Hamilton, J. D. (1988). A neoclassical model of unemployment and the business cycle. The Journal of Political Economy, 593-617.
Hamilton, J. D. (2003). What is an oil shock? Journal of econometrics, 113(2), 363-398.
Hamilton, J. D. (2005). Oil and the Macroeconomy. The New Palgrave Dictionary of Economics, MacMillan.
Hammoudeh, S., Dibooglu, S., & Aleisa, E. (2004). Relationships among US oil prices and oil industry equity indices. International Review of Economics & Finance, 13(4), 427-453.
Hammoudeh, S., Yuan, Y., Chiang, T., & Nandha, M. (2010). Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks. Energy Policy, 38(8), 3922-3932.
Hickman, B. G., Huntington, H. G., & Sweeney, J. L. (1987). Macroeconomic impacts of energy shocks.
Huang, R., Masulis, R., & Stoll, H. (1996). Energy shocks and financial markets. Journal of Futures Markets, Vol. 16, No. 1, pp. 1-27, 1996.
Jones, C. M., & Kaul, G. (1996). Oil and the stock markets. Journal of Finance, 463-491.
Jones, D. W., Leiby, P. N., & Paik, I. K. (2004). Oil price shocks and the macroeconomy: what has been learned since 1996. ENERGY JOURNAL-CAMBRIDGE MA THEN CLEVELAND OH-, 25(2), 1-32.
Kilian, L. (2008a). The economic effects of energy price shocks.
Kilian, L. (2008b). Exogenous oil supply shocks: how big are they and how much do they matter for the US economy? The Review of Economics and Statistics, 90(2), 216-240.
Kling, J. L. (1985). Oil price shocks and stock market behavior. The Journal of Portfolio Management, 12(1), 34-39.
Lardic, S., & Mignon, V. (2006). The impact of oil prices on GDP in European countries: An empirical investigation based on asymmetric cointegration. Energy Policy, 34(18), 3910-3915.
Lardic, S., & Mignon, V. (2008). Oil prices and economic activity: An asymmetric cointegration approach. Energy Economics, 30(3), 847-855.
Lee, K., & Ni, S. (2002). On the dynamic effects of oil price shocks: a study using industry level data. Journal of Monetary Economics, 49(4), 823-852.
Lee, K., Ni, S., & Ratti, R. A. (1995). Oil shocks and the macroeconomy: the role of price variability. The Energy Journal, 16(4), 39-56.
Lega, F. (2006). Developing a marketing function in public healthcare systems: A framework for action. Health Policy, 78(2–3), 340-352.
Lescaroux, F., & Mignon, V. (2008). On the influence of oil prices on economic activity and other macroeconomic and financial variables*. OPEC Energy Review, 32(4), 343-380.
Maghyereh, A., & Al-Kandari, A. (2007). Oil prices and stock markets in GCC countries: new evidence from nonlinear cointegration analysis. Managerial Finance, 33(7), 449-460.
McSweeney, E. J., & Worthington, A. C. (2008). A comparative analysis of oil as a risk factor in Australian industry stock returns, 1980-2006. Studies in economics and finance, 25(2), 131-145.
Miller, J. I., & Ratti, R. A. (2009). Crude oil and stock markets: Stability, instability, and bubbles. Energy Economics, 31(4), 559-568.
Mork, K. A., Olsen, O., & Mysen, H. T. (1994). Macroeconomic responses to oil price increases and decreases in seven OECD countries. The Energy Journal, 15(4), 19-36.
Nandha, M., & Brooks, R. (2009). Oil prices and transport sector returns: an international analysis. Review of Quantitative Finance and Accounting, 33(4), 393-409.
Nandha, M., & Faff, R. (2008). Does oil move equity prices? A global view. Energy Economics, 30(3), 986-997.
Park, J., & Ratti, R. A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy economics, 30(5), 2587-2608.
Rasche, R. H., & Tatom, J. A. (1977). The effects of the new energy regime on economic capacity, production, and prices. Federal Reserve Bank of St. Louis Review, 59(4), 2o12.
Rasche, R. H., & Tatom, J. A. (1981). Energy price shocks, aggregate supply and monetary policy: The theory and the international evidence.
Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Economics, 21(5), 449-469.
Sadorsky, P. (2001). Risk factors in stock returns of Canadian oil and gas companies. Energy Economics, 23(1), 17-28.
Scholtens, B., & Yurtsever, C. (2011). Oil price shocks and European industries. Energy Economics.
Toth, F. (2010). Healthcare policies over the last 20 years: Reforms and counter-reforms. Health Policy, 95(1), 82-89.
Wei, C. (2003). Energy, the stock market, and the putty-clay investment model. The American Economic Review, 93(1), 311-323.
Zarour, B. A. (2006). Wild oil prices, but brave stock markets! The case of GCC stock markets. Operational Research, 6(2), 145-162.
Creative Commons License

This work is licensed under a Creative Commons Attribution 4.0 International License.