Dependence of stock return in the Prague Stock Exchange on the
oil price

D 2014

Dependence of stock return in the Prague Stock Exchange on the oil price

BENADA, Luděk

Základní údaje

Originální název

Dependence of stock return in the Prague Stock Exchange on the oil price

Autoři

BENADA, Luděk (203 Česká republika, garant, domácí)

Vydání

Karviná, Proceedings of the 14th International Conference on Finance and Banking, od s. 1-7, 7 s. 2014

Nakladatel

Silesian University

Další údaje

Jazyk

angličtina

Typ výsledku

Stať ve sborníku

Obor

50200 5.2 Economics and Business

Stát vydavatele

Česká republika

Utajení

není předmětem státního či obchodního tajemství

Forma vydání

tištěná verze "print"

Kód RIV

RIV/00216224:14560/14:00074799

Organizační jednotka

Ekonomicko-správní fakulta

ISBN

978-80-7248-939-8

UT WoS

000345575000001

Klíčová slova anglicky

Price; return; oil; exchange rate; shocks

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 1. 4. 2015 14:15, Mgr. Daniela Marcollová

Anotace

V originále

The aim of this paper is to examine the effect of oil price development on the selected securities traded in the Prague Stock Exchange. Although, there are many studies, which examine the impact of oil price, most of these studies focused on Western markets or important and large emerging markets. The Czech Republic belongs rather to the marginal countries in terms of economic significance. Further, the PSE is characterized by several specific features. The applied models are based on the linear dependence between an equity risk premium and the systematic risk and the development of oil price. The influence of the oil price development is examined from two perspectives. First, the impact of oil prices was analyzed without any decomposition. Afterwards, the oil prices in USD and the exchange rate were examined separately. It was found out that the exchange rate has a more significant impact on the equity excess return than the price of oil. Further, the effect of demand and supply shocks of oil was analyzed. The results confirmed with the exception of NWR, that the demand shocks are a significant price factors for the examined stocks. In the case of NWR supply shocks were significant for the price process as well.

Návaznosti

MUNI/A/0753/2012, interní kód MU

Název: Evropské finanční systémy 2013 (Akronym: EFS)

Investor: Masarykova univerzita, Evropské finanční systémy 2013, DO R. 2020_Kategorie A - Specifický výzkum - Studentské výzkumné projekty

Citovat

BENADA, Luděk. Dependence of stock return in the Prague Stock Exchange on the oil price. In Stavárek Daniel and Vodová Pavla. Proceedings of the 14th International Conference on Finance and Banking. Karviná: Silesian University, 2014, s. 1-7. ISBN 978-80-7248-939-8.

@inproceedings{1127941,
   author = {Benada, Luděk},
   address = {Karviná},
   booktitle = {Proceedings of the 14th International Conference on Finance and Banking},
   editor = {Stavárek Daniel and Vodová Pavla},
   keywords = {Price; return; oil; exchange rate; shocks},
   howpublished = {tištěná verze "print"},
   language = {eng},
   location = {Karviná},
   isbn = {978-80-7248-939-8},
   pages = {1-7},
   publisher = {Silesian University},
   title = {Dependence of stock return in the Prague Stock Exchange on the oil price},
   year = {2014}
}

TY  - JOUR
ID  - 1127941
AU  - Benada, Luděk
PY  - 2014
TI  - Dependence of stock return in the Prague Stock Exchange on the oil price
PB  - Silesian University
CY  - Karviná
SN  - 9788072489398
KW  - Price
KW  - return
KW  - oil
KW  - exchange rate
KW  - shocks
N2  - The aim of this paper is to examine the effect of oil price development on the selected securities traded in the Prague Stock Exchange. Although, there are many studies, which examine the impact of oil price, most of these studies focused on Western markets or important and large emerging markets. The Czech Republic belongs rather to the marginal countries in terms of economic significance. Further, the PSE is characterized by several specific features. The applied models are based on the linear dependence between an equity risk premium and the systematic risk and the development of oil price. The influence of the oil price development is examined from two perspectives. First, the impact of oil prices was analyzed without any decomposition. Afterwards, the oil prices in USD and the exchange rate were examined separately. It was found out that the exchange rate has a more significant impact on the equity excess return than the price of oil. Further, the effect of demand and supply shocks of oil was analyzed. The results confirmed with the exception of NWR, that the demand shocks are a significant price factors for the examined stocks. In the case of NWR supply shocks were significant for the price process as well.
ER  -

BENADA, Luděk. Dependence of stock return in the Prague Stock Exchange on the oil price. In Stavárek Daniel and Vodová Pavla. \textit{Proceedings of the 14th International Conference on Finance and Banking}. Karviná: Silesian University, 2014, s.~1-7. ISBN~978-80-7248-939-8.

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