Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach

Abstract

This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil- and gas-related firms. Based on copula approach and the sample data of domestic giant oil- and gas firms from 2009 to 2019, in particular in the situation of oil price steadily going up and economic depression of 2011–2012; approximately nine copulas including Gauss, Clayton, Rotated-Clayton, Plackett, Frank, Gumbel, Rotated-Gumbel, Student, Symmetrized-Joe-Clayton have been focused. A new evidence could be found that the oil price shocks have not impacted on the stock return of oil- and gas-related firms in the wave of increasing oil price, but a lagged period of time oil- and gas-related firms could receive more stock returns. The results further demonstrate that world oil price fluctuations have significantly impacted on the financial performance of some firms as PVS, PVG, and PET in the pre-depression period. In respect to the economic depression of 2011–2012, the study reveals no evidence in the relationship between world oil price fluctuations and stock returns of oil- and gas-related firms. In other words, results in the post-depression period suggest that world oil price shocks can affect stock returns of selected giant oil- and gas-related firms.

Keywords:

• copula
• dependence structure
• stock market
• crude oil

JEL classifications:

• E31
• E32
• F62
• G32
• G38

PUBLIC INTEREST STATEMENT

The world crude oil price shocks occurred in the period of 2011–2012 can affect the financial performance of oil- and gas-related firms. In this paper, we carry out a study on Vietnamese oil- and gas-related firms, our results suggest a new evidence that world crude oil price has no impact on the financial performance in the wave of increasing crude oil price, but a lagged period of time oil- and gas-related firms could significantly receive more benefits, implying that the crisis of crude oil price on performance of Vietnamese oil- and gas-related firms need a lagged period of time to be effective. Further, the study also reveals that there is no evidence in the linkage between crude oil price fluctuations and stock returns of Vietnamese oil- and gas-related firms in the context of economic depression of 2011–2012, contrary to some researchers believe. Surprisingly, changes in world crude oil price can significantly affect stock returns of selected Vietnamese oil- and gas-related firms in the post-depression period.

Author contributions

V.C.N. wrote the introduction and theoretical framework. T.T.N. designed the research methodology, T.N.T. collected and analyzed the data and wrote the results. V.C.N. and T.T.N. reported the analysis and wrote the methodology section. V.C.N. and T.T.N. read and edited the last version of manuscript. All authors have read and agreed to the published version of the manuscript.

Conflicts of interest

The authors declare no conflict of interest.

correction

This article has been republished with minor changes. These changes do not impact the academic content of the article.

Additional information

Funding

This research received no external funding.

Notes on contributors

Thu Thuy Nguyen

Thu Thuy Nguyen is a graduate of doctoral study at the National Economics University, Vietnam. She works for Thuongmai University in Hanoi and specializes in macroeconomics, and financial mathematics. She has published some scientific papers on worldwide.

Van Chien Nguyen

Van Chien Nguyen is a graduate of doctoral study at the Department of Economics of University of Colombo, Sri Lanka. He works for Thu Dau Mot University and his research interests are macroeconomics and finance.

Trong Nguyen Tran

Trong Nguyen Tran is a graduate of doctoral study at the Institute of Mathematics, is an institution of advanced research in mathematics, belonging to the Vietnam Academy of Science and Technology in Vietnam. He works for Academy of Policy and Development in Hanoi and specializes in macroeconomics, financial mathematics and public policy. He has published many reputed papers on the journals of mathematics, finance, and macroeconomics.