Oil price volatility and stock returns: Evidence from three oil‐price wars

This study examines how crude oil price volatility affected the stock returns of major global and gas corporations during three oil-price wars that took place between October 1991 June 2020. Episodes considered include 1998 Saudi Arabia – Venezuela war, 2014–2016 conflict 2020 Russia war in a time unprecedented crisis caused by COVID-19 pandemic. The persistence prices times specific is captured through generalized autoregressive conditional heteroscedasticity (GARCH) model while leverage effect tested using threshold (T-GARCH) model. Moreover, vector (VAR) employed to consider relationship shocks corporations. Our findings reveal significant evidence for effects wars. These are consistent WTI as well Brent specifications. Though similar previous two wars, has higher spikes than Besides, have positive on companies. provide investors information also sensitive irregular events such producers. can be important economic agents contemplating shorter hedges managing risks high volatility.