STOCK PRICE AND ENERGY PRICE: A DISAGGREGATE ANALYSIS
This paper investigates the impact of oil price on the stock returns of eight economic sectors namely; Construction (CON), Consumer (CSU), Finance (FIN), Industrial (IND), Plantation (PLN), Property (PRP), Services (SER), and Mining (MIN). By employing the Augmented Capital Asset Pricing Model (A-CAPM), two tests were conducted. The first tests on symmetric relationship while the second detects the presence of an asymmetric relationship. The estimated results from Test 1 documented insignificant results in all sector analyses. These findings signified that the stock returns were not exposed to oil price shocks. The estimated results of Test 2 indicated the presence of one significant result in industrial (IND) analysis. In particular, the returns of the IND sector were negatively exposed to change in oil price, and it was more significant during periods of oil price increased. In other word, the event of oil
price increased significantly reduced the returns of the IND sector.
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