Using monthly data from January 2000 to August 2018, this paper examines how the Canadian oil and gas industry individual firms’ equity prices react price fluctuations, which are measured by traditional West Texas Intermediate (WTI) benchmark Canada-specific Western Select (WCS) benchmark. The findings provide support for view that movements an important factor in explaining returns of overall ...

Utilising a time-varying GAR (1)-TGARCH (1,1) model with different frequency data, we investigate the weak-form efficiency of major global crude oil spot markets in Europe, the US, the UAE and China for the period from December 2001 to August 2013. Our empirical results with weekly data indicate that all four markets have reached efficiency with few brief inefficient periods during the past dec...

The presence of nonlinear influences in the relationship between stock returns and the macroeconomy is examined for six countries. The markets chosen are Canada, France, Germany, Japan, U.K. and the U.S. Nonlinearity is accounted for via regime switching using a smooth transition regression (STR) model with the world market return as the transition variable. There is evidence of nonlinearity in...