Lost in Transmission? Stock Market Impacts of the 2006 European Gas Crisis


Oberndorfer, Ulrich ; Ulbricht, Dirk


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URL: http://ub-madoc.bib.uni-mannheim.de/1510
URN: urn:nbn:de:bsz:180-madoc-15106
Document Type: Working paper
Year of publication: 2007
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: G14 Q43 Q41 ,
Subject headings (SWD): Gasmarkt , Krise , Energieversorgung , Sicherheit , Aktienmarkt
Keywords (English): energy security , event study , gas crisis
Abstract: Around the turn of the year 2005/2006, the Russian freezing of natural gas exports to the Ukraine led to a European gas crisis. Using event study technique, we first investigate whether the Russian announcement of suspension of gas deliveries, this suspension itself as well as its withdrawal, had an effect on unsystematic volatility of European energy stocks. Secondly, we measure event effects on stock returns, taking volatility into account. Our results suggest that the announcement of the crisis and therefore a rise of Western Europe’s energy cost and risk tended to increase market expectations with respect to energy-related firms. In contrast, market uncertainty increased when Russia reopened its valves. One reason for these findings could be windfall profits of energy-related companies due to increasing resource and electricity prices. The existence of event-induced volatility confirms our methodological approach in order to test for abnormal returns.
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Oberndorfer, Ulrich ; Ulbricht, Dirk (2007) Lost in Transmission? Stock Market Impacts of the 2006 European Gas Crisis. Open Access [Working paper]
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