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The liquidity of energy stocks

Author

Listed:
  • Sklavos, Konstantinos
  • Dam, Lammertjan
  • Scholtens, Bert
Abstract
This study investigates the dynamics of stock market liquidity in the energy industry in the US for 130 firms for the period 2006–2011. We use a (structural) vector autoregression approach to model the simultaneous relationships between three liquidity measures, namely turnover, price impact and spread. In addition, we account for oil prices in this model. The liquidity measures exhibit a persistent (highly autocorrelated) pattern. The intensity of trading appears to be relevant for the interrelationships of the liquidity measures. Stocks that are traded more often seem to be less sensitive to changes in liquidity. The main contribution of this study is that we introduce and test a specific causality pattern between trading activity, price impact, and spreads of energy stocks. This causality pattern is stronger during illiquid periods, which makes these periods much more risky.

Suggested Citation

  • Sklavos, Konstantinos & Dam, Lammertjan & Scholtens, Bert, 2013. "The liquidity of energy stocks," Energy Economics, Elsevier, vol. 38(C), pages 168-175.
    • Handle: RePEc:eee:eneeco:v:38:y:2013:i:c:p:168-175
    DOI: 10.1016/j.eneco.2013.02.015
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Shin S. Ikeda, 2015. "Illiquidity in the Japanese Day-Ahead Electricity Market," GRIPS Discussion Papers 15-04, National Graduate Institute for Policy Studies.
    2. Jang-Chul Kim & Qing Su, 2024. "Political ratings, government quality, and liquidity: evidence from Non-U.S. energy stocks listed on the NYSE," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 48(3), pages 614-643, September.
    3. Priyanka Naik & B G Poornima & Y V Reddy, 2020. "Measuring liquidity in Indian stock market: A dimensional perspective," PLOS ONE, Public Library of Science, vol. 15(9), pages 1-17, September.
    4. Qin Zhang & Jin Boon Wong, 2023. "The influence of oil price uncertainty on stock liquidity," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 141-167, February.
    5. Priyanka Naik & Y. V. Reddy, 2021. "Stock Market Liquidity: A Literature Review," SAGE Open, , vol. 11(1), pages 21582440209, January.
    6. Ben Ammar, Semir & Eling, Martin, 2015. "Common risk factors of infrastructure investments," Energy Economics, Elsevier, vol. 49(C), pages 257-273.
    7. Zheng, Xinwei & Su, Dan, 2017. "Impacts of oil price shocks on Chinese stock market liquidity," International Review of Economics & Finance, Elsevier, vol. 50(C), pages 136-174.
    8. Efstathios Panayi & Gareth Peters & Ioannis Kosmidis, 2014. "Liquidity commonality does not imply liquidity resilience commonality: A functional characterisation for ultra-high frequency cross-sectional LOB data," Papers 1406.5486, arXiv.org.
    9. Qin Zhang & Jin Boon Wong, 2022. "Do oil shocks impact stock liquidity?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 472-491, March.
    10. Harish Kamal & Samit Paul, 2024. "Liquidity‐adjusted value‐at‐risk using extreme value theory and copula approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1747-1769, September.
    11. Sabet, Amir H. & Heaney, Richard, 2015. "Bid-ask spread, information asymmetry and acquisition of oil and gas assets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 77-84.
    12. Prodromou, Tina & Demirer, Riza, 2022. "Oil price shocks and cost of capital: Does market liquidity play a role?," Energy Economics, Elsevier, vol. 115(C).

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    More about this item

    Keywords

    Liquidity; Energy stocks; Oil returns; US;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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