Do Oil and Gas Risk Factors Matter in the Malaysian Oil and Gas Industry? A Fama-MacBeth Two Stage Panel Regression Approach
Abstract
:1. Introductions
2. Stylized Facts
3. Methodology
3.1. Empirical Methods
3.2. Dataset
4. Empirical Results
5. Discussion
5.1. Common Risk Factors
5.2. Oil and Gas Risk Factors
5.3. Additional Analysis with Time Series Approach
6. Summary and Concluding Remarks
Author Contributions
Funding
Conflicts of Interest
References
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Company | Change in 2014 EPS (%) | Change in 2014 Stock Price (%) | Change in 2015 EPS (%) | Change in 2015 Stock Price (%) | Change in 2016 EPS (%) | Change in 2016 Stock Price (%) | Change in 2017 EPS (%) | Change in 2017 Stock Price (%) |
---|---|---|---|---|---|---|---|---|
Alam Maritim Resources | −16.4 | −50.6 | −11.2 | −33.4 | −6.5 | −29.9 | −0.17 | −30 |
Bumi Armada | −4.7 | −50.5 | −4.8 | −6.9 | −0.7 | −26.5 | −0.06 | 26.6 |
Dayang Enterprise Holdings | −3.9 | −22.3 | −2.1 | −51.3 | −2.4 | −16.1 | −0.04 | 30 |
Icon Offshore | 3.1 | −56.2 | −2.3 | −33.3 | −8.9 | −25.4 | −0.07 | −23.3 |
Uzma | −0.5 | −54.1 | 6.3 | 16.7 | 18.4 | −5.5 | 0.05 | −10.3 |
Petronas Dagangan | −10.9 | −43.33 | −14.00 | −40.0 | −12.2 | −8.5 | 1.15 | 5.03 |
Perisai Petroleum Teknologi | −43.2 | −59.3 | −6.9 | −52.8 | −3 | −66.6 | −0.36 | −6 |
SapuraKencana Petroleum | −2.5 | −52.65 | −1.8 | −12.9 | 0.3 | −19.8 | −4.47 | −52.14 |
Scomi Energy Services | −5.4 | −30.1 | −2.5 | −51 | 0 | −52.6 | 0.09 | 18.75 |
UMW Oil & Gas Corp | −1.6 | −8.5 | 1.5 | −35 | −3.2 | −41.19 | −0.04 | 13.8 |
TH Heavy Engineering | −39.0 | −65.9 | −17.1 | −43.33 | −25.8 | −20.5 | −0.15 | −23.1 |
Panel A: Sub-Industry | |||||||
Oil & Gas Drilling | Oil & Gas Equipment and Services | Oil & Gas Refining and Marketing | Oil & Gas Storage and Transportation | Oil & Gas Exploration and Production | Coal & Consumable Fuels | Gas Utilities | |
Mean | −0.009 | 0.007 | 0.002 | 0.003 | 0 | −0.001 | 0.002 |
SD | 0.483 | 0.229 | 0.36 | 0.164 | 0.347 | 0.424 | 0.145 |
Skewness | −0.091 | 0.949 | 1.233 | 0.375 | 1.195 | 0.556 | 0.216 |
Kurtosis | 10.262 | 6.965 | 13.028 | 6.437 | 8.356 | 4.45 | 6.7 |
Jarque-Bera test | 479.366 | 335.74 | 1853.016 | 215.001 | 597.669 | 25.038 | 241.089 |
p-value | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
PP | −15.98 *** | −17.08 *** | −18.48 *** | −19.62 *** | −12.40 *** | −23.25 *** | −15.98 *** |
ADF | −6.56 *** | −10.58 *** | −18.53 *** | −19.02 *** | −12.39 *** | −23.47 *** | −6.56 *** |
Panel B: Risk Factors | |||||||
MKT | SMB | HML | WML | OIL | LNG | EX | |
Mean | 0 | 0.009 | 0.014 | 0.069 | 0 | 0.007 | 0.001 |
SD | 0.093 | 1.295 | 1.699 | 0.446 | 0.3 | 0.932 | 0.08 |
Skewness | −0.165 | −1.69 | 6.407 | −1.072 | −0.262 | 5.443 | 0.113 |
Kurtosis | 4.964 | 21.211 | 84.344 | 8.455 | 4.486 | 61.142 | 5.232 |
Jarque-Bera test | 68.899 | 5960.437 | 117821.5 | 596.94 | 43.143 | 60794.96 | 87.469 |
p-value | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
PP | −20.43 *** | −22.01 *** | −20.22 *** | −20.00 *** | −12.09 *** | −19.95 *** | −20.43 *** |
ADF | −23.29 *** | −23.31 *** | −22.08 *** | −20.57 *** | −20.55 *** | −20.53 *** | −23.29 *** |
Market | SMB | HML | WML | OIL | LNG | FOREX | |
---|---|---|---|---|---|---|---|
1 | −0.009 * | 0.282 ** | 0.218 ** | 0.281 *** | 0.044 | −0.199 ** | Market |
1 | −0.301 ** | −0.196 ** | 0.177 ** | 0.090 * | −0.092 * | SMB | |
1 | 0.221 ** | 0.188 ** | 0.004 | −0.186 ** | HML | ||
1 | 0.331 ** | 0.207 ** | −0.208 ** | WML | |||
1 | 0.116 * | −0.442 ** | OIL | ||||
1 | 0.076 * | LNG | |||||
1 | FOREX |
Constant | MKT | SMB | HML | WML | R-Square | F Value | DW | Hausman Test | LM Test | |
---|---|---|---|---|---|---|---|---|---|---|
Panel A: Fama-MacBeth Cross-Sectional Regression | ||||||||||
Excess Returns | 0.002 (2.01) ** | −0.112 (−6.10) *** | −0.023 (−1.99) * | −0.188 (−2.08) ** | −0.090 (−2.73) ** | 0.0982 | 5.78 ** | |||
Panel B: Pooled Regression | ||||||||||
Excess Returns | 0.003 (1.96) ** | −0.099 (13.11) *** | −0.018 (−1.75) * | −0.186 (−1.94) * | −0.090 (−3.66) *** | 0.1067 | 10.22 *** | 1.88 | ||
Panel C: Fama-MacBeth Panel Regression (Random Effects) | ||||||||||
Excess Returns | 0.003 (1.96) ** | −0.096 (−11.03) *** | −0.019 (−1.77) * | −0.114 (−2.11) ** | −0.088 (−2.96) ** | 0.1077 | 12.85 *** | 1.93 | 3.21 | 3.32 *** |
Constant | MKT | SMB | HML | WML | OIL | GAS | EX | R-Square | F Value | DW | Hausman Test | LM Test | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Panel A: Fama-MacBeth Cross-Sectional Regression | |||||||||||||
Excess Returns | −0.039 (−4.73) *** | −0.0311 (−3.27) *** | −0.019 (−1.73) * | −0.115 (−1.97) ** | −0.031 (−2.21) *** | 0.079 (2.19) ** | 0.199 (3.66) *** | 0.013 (2.09) ** | 0.1605 | 8.89 ** | |||
Panel B: Pooled Regression | |||||||||||||
Excess Returns | 0.001 (1.35) | −0.0831 (12.96) *** | −0.004 (−0.20) | −0.014 (−2.17) ** | −0.005 (−3.10) *** | 0.021 (2.29) ** | 0.010 (2.08) ** | 0.001 (2.01) ** | 0.1860 | 15.80 *** | 1.84 | ||
Panel C: Fama-MacBeth Panel Regression (Random Effects) | |||||||||||||
Excess Returns | 0.001 (1.35) | −0.083 (−10.34) *** | −0.012 (−0.47) | −0.007 (−2.01) ** | −0.0025 (−2.22) ** | 0.021 (1.99) ** | 0.008 (1.97) ** | 0.024 (2.25) ** | 0.1644 | 21.08 *** | 1.95 | 3.50 | 2.88 *** |
Constant | MKT | SMB | HML | WML | OIL | LNG | EX | Alpha (0) | Alpha (1) | Beta (1) | DW | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Oil & gas drilling | −0.006 (−3.87) *** | 1.239 (7.11) *** | 0.017 (2.80) *** | 0.008 (1.19) | −0.008 (−2.97) *** | 0.001 (1.96) ** | 0.027 (1.21) | 0.323 (2.01) ** | 9.8E−05 (0.88) | 0.108 (1.68) * | 0.843 (10.44) *** | 1.96 |
Oil & gas equipment services | 0.002 (1.89) * | 1.044 (12.10) *** | 0.027 (3.89) *** | 0.020 (3.07) *** | −0.001 (1.02) | 0.085 (2.96) *** | 0.003 (2.32) *** | 0.075 (1.97) ** | 4.7E−05 (1.82) * | 0.136 (2.14) ** | 0.816 (12.6) *** | 2.01 |
Oil & gas refining marketing | 2.0E−05 (0.03) | 0.340 (7.24) *** | −0.005 (−1.04) | 0.001 (0.03) | 2.1E−05 (0.02) | 0.004 (1.99) ** | 0.001 (1.62) | 0.115 (1.97) ** | 1.2E−05 (1.52) | 0.129 (2.61) *** | 0.861 (18.19) *** | 2.10 |
Oil & gas storage transportation | 0.002 (2.91) *** | 1.019 (5.78) *** | 0.562 (6.13) *** | 0.510 (7.00) *** | −0.491 (−1.88) * | 0.094 (2.02) ** | 0.011 (0.69) | 0.090 (2.33) *** | 2.01E−05 (−1.52) | 0.066 (1.99) ** | 0.603 (12.59) ** | 1.99 |
Oil & gas exploration production | −0.003 (−2.16) ** | 0.761 (7.06) *** | 0.017 (2.30) ** | 0.301 (5.13) *** | 0.014 (1.58) | 0.113 (3.33) *** | 0.002 (2.02) ** | 0.099 (2.79) *** | 8.7E−05 (1.96) ** | 0.119 (2.49) ** | 0.845 (16.68) *** | 1.94 |
Coal & consumable fuels | −0.004 (−1.49) | 0.851 (3.89) *** | 0.690 (2.21) ** | −0.005 (−0.76) | −0.002 (−0.52) | 0.108 (1.97) ** | 0.103 (2.09) ** | 0.362 (1.86) * | 0.003 (1.98) ** | 0.229 (1.41) | 0.716 (5.08) *** | 1.89 |
Gas utilities | 0.009 (1.42) | 0.501 (9.71) *** | −0.002 (−0.72) | −0.002 (−0.59) | 0.002 (1.31) | −0.048 (−2.46) *** | −0.037 (−1.98) ** | −0.243 (−3.82) *** | 1.7E−05 (−1.472) | 0.046 (1.46) | 0.90 (16.27) *** | 2.22 |
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Hoque, M.E.; Low, S.W.; Zaidi, M.A.S. Do Oil and Gas Risk Factors Matter in the Malaysian Oil and Gas Industry? A Fama-MacBeth Two Stage Panel Regression Approach. Energies 2020, 13, 1154. https://doi.org/10.3390/en13051154
Hoque ME, Low SW, Zaidi MAS. Do Oil and Gas Risk Factors Matter in the Malaysian Oil and Gas Industry? A Fama-MacBeth Two Stage Panel Regression Approach. Energies. 2020; 13(5):1154. https://doi.org/10.3390/en13051154
Chicago/Turabian StyleHoque, Mohmmad Enamul, Soo Wah Low, and Mohd Azlan Shah Zaidi. 2020. "Do Oil and Gas Risk Factors Matter in the Malaysian Oil and Gas Industry? A Fama-MacBeth Two Stage Panel Regression Approach" Energies 13, no. 5: 1154. https://doi.org/10.3390/en13051154