• ISSN: 2301-3567
    • Frequency: Quarterly (2013-2014); Monthly (Since 2015)
    • DOI: 10.18178/JOEBM
    • Editor-in-Chief: Prof. Eunjin Hwang
    • Executive Editor: Ms. Chloe Wu
    • Abstracting/ Indexing: Engineering & Technology Library,  Electronic Journals Library, Ulrich's Periodicals Directory, MESLibrary, Google Scholar, Crossref, and ProQuest.
    • E-mail: joebm@ejournal.net
JOEBM 2013 Vol.1(4): 385-390 ISSN: 2301-3567
DOI: 10.7763/JOEBM.2013.V1.83

Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect

Hawati Janor, Aisyah Abdul-Rahman, Ehsan Housseinidoust, and Ruzita Abdul Rahim
Abstract—This study examines the impact of oil price volatility on firm performance in the context of an emerging market, Malaysia. The effect of crude oil price on the performance is examined for the period of January 1986 to December 2011 using GARCH and EGARCH models reflecting the evaluation on volatility and asymmetric effects. Results indicate the significant effect of oil price volatility on stock market volatility and also the asymmetric effects. For policy makers, the findings help to clarify the dilemma of whether the government should subsidize or totally depend on global oil prices in ensuring the sustainability and competitiveness of Malaysian companies. In addition, the results may assist businessmen in managing cost structures in the event of rising oil prices in relation to both short term and long term planning and provide investors with a better picture of the exposure to oil price risks when investing in Malaysian companies.

Index Terms—Asymmetric effect, firm performance, oil price, volatility.

Hawati Janor is with the Finance, Financial Services and Risk Management Department, Faculty of Economics and Management, National University of Malaysia, 43600, UKM Bangi, Selangor, Malaysia (e-mail: hawati@ukm.my).
Aisyah Abdul Rahman and Ruzita Abdul Rahim are with the Finance and Risk Management and Insurance Department, Faculty of Economics and Management, National University of Malaysia, 43600, UKM Bangi, Selangor, Malaysia (e-mail: eychah@ukm.my, ruzitaar@ukm.my).
Ehsan Housseinidoust is with the Faculty of Economics and Management, National University of Malaysia, 43600, UKM Bangi, Selangor, Malaysia.

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Cite:Hawati Janor, Aisyah Abdul-Rahman, Ehsan Housseinidoust, and Ruzita Abdul Rahim, "Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect," Journal of Economics, Business and Management vol. 1, no. 4, pp. 385-390, 2013.

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