Table 2.
. Oil Exposures for Americas (1 Jan 2018−30 April 2020).This table reports the regression output of Eq. (2) in the Americas region. The top 25, bottom 25 non-financial and financial industries are presented in Panels A, B and C, respectively. The industries are ranked based on the slope coefficient on oil price return in Eq. (1). Sector returns are regressed on the five asset pricing factors of Fama and French (2015), as well as oil price returns and COVID-19 dummy. The sample period is from 1 January 2018 to 30 April 2020. Bolded figures indicate statistical significance at 10% level at least.
| Panel A: Non Financial Industries (Positive Exposure) | Panel B: Non Financial Industries (Negative Exposure) | Panel C: Financial industries (Top 25) | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Subsector | Oil | COVID19 | Oil* | Subsector | Oil | COVID19 | Oil* | Subsector | Oil | COVID19 | Oil* |
| COVID19 | COVID | COVID | |||||||||
| Oil Crude Production | 0.3062 | 0.0012 | –0.0186 | Airlines | –0.1279 | –0.0037 | 0.1077 | Mortgage Finance | –0.0086 | 0.0027 | 0.1549 |
| Oil Equipment & Services | 0.2639 | 0.0001 | –0.0091 | Household Equipment Products | –0.0324 | 0.0005 | –0.0247 | Investment Cos. | –0.0067 | 0.0020 | 0.1257 |
| Oil, Gas, Coal | 0.2259 | 0.0011 | –0.037 | Drug Retailers | –0.0340 | –0.0009 | –0.0084 | Closed End Inv. | –0.0067 | 0.0020 | 0.1257 |
| Energy | 0.2142 | 0.0011 | –0.0263 | Misc Consumer Staple | –0.0276 | 0.0007 | –0.0165 | Real Est.Hold,Dv | 0.0139 | –0.0018 | 0.0736 |
| Integrated Oil & Gas | 0.1745 | 0.0003 | –0.0071 | Toys | –0.0031 | –0.0041 | –0.0408 | Real Est.Inv.Svs | 0.0184 | 0.0004 | 0.0441 |
| Pipelines | 0.1586 | 0.0015 | 0.0209 | Defense | –0.0360 | –0.0009 | 0.0259 | Fin. Data Prov. | 0.0021 | 0.0013 | 0.0691 |
| General Mining | 0.1859 | 0.0011 | –0.0516 | Multi utilities | –0.0445 | –0.0009 | 0.0487 | Hotel,Lodge REIT | –0.0124 | –0.0010 | 0.0926 |
| Chemicals Synthetic Fibers | 0.1152 | –0.0021 | 0.0125 | Apparel Retailer | –0.0141 | 0.0013 | –0.0023 | Div. Fin. Svs | 0.0059 | –0.0007 | 0.0537 |
| Copper | 0.2018 | 0.0037 | –0.1570 | Health Care Services | –0.0072 | 0.0003 | –0.0138 | Fin. Credit Svs | –0.0049 | 0.0013 | 0.0717 |
| Marine Transport | 0.1363 | 0.0012 | –0.0346 | Recreational Services | –0.0738 | 0.0011 | 0.1139 | Mge REITs: Comm. | –0.0367 | 0.0001 | 0.1306 |
| Plastics | 0.1018 | –0.0008 | 0.0082 | Drug/Grocery Stores | –0.0206 | –0.0011 | 0.0165 | Mge REITs: Resid | –0.0360 | –0.0002 | 0.1228 |
| Nonferrous Metal | 0.214 | 0.0029 | –0.2060 | Container & Packaging | –0.0236 | 0.0009 | 0.0234 | Real Est.Service | 0.0160 | 0.0021 | 0.0249 |
| Industrial Metal, Mining | 0.1613 | 0.0022 | –0.1226 | Delivery Service | –0.0019 | 0.0002 | –0.0161 | Divers REITs | –0.0152 | –0.0009 | 0.0793 |
| Alternative Energy | 0.1198 | 0.0033 | –0.0513 | Soft Drinks | –0.0268 | –0.0013 | 0.0314 | Mortgage REITs | –0.0318 | 0.0000 | 0.0998 |
| Alternative Fuels | 0.1036 | 0.0044 | –0.0221 | Tobacco | –0.0261 | –0.0013 | 0.0314 | Insur Brokers | –0.0200 | 0.0003 | 0.0738 |
| Precious Metal, Mining | 0.1237 | 0.0039 | –0.0600 | Home Improvement Retailers | –0.0462 | 0.0025 | 0.0693 | Health Care REIT | –0.0551 | –0.0008 | 0.1393 |
| Basic Resources | 0.1274 | 0.0026 | –0.0743 | Waste & Disposal Services | –0.0379 | –0.0003 | 0.0561 | Retail REITs | –0.0603 | –0.0013 | 0.1470 |
| Gold Mining | 0.0946 | 0.0035 | –0.0164 | Distillers Vintners | –0.0224 | –0.0004 | 0.0284 | Fin. Services | –0.0114 | 0.0013 | 0.0535 |
| Commercial Vehicle Lease | 0.0726 | 0.0031 | 0.0227 | Aero/Defence | –0.0238 | –0.0013 | 0.0312 | Infrastr. REITs | –0.0183 | –0.0002 | 0.0654 |
| Platinum Precious Metal | 0.1280 | 0.0037 | –0.0814 | Pharmaceuticals | –0.0275 | –0.0006 | 0.0391 | Full Line Insur | –0.0122 | –0.0005 | 0.0507 |
| Renewable Energy Equipment | 0.1200 | 0.0037 | –0.0678 | Pharmaceuticals & Biotech | –0.0246 | –0.0003 | 0.0342 | Inv. Bank,Broker | –0.0141 | 0.0011 | 0.0525 |
| Building & Plumbing | 0.0523 | 0.0034 | 0.0568 | Nondurable Household Products | –0.0117 | –0.0002 | 0.0104 | Banks | –0.0097 | 0.0013 | 0.0427 |
| Oil Refinery Marketing | 0.0490 | 0.001 | 0.0620 | Biotechnology | –0.0196 | 0.0006 | 0.0257 | Consumer Lending | –0.0204 | 0.0000 | 0.0547 |
| Electronic Office Equipment | 0.0373 | –0.0023 | 0.0830 | Conventional Electricity | –0.0381 | –0.0011 | 0.0608 | Asset Mngr, Cust | –0.0039 | 0.0032 | 0.0226 |
| Machinery Constructions | 0.1166 | 0.001 | –0.0684 | Water | –0.0232 | –0.0011 | 0.0348 | Life Insurance | -0.0063 | 0.0021 | 0.0258 |