2007 oil spike
DESCRIPTION
This is a presentation on the 2007 Oil Spike as it relates to the efficiency of capital markets. It analyzes the spike as it compares to several market indexes, as well as several industry indexes. This presentation explores correlations and effects of the spike.TRANSCRIPT
The Oil Crisis
Presented by:
Max Snitkovsky
Chris Zientek
March 18th, 2009
Hypothesis
• H0: β1≈ β2
– Where β1= Correlation of oil prices and DJIA between 1986-present
– Where β2= Correlation of oil prices and DJIA between January 2007- July 2008
• The correlation between oil prices and stock market prices during incline of the oil spike are similar to the historical correlation
β=-.05R Squared= .002
Gulf War
Oil Oversupply
Southwest Hedging
• 2007 was 95% hedged at $50/barrel
• 2008 was 65% hedged at $49/barrel
• 2009 is over 50% hedged at $51/barrel
• 2010 is over 25% hedged at $63/barrel
• 2011 is over 15% hedged at $64/barrel
• 2012 is 15% hedged at $63/barrel
Percentage Price Changes
1986 - present
β= -.013R Squared= .0006
β=.044R Squared= .0039
Questions?