Abstract
This thesis examines the differential impact of oil price changes on the share returns of energy and non-energy firms listed on the Abu Dhabi Securities Exchange (ADX). Using an extended version of the Capital Asset Pricing Model (CAPM), the analysis incorporates market returns (represented by the ADX General Index), U.S. crude oil spot price (WTI), and trading volume as explanatory variables. The study examines six firms; three energy-related (TAQA, ADNOC Distribution, and Dana Gas) and three non-energy-related (Abu Dhabi Commercial Bank, Aldar Properties, and e&) over the period from January 2020 to December 2024. All variables, except returns, are used in logarithmic form.The findings reveal significant variation in the responsiveness of share returns to oil price fluctuations. While ADNOC and Dana Gas show a positive relationship with oil prices, TAQA’s returns are negatively affected. Among non-energy firms, ADCB and e& exhibit positive and significant oil sensitivities, while Aldar shows no meaningful response. These results suggest that oil price changes influence firm performance through both direct and indirect economic channels.
The study offers valuable insights for policymakers and investors in oil-dependent economies by emphasizing the importance of sector-specific strategies in response to oil market volatility. Limitations and directions for future research are also discussed. In summary, this thesis contributes to the literature by highlighting the differentiated impact of oil price changes on firm-level share returns in Abu Dhabi, suggesting that both direct and indirect effects of oil price movements must be carefully considered in investment, policy, and risk management decisions.
| Date of Award | Aug 2025 |
|---|---|
| Original language | American English |
| Supervisor | Albert Wijeweera (Supervisor) |
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