Chulalongkorn University Theses and Dissertations (Chula ETD)

Year (A.D.)


Document Type

Independent Study

First Advisor

Narapong Srivisal


Faculty of Commerce and Accountancy (คณะพาณิชยศาสตร์และการบัญชี)

Department (if any)

Department of Banking and Finance (ภาควิชาการธนาคารและการเงิน)

Degree Name

Master of Science

Degree Level

Master's Degree

Degree Discipline





This paper extends the understanding of an impact of oil prices on stock market and financial performance of oil and gas firms over the past decade. Firstly, this paper investigates the impact of crude oil, petroleum and petrochemical prices on accounting measures of firm performance using a sample of refinery and petrochemical firms in Thailand. Secondly, it examines whether these commodity prices are an essential factors in explaining abnormal returns. The findings show that the price of crude oil and petrochemicals positively and significantly affect firm profitability performance as represented by Gross Integrated Margin (GIM), return on equity (ROE), and return on asset (ROA). Although commodity prices drive the firm's profitability, these commodity prices have a negative impact on abnormal returns. Investors tend to obtain lower abnormal returns during the period of high commodity prices. On the contrary, they tend to earn higher abnormal returns when the prices fall. This study seeks to advance knowledge in oil price and firm performance by considering the impact of output prices. Also, exploring the implications for investors when making investment decisions in the stock market. Investors have no incentive to invest in refinery and petrochemical stocks when the commodity price rises since they would not earn a higher abnormal return.



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