Results from a market model augmented for an oil factor suggest that this element does not affect every industry. The oil factor impact can be both concurrent and lagged, suggesting that new information derived
from oil prices is sometimes incorporated immediately in equity prices when the impact is concurrent, and sometimes not when the impact is lagged. Apart from the Oil & Gas industry, all significantly affected returns respond negatively to oil price shocks and there appears to be some cross-country similarity. The application of GARCH modelling permitted the derivation of real oil price volatility which was then incorporated into a GARCH model for stock returns to assess whether oil volatility has explanatory power on equity returns' volatility. In general, higher oil volatility was found to lead to higher risk for impacted industry equity returns.