Did not Total, Lukoil Surgutneftegas, TNK-BP, France Russia participate Novatek US UK Exxon Mobil, BP, Shell, Chevron, Netherlands Eni, Conoco Phillips, Repsol, BG, Apache, Participated Spain Devon Energy, Anadarko, BHP Billiton, Australia Chesapeake Iraq war in 2003 Did not Total, Lukoil Surgutneftegas, TNK-BP, France Russia participate Novatek US UK Mobil, BP, Shell, Chevron, Netherlands Italy Eni, Conoco Phillips, Repsol, BG, Apache, Participated Spain Australia Devon Energy, Anadarko, BHP Billiton, Canada Chesapeake, CNR Libyan war in 2011 Did not Total, Lukoil Surgutneftegas, TNK-BP, France Russia participate Novatek The use of the event study method became common following the work of Fama et al. (1969). In this study, the market model of event study method is used to assess normal returns when events have not occurred as well as when abnormal return (AR)s arise following an event occurrence. In order to obtain a normal rate of return (i.e., as if the event had not occurred), we choose a 100-day estimation period from 120 to 21 days before the event. We assess the AR by specifying a 40-day event window from 20 days before to 20 days after the event (MacKinlay, 1997). For the analysis on the returns of IOCs by Middle East wars, we assess the abnormal return by specifying a 10-day event window from 5 days before to 5 days after the event and choose a 20-day estimation period from -25 to -5 days before the event. In addition to this, we separate event windows into several phases for a statistical test of cumulative average ARs (CARs), for example, into periods of 5, 10, 15, and 20 days after the event. The AR is estimated as follows by using the difference in the return (), which ex post
Did not participate France Russia Total, Lukoil Surgutneftegas, TNK-BP, Novatek Iraq war in 2003 Participated US UK Netherlands Spain Australia Exxon Mobil, BP, Shell, Chevron, Eni, Conoco Phillips, Repsol, BG, Apache, Devon Energy, Anadarko, BHP Billiton, Chesapeake Did not participate France Russia Total, Lukoil Surgutneftegas, TNK-BP, Novatek Libyan war in 2011 Participated US UK Netherlands Italy Spain Australia Canada Mobil, BP, Shell, Chevron, Eni, Conoco Phillips, Repsol, BG, Apache, Devon Energy, Anadarko, BHP Billiton, Chesapeake, CNR Did not participate France Russia Total, Lukoil Surgutneftegas, TNK-BP, Novatek The use of the event study method became common following the work of Fama et al. (1969). In this study, the market model of event study method is used to assess normal returns when events have not occurred as well as when abnormal return (AR)s arise following an event occurrence. In order to obtain a normal rate of return (i.e., as if the event had not occurred), we choose a 100-day estimation period from 120 to 21 days before the event. We assess the AR by specifying a 40-day event window from 20 days before to 20 days after the event (MacKinlay, 1997). For the analysis on the returns of IOCs by Middle East wars, we assess the abnormal return by specifying a 10-day event window from 5 days before to 5 days after the event and choose a 20-day estimation period from -25 to -5 days before the event. In addition to this, we separate event windows into several phases for a statistical test of cumulative average ARs (CARs), for example, into periods of 5, 10, 15, and 20 days after the event. The AR is estimated as follows by using the difference in the ex post return (), which
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