Macquarie University
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The impact of market participants’ behaviour on stock, derivatives and energy markets

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posted on 2023-02-24, 02:37 authored by Qin Zhang

This thesis examines the market behaviour of participants in stock, derivative and energy markets to analyse their reactions around exogenous events and factors that the extant literature considers material. The analysis focuses on three key markets and contributes to the literature in each relevant area by extending knowledge on the impact of corporation reputation risks on stock performance, the influence of international energy prices on investors in various industries and the effect of policy uncertainty on pricing behaviour in electricity wholesale markets. The first of three papers in the thesis fills a gap in the knowledge of corporate social responsibility and corporate financial performance by examining how investors (an essential stakeholder class) react to increases in corporate reputation risks in US-listed companies from undesirable environmental, social and corporate governance activities that are illuminated in media reporting. Results from this study using 331,517 US observations indicate that reputation risks have a significant impact on the stock performance of affected firms and the magnitude of investor reactions is dependent on firm characteristics such as size, liquidity and industry classification. The second paper examines the impact of major international energy prices on industries in China, one of the largest global importers and consumers of energy commodities. Using firm-level data of 3750 stock listings across both the Shanghai and Shenzhen stock exchanges, segregated into 138 subindustries under the Global Industry Classification Standard, this study provides a comprehensive analysis of aggregated industry behaviour in relation to the price movements of Brent and WTI crude oil futures, Henry Hub natural gas and Newcastle thermal coal. The research provides empirical evidence that crude oil futures have the most influence on Chinese industries and further analysis suggests that China’s key oil pricing reform on 27 March 2013 has more closely aligned market behaviour to international oil benchmarks. The third paper analyses the impact of energy policy on electricity generation and pricing behaviour in Australia. This research focuses on the impact of introducing a carbon-pricing mechanism (i.e. a ‘carbon tax’) on wholesale electricity markets and how energy policy uncertainty affects generation behaviour. Empirical evidence suggests the carbon tax significantly increased wholesale electricity costs during the two-year regime, after controlling for relevant variables such as local region demand, supply, price volatility, monopolistic characteristics, supply and interregional factors. In addition, there are indications that policy uncertainty may have reduced generation capacity and increased wholesale electricity prices.


Table of Contents

Chapter 1: Introduction -- Chapter 2: Literature Review -- Chapter 3: Does Environmental, Social and Governance Reputation Matter? Evidence from Financial Markets -- Chapter 4: The Impact of International Energy Prices on China’s Industries -- Chapter 5: The Impact of Energy Policy on Electricity Generation and Prices: Evidence from Australia -- Chapter 6: Conclusion

Awarding Institution

Macquarie University

Degree Type

Thesis PhD

Department, Centre or School

Department of Applied Finance

Year of Award


Principal Supervisor

Michael Aitken


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143 pages