Shock and Volatility Transmission Between Oil Prices and Stock Returns: Case of Oil-Importing and Oil-Exporting Countries

2017 ◽  
pp. 111-122
Author(s):  
Nurul Nazurah Atu ◽  
Imbarine Bujang ◽  
Norlida Jaafar
Keyword(s):  
Stock Returns ◽  
Oil Prices ◽  
Volatility Transmission

scholarly journals Volatility Spillovers Between Oil Prices And Stock Returns: A Focus On Frontier Markets

2014 ◽  
Vol 30 (2) ◽  
pp. 509 ◽  
Author(s):  
Mathieu Gomes ◽  
Anissa Chaibi
Keyword(s):  
Stock Returns ◽  
Spillover Effect ◽  
Oil Prices ◽  
Portfolio Allocation ◽  
Transmission Mechanism ◽  
Volatility Transmission ◽  
Volatility Spillovers ◽  
Market Participants ◽  
The Mean ◽  
Allocation Decisions

Frontier markets are increasingly sought by investors in search of higher returns and low correlation with traditional assets. As such, it is important for financial market participants to understand the volatility transmission mechanism across these markets in order to make better portfolio allocation decisions. This paper employs a bivariate BEKK-GARCH(1,1) model to simultaneously estimate the mean and conditional variance between equity stock markets (twenty-one national frontier stock indices and two broad indices the MSCI Frontier Markets and the MSCI World) and oil prices. We examine weekly returns from February 8, 2008 to February 1, 2013 and find significant transmission of shocks and volatility between oil prices and some of the examined markets. Moreover, this spillover effect is sometimes bidirectional.

scholarly journals The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Begüm Yurteri Kösedağlı ◽  
Gül Huyugüzel Kışla ◽  
A. Nazif Çatık
Keyword(s):  
Stock Returns ◽  
Positive Impact ◽  
Structural Break ◽  
Oil Prices ◽  
Time Varying ◽  
Asset Pricing Model ◽  
Daily Data ◽  
Structural Break Test ◽  
The Impact ◽  
Oil Gas

AbstractThis study analyzes oil price exposure of the oil–gas sector stock returns for the fragile five countries based on a multi-factor asset pricing model using daily data from 29 May 1996 to 27 January 2020. The endogenous structural break test suggests the presence of serious parameter instabilities due to fluctuations in the oil and stock markets over the period under study. Moreover, the time-varying estimates indicate that the oil–gas sectors of these countries are riskier than the overall stock market. The results further suggest that, except for Indonesia, oil prices have a positive impact on the sectoral returns of all markets, whereas the impact of the exchange rates on the oil–gas sector returns varies across time and countries.

scholarly journals Economic uncertainty, oil prices, hedging and U.S. stock returns of the airline industry

2021 ◽  
Vol 57 ◽  
pp. 101388
Author(s):  
Wensheng Kang ◽  
Fernando Perez de Gracia ◽  
Ronald A. Ratti
Keyword(s):  
Stock Returns ◽  
Airline Industry ◽  
Oil Prices ◽  
Economic Uncertainty

scholarly journals A Note on ‘What Drives Share Prices in the Middle East?’

2008 ◽  
Author(s):  
Panos Priftakis ◽  
M. Ishaq Bhatti
Keyword(s):  
Middle East ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Predictive Ability ◽  
Oil Prices ◽  
Unobserved Components ◽  
Market Prices ◽  
Share Prices ◽  
Unobserved Components Model

There are several hypotheses suggesting that some properties of oil prices make it interesting to focus on the predictive ability of oil prices for stock returns. This paper reviews some models recently used in the literature and selects the most suitable one for measuring the relationships and/or linkages of oil prices to the stock markets of the selected five oil producing countries in the Middle East. In particular, the paper uses two methodologies to test for the presence of a cointegrating relationship between the two variables and an unobserved components model to find a relationship between the two variables. The results rejects convincingly that there is no linkage between the prices of oil and the stock market prices in these oil-based economies.  

scholarly journals Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico

2020 ◽  
Vol 16 (1) ◽  
pp. 1-15
Author(s):  
Rodrigo A. Morales Fernández Rafaelly ◽  
Roberto J. Santillán-Salgado
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Oil Prices ◽  
Oil Price ◽  
Price Effect ◽  
Stock Market Performance ◽  
Original Contribution ◽  
Bivariate Garch Model ◽  
The Relationship

This paper analyzes the relationship between the volatility of oil price and selected sectoral stock returns in Mexico (industrials, materials, financials and consumer discretionary) by implementing a Diagonal VECH-type bivariate GARCH model in order to estimate conditional covariances and correlations. The econometric results suggest that there exists a statistically significant relationship between sector indices, as well as between Mexico’s aggregate stock exchange returns, and variations in oil prices. Conditional correlations suggest that during most of the analyzed period, the relationship between oil price fluctuations and sectoral stock returns is positive. The recommendation, supported by these results, is that investors should take into consideration the interaction between the analyzed variables in order to generate more robust risk-hedge strategies. An important limitation for this work is information availability at sector level in the country. The original contribution of this paper lies mainly in the analysis of the influence of oil prices over sectoral indices of the Mexican Stock Exchange. These results provide more support to the current that suggests that a price increase in oil has a direct spillover effect on stock market performance.

Do Fine Wines Blend with Crude Oil? Seizing the Transmission of Mean and Volatility Between Two Commodity Prices

2013 ◽  
Vol 8 (1) ◽  
pp. 49-68 ◽  
Author(s):  
Elie I. Bouri
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Commodity Prices ◽  
Oil Prices ◽  
Multivariate Model ◽  
Volatility Transmission ◽  
Volatility Persistence ◽  
Crude Oil Prices ◽  
Risk Managers ◽  
Jel Classifications

AbstractThis study applies a multivariate model to examine the dynamics of mean and volatility transmission between fine wine and crude oil prices using daily observations from January 2004 to December 2011. The results suggest that the crude oil mean determines the wine market. In each series, volatility persistence is high and significant; innovations in each market seem to include figures that are valuable to risk managers seeking to predict volatility in other markets. During the financial crisis of 2008, wine and oil conditional volatilities climbed but then returned to their overall pre-crisis levels. (JEL Classifications: G11, G15, Q14, Q40)

scholarly journals Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model

PLoS ONE ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. e0218289 ◽  
Author(s):  
Muhammad Kamran Khan ◽  
Jian-Zhou Teng ◽  
Muhammad Imran Khan
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Oil Prices ◽  
Ardl Model ◽  
Asymmetric Impact

What do we know about oil prices and stock returns?

2018 ◽  
Vol 57 ◽  
pp. 148-156 ◽  
Author(s):  
Russell Smyth ◽  
Paresh Kumar Narayan
Keyword(s):  
Stock Returns ◽  
Oil Prices

scholarly journals Dynamic Interrelationship and Volatility Spillover among Sustainability Stock Markets, Major European Conventional Indices, and International Crude Oil

2020 ◽  
Vol 12 (9) ◽  
pp. 3908 ◽  
Author(s):  
Basel Maraqa ◽  
Murad Bein
Keyword(s):  
Crude Oil ◽  
Stock Returns ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Volatility Spillover ◽  
Socially Responsible ◽  
Crude Oil Prices ◽  
Daily Data ◽  
Oil Markets ◽  
The Global Financial Crisis

This study examines the dynamic interrelationship and volatility spillover among stainability stock indices (SSIs), international crude oil prices and major stock returns of European oil-importing countries (UK, Germany, France, Italy, Switzerland and The Netherlands) and oil-exporting countries (Norway and Russia). We employ the DCC-MGARCH model and use daily data for the sample period from 28 September 2001 to 10 January 2020. We find that the dynamic interrelationship between SSIs, stock returns of European oil importing/exporting countries and oil markets is different. There is higher correlation between SSIs and oil-importing countries, while oil-exporting countries have higher correlation with the oil market. Notably, the correlation between oil and stock returns became higher during and after the global financial crisis. This study also reveals the existence of significant volatility spillover between sustainability stock returns, international oil prices and the major indices of oil importing/exporting countries. These results have important implications for investors who are seeking to hedge and diversify their assets and for socially responsible investors.

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