Asymmetric effects of oil shocks on stock market returns in Saudi Arabia: evidence from industry level analysis

2017 ◽  
Vol 51 (3) ◽  
pp. 595-619 ◽  
Author(s):  
Sunil K. Mohanty ◽  
Joseph Onochie ◽  
Abdulrahman F. Alshehri
Keyword(s):  
Saudi Arabia ◽  
Stock Market ◽  
Oil Shocks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Asymmetric Effects ◽  
Industry Level ◽  
Level Analysis

scholarly journals Dynamic Spillovers between Gulf Cooperation Council’s Stocks, VIX, Oil and Gold Volatility Indices

2020 ◽  
Vol 13 (4) ◽  
pp. 69 ◽  
Author(s):  
Abdullah Alqahtani ◽  
Julien Chevallier
Keyword(s):  
Saudi Arabia ◽  
Stock Market ◽  
Stock Returns ◽  
Gulf Cooperation Council ◽  
Oil Shocks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Gcc Countries ◽  
Conditional Correlations ◽  
Garch Modeling

This paper analyzes the conditional correlations between the stock market returns of countries that are members of the Gulf Cooperation Council (GCC). The innovative aspects of the paper consist of focusing on three volatility indices: the oil (OVX), gold (GVZ), and S&P500 (VIX) markets (considered in log-difference). We use weekly data and resort to DCC-GARCH modeling. The novelty of the paper consists in revealing that: (i) GCC stock market returns are negatively correlated with each of the volatility measures, and the correlations are stronger during crisis periods; (ii) GCC stock returns are mostly correlated with oil shocks; and (iii) Saudi Arabia and Qatar are the most responsive to all shocks among the GCC countries, while Bahrain correlates weakly to shocks in oil, gold, and VIX. The most striking results feature extra sensitivity of Saudi Arabia and Qatar in terms of volatility indices, which should be the foremost concern of policymakers and banking analysts.

Crude oil shocks and stock market returns

2009 ◽  
Vol 19 (4) ◽  
pp. 291-303 ◽  
Author(s):  
Babatunde Olatunji Odusami
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Oil Shocks ◽  
Market Returns ◽  
Stock Market Returns

scholarly journals US Economic Policy Uncertainty and GCC Stock Market Performance

2020 ◽  
Vol 15 (1) ◽  
pp. 223-242
Author(s):  
Saeed Abdullah
Keyword(s):  
Economic Policy ◽  
Saudi Arabia ◽  
Stock Market ◽  
Policy Uncertainty ◽  
Market Returns ◽  
Stock Market Returns ◽  
Economic Policy Uncertainty ◽  
Gcc Countries ◽  
Stock Market Performance ◽  
Economy Policy

AbstractThe study evaluates the effect of economy policy uncertainty of US on gulf cooperation council (GCC) countries’ stock market returns. The GCC countries are Saudi Arabia, Qatar, UAE, Kuwait, Bahrain and Oman. Granger Causality Tests (GCT) was done primarily to evaluate if economy policy uncertainty granger cause on GCC stock market returns. The analysis established that oil prices granger cause stock market returns for Saudi Arabia, Kuwait and UAE; the same is not true on changes in economic policy uncertainty of US cause on the stock market returns. Changes in economy policy uncertainty in US granger causes on stock market returns of Bahrain. On the other hand, economy policy uncertainty in US does not cause stock market returns in Qatar, UAE, Kuwait and Saudi Arabia. Vector Autoregression (VAR) analysis establishes that economy policy uncertainty in US negatively responds to the stock market returns of the GCC countries.

Impact of Oil Price on Australian Stock Market Returns

2018 ◽  
Vol 21 (03) ◽  
pp. 1850018 ◽  
Author(s):  
Hui Li ◽  
Raul Paraco
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Oil Price ◽  
Lower Sensitivity ◽  
Positive Trend ◽  
Oil Shocks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Industrial Sectors ◽  
Asymmetrical Effect

We observe a positive correlation between an oil price factor and the All Ordinaries Index of the Australian stock market. Furthermore, an asymmetrical effect is observed when the sample is divided into sub-periods. A more pervasive stock market response is observed when the price of oil displays a positive trend. We also study the influence of oil shocks on the stock returns of specific Australian industries. As expected, the energy and material sectors exhibit a positive response to oil disturbances, whereas the financial and industrial sectors show a negative relation to oil shocks. The utility and consumer discretionary sectors exhibit a lower sensitivity to oil shocks.

Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets

2019 ◽  
Vol 22 (01) ◽  
pp. 1950003
Author(s):  
Willy Alanya ◽  
Gabriel Rodríguez
Keyword(s):  
Stock Market ◽  
Stochastic Volatility ◽  
Likelihood Inference ◽  
Market Returns ◽  
Stock Market Returns ◽  
Asymmetric Effects ◽  
Daily Data ◽  
Reserve Bank ◽  
Market Shocks ◽  
Best Fit

Asymmetric autoregressive conditional heteroskedasticity (EGARCH) models and asymmetric stochastic volatility (ASV) models are applied to daily data of Peruvian stock and Forex markets for the period of 5 January 1998–30 December 2011. Following the approach developed in [Omori, Y, S Chib, N Shephard and J Nakajima (2007). Stochastic volatility with leverage: Fast likelihood inference. Journal of Econometrics, 140, 425–449], Bayesian estimation tools are used with Normal and [Formula: see text]-Student errors in both models. The results suggest the significant presence of asymmetric effects in both markets. In the stock market, negative shocks generate higher volatility than positive shocks. In the Forex market, shocks related to episodes of depreciation create higher uncertainty in comparison with episodes of appreciation. Thus, the Central Reserve Bank faces relatively major difficulties in its intention of smoothing Forex volatility in times of depreciation. The model with the best fit in both markets is the ASV model with Normal errors. The stock market returns have greater periods of volatility; however, both markets react to shocks in the economy, as they display similar patterns and have a significant correlation for the sample period studied.

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