Long-term memory dynamics of crude oil price spread in non-dollar countries under the influence of exchange rates

This research is meant to find out the influence of exchange rates and crude oil price either simultaneous or partial to the stock return at PT. Indomobil Sukses Internasional Tbk. and PT Astra Internasional Tbk. The data which is applied in this research is the automotive companies’ stock prices, Rupiah exchange rates, and crude oil price from 2006 to 2016. The multiple linear regressions are applied as the analysis technique by carrying out F test and t test. Based on the F test it is found that simultaneously the rupiah exchange rates and crude oil prices have influence to the stock return. Based on the t test it is found that partially the rupiah exchange rates have no influence to PT. Indomobil Sukses Internasional Tbk stock return but have influence to PT. Astra Internasional Tbk stock return and crude oils prices have influence to stock return. t test indicates the dominant influence to the stock return PT. Indomobil Sukses International Tbk is crude oils variable and stock return PT. Astra International Tbk is exchange rates variable

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Forecasting long-term and short-term crude oil price: a comparison of the predictive abilities of competing models

International Journal of Global Energy Issues ◽

10.1504/ijgei.2015.070267 ◽

2015 ◽

Vol 38 (4/5/6) ◽

pp. 286 ◽

Cited By ~ 1

Author(s):

Zhongbao Zhou ◽

Ke Duan ◽

g Lin ◽

Qianying Jin

Keyword(s):

Crude Oil ◽

Oil Price ◽

Crude Oil Price ◽

Short Term ◽

Competing Models

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The Co-Movements Between Crude Oil Price and Internet Concerns: Causality Analysis in the Frequency Domain

Journal of Systems Science and Information ◽

10.21078/jssi-2020-224-16 ◽

2020 ◽

Vol 8 (3) ◽

pp. 224-239

Author(s):

Jingjing Li ◽

Ling Tang ◽

Ling Li

Keyword(s):

Crude Oil ◽

Test Method ◽

Oil Price ◽

Spot Price ◽

Causality Analysis ◽

Crude Oil Price ◽

Causality Test ◽

Low Frequencies ◽

Oil Market

AbstractWith the boom of web technology, Internet concerns (IC) have become emerging drivers of crude oil price. This paper makes the first attempt to measure the frequency-varying co-movements between crude oil price and IC in five domains (i.e., fundamentals, supply-demand, crisis, war and weather) by using the frequency causality test method. Based on the monthly Brent spot price and search volumes (SVs) captured by Google Trends from January 2004 to September 2019, new and complementary insights regarding the co-movements between crude oil price and IC are obtained. 1) The co-movements between crude oil price and the IC of supply-demand, war, and weather support a neutral hypothesis at all frequencies due to the characteristics (low value or volatility) of these IC data. 2) There is a unidirectional causal relationship between crude oil price and the IC of fundamentals, running from the latter to the former at low frequencies (long-term). 3) There is a feedback relationship between crude oil price and the IC of crisis, with the IC of crisis driving crude oil price at medium and low frequencies (mid- and long-term) and crude oil price causing the IC of crisis to change permanently. The conclusions of this paper provide important implications for both oil market economists and investors.

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Impact of COVID-19 on Forecasting Stock Prices: An Integration of Stationary Wavelet Transform and Bidirectional Long Short-Term Memory

Complexity ◽

10.1155/2020/1846926 ◽

2020 ◽

Vol 2020 ◽

pp. 1-12 ◽

Cited By ~ 1

Author(s):

Daniel Štifanić ◽

Jelena Musulin ◽

Adrijana Miočević ◽

Sandi Baressi Šegota ◽

Roman Šubić ◽

...

Keyword(s):

Crude Oil ◽

Stock Prices ◽

Short Term Memory ◽

Oil Price ◽

Stationary Wavelet Transform ◽

Crude Oil Price ◽

Short Term ◽

Term Memory ◽

Long Short Term Memory ◽

The Impact

COVID-19 is an infectious disease that mostly affects the respiratory system. At the time of this research being performed, there were more than 1.4 million cases of COVID-19, and one of the biggest anxieties is not just our health, but our livelihoods, too. In this research, authors investigate the impact of COVID-19 on the global economy, more specifically, the impact of COVID-19 on the financial movement of Crude Oil price and three US stock indexes: DJI, S&P 500, and NASDAQ Composite. The proposed system for predicting commodity and stock prices integrates the stationary wavelet transform (SWT) and bidirectional long short-term memory (BDLSTM) networks. Firstly, SWT is used to decompose the data into approximation and detail coefficients. After decomposition, data of Crude Oil price and stock market indexes along with COVID-19 confirmed cases were used as input variables for future price movement forecasting. As a result, the proposed system BDLSTM + WT-ADA achieved satisfactory results in terms of five-day Crude Oil price forecast.

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THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA

Buletin Ekonomi Moneter dan Perbankan ◽

10.21098/bemp.v15i4.73 ◽

2013 ◽

Vol 15 (4) ◽

pp. 391-415

Author(s):

Muhammad Syafii Antonio ◽

Hafidhoh Hafidhoh ◽

Hilman Fauzi

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Crude Oil ◽

Capital Market ◽

Oil Price ◽

Crude Oil Price ◽

Short Term ◽

Macroeconomic Variables ◽

Jones Index

This study attempts to examine the short-term and long-term relationship among selected global anddomestic macroeconomic variables fromeach country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selectedmacroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECMJEL Classification: E52, E44

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Pengaruh Suku Bunga, Nilai Tukar Rupiah, Inflasi Dan Harga Minyak Dunia Terhadap Ihsg Di Bei

Jurnal Manajemen Bisnis dan Kewirausahaan ◽

10.24912/jmbk.v2i3.4848 ◽

2019 ◽

Vol 2 (3) ◽

Author(s):

Reagan Wijaya Sumitra

Keyword(s):

Exchange Rates ◽

Crude Oil ◽

Interest Rates ◽

Price Index ◽

Secondary Data ◽

Sampling Technique ◽

Oil Price ◽

Share Price ◽

Crude Oil Price ◽

Negative Effect

This research is to analyze the influence of macroeconomic towards composite share price index in Indonesia. This research is an explanatory research with quantitative paradigm. This research is using secondary data and the sample determined by full sampling technique based on time series date that has been accessed on official website of Bank Indonesia and finance yahoo year 2013 to 2017 which is consist of 60 samples. This research used multiple linier regression analysis. Based on classic assumption test, the datas in this research has been comply the assumption. Based on the multiple linier regression test, exchange rates and crude oil price has positive effect, whereas the inflation and interest rates has negative effect on composite share price index. Based on R2 test, 73,3 % of composite share price index influenced by interest rates, exchange rates, inflation and crude oil price. Based on F test, macro economic factors simultantly influence composite share price index. Based on t test, interest rates and exchange rates has a significant effect on composite share price index, whereas the inflation and crude oil price did not have significant effect on composite share price index.

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Exploring relationship between crude oil price volatility and stock indices movement using wavelet analysis: evidence from India and China

Vilakshan - XIMB Journal of Management ◽

10.1108/xjm-11-2020-0204 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Shekhar Mishra ◽

Sathya Swaroop Debasish

Keyword(s):

Time Series ◽

Wavelet Transform ◽

Crude Oil ◽

Equity Market ◽

Oil Price ◽

Discrete Wavelet ◽

Crude Oil Price ◽

Content Type ◽

India And China

Purpose This study aims to explore the linkage between fluctuations in the global crude oil price and equity market in fast emerging economies of India and China. Design/methodology/approach The present research uses wavelet decomposition and maximal overlap discrete wavelet transform (MODWT), which decompose the time series into various frequencies of short, medium and long-term nature. The paper further uses continuous and cross wavelet transform to analyze the variance among the variables and wavelet coherence analysis and wavelet-based Granger causality analysis to examine the direction of causality between the variables. Findings The continuous wavelet transform indicates strong variance in WTIR (return series of West Texas Instrument crude oil price) in short, medium and long run at various time periods. The variance in CNX Nifty is observed in the short and medium run at various time periods. The Chinese stock index, i.e. SCIR, experiences very little variance in short run and significant variance in the long and medium run. The causality between the changes in crude oil price and CNX Nifty is insignificant and there exists a bi-directional causality between global crude oil price fluctuations and the Chinese equity market. Originality/value To the best of the authors’ knowledge, very limited work has been done where the researchers have analyzed the linkage between the equity market and crude oil price fluctuations under the framework of discrete wavelet transform, which overlooks the bottleneck of non-stationarity nature of the time series. To bridge this gap, the present research uses wavelet decomposition and MODWT, which decompose the time series into various frequencies of short, medium and long-term nature.

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Relationship between International Crude Oil Price and Indian Stock Market (NSE)

Interscience Management Review ◽

10.47893/imr.2011.1081 ◽

2011 ◽

pp. 63-73

Author(s):

Rajendra Mahunta

Keyword(s):

Crude Oil ◽

Global Economy ◽

Stock Exchange ◽

Oil Prices ◽

Oil Price ◽

Raw Material ◽

Crude Oil Price ◽

New Era ◽

Crude Oil Prices

In this new era of economic growth, the exceptional increase in the crude oil prices is one of the significant developments that affect the global economy. Crude oil is an important raw material used for manufacturing sectors, so that increase in the price of oil is bound to warn the economy with inflationary inclination. The study examine the long-term relationships between CNX NIFTY FIFTY index of National Stock Exchange and crude price by using various econometric test. The surge in crude oil prices during recent years has generated a lot of interest in the relationship between oil price and equity markets. The study covers the period between 01.01.2010 and 31.12.2014 and was performed with data consisting of 1245 days. The empirical results show there was a cointegrated long-term relationship between CNX index and crude price. Granger causality results reveal that there is unidirectional causality exists and crude oil price causes NSE (CNX) but NSE (CNX) does not cause oil price.

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Impact of Crude Oil Price Changes on Household Consumption Expenditure in Oman (1990-2016)

GATR Journal of Business and Economics Review ◽

10.35609/jber.2019.4.2(4) ◽

2019 ◽

Vol 4 (2) ◽

pp. 97-104

Author(s):

Abubakar El-Sidig A.A Mahdi

Keyword(s):

Crude Oil ◽

Household Consumption ◽

Oil Price ◽

Consumption Expenditure ◽

Crude Oil Price ◽

Price Changes ◽

Distributed Lag ◽

Autoregressive Distributed Lag ◽

Bound Test

Objective – The preceding three years (2014, 2015, and 2016) saw a drop in the price of oil which has impacted all parts of Omani macroeconomic life. This study aims to identify the association between oil price changes and aggregate household consumption expenditure in the Sultanate by analyzing the long term relationship between the variables of interest. Methodology/Technique – The (ARDL) Autoregressive Distributed Lag bound test of co-integration is used with 27 annual observations obtained between 1990 and 2016. Findings – The statistical results show that there is a long term, positive relationship between the two variables. Novelty – As Oman is heavily dependent on oil, any fluctuation in the price of oil will undoubtedly cause instability in the economy (macroeconomic variables) demonstrating the presence of a robust correlation between consumption and oil prices. The bound test of the ARDL approach demonstrates this relationship. This study is therefore useful for Muscat officials to identify ways to reduce the dependency on oil. Type of Paper: Empirical Keywords: Total Household Consumption Expenditure; Crude Oil Price; Autoregressive Distributed Lag (ARDL); Omani Economy. Reference to this paper should be made as follows: Abubakar El-Sidig A.A Mahdi. 2019. Impact of Crude Oil Price Changes on Household Consumption Expenditure in Oman (1990-2016), J. Bus. Econ. Review 4 (2): 97 – 104. https://doi.org/10.35609/jber.2019.4.2(4) JEL Classification: D1, D13, D19, E30.

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