The asymmetric effect of crude oil prices on stock prices in major international financial markets

2021 ◽  
pp. 101357
Author(s):  
Jiang Wei ◽  
Liu Yan
Keyword(s):  
Financial Markets ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
International Financial Markets ◽  
Asymmetric Effect ◽  
Crude Oil Prices

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
Author(s):  
Vinh Vo Xuan
Keyword(s):  
Exchange Rates ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Foreign Exchange Rates ◽  
Factors Affecting ◽  
Crude Oil Prices ◽  
Before And After

This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis.

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

scholarly journals SYMMETRIC AND ASYMMETRIC EFFECT OF CRUDE OIL PRICES AND EXCHANGE RATE ON BOND YIELDS IN INDONESIA

2020 ◽  
Vol 10 (2) ◽  
pp. 95-100
Author(s):  
Zainuddin Saenong ◽  
Abd Azis Muthalib ◽  
Pasrun Adam ◽  
Wali Aya Rumbia ◽  
Heppi Millia ◽  
...  
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Oil Prices ◽  
Asymmetric Effect ◽  
Bond Yields ◽  
Crude Oil Prices

scholarly journals Dynamics of oil price shocks and emerging stock market volatility: a generalized VAR approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Megha Agarwalla ◽  
Tarak Nath Sahu ◽  
Shib Sankar Jana
Keyword(s):  
Crude Oil ◽  
Granger Causality ◽  
Stock Prices ◽  
Stock Price ◽  
Oil Prices ◽  
Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
Time Period

Purpose This study aims to establish the dynamic relationship between international crude oil prices and Indian stock prices represented by the Bombay Stock Exchange (BSE) energy index. Design/methodology/approach Using Johansen’s cointegration test, vector error correction (VEC) model, impulse response function and variance decomposition test the study tries to ascertain the short-term and long-term dynamic association between the oil price shock and the movement of stock price and Granger causality test is applied to find out the nature of causality. Findings Considering vector autoregression estimation, the present study analyzes the relationship between the variables and tries to make a valid conclusion. The result of the co-integration test exhibits the presence of a long-term association between these two macro-economic variables during the period under study. Also, in the short-run VEC Granger causality result reveals that the movement of international crude oil price significantly influences the Indian stock price. Research limitations/implications To get a more robust result the study can be further extended by taking a longer time period with data of shorter time-frequency such as daily or weekly and further by using more sophisticated econometric and statistical tools. Further, the study can be extended to firm-level investigation considering the forward trading concentration with the Indian oil basket. Social implications In today’s globalized era, forecasting of share price movement helps investors in predicting the market and invest accordingly. Through this liquidity of the markets enhance and markets become more active in the global arena. Originality/value This study represents fresh findings in the changing time period the linkage between crude oil prices and stock prices which are of value to the academicians, researchers, policymakers, investors, market regulators, etc.

Analysing the spillovers between crude oil prices, stock prices and metal prices: The importance of frequency domain in USA

Energy ◽  
2021 ◽  
Vol 220 ◽  
pp. 119732
Author(s):  
Aviral Kumar Tiwari ◽  
Bibhuti Ranjan Mishra ◽  
Sakiru Adebola Solarin
Keyword(s):  
Crude Oil ◽  
Frequency Domain ◽  
Stock Prices ◽  
Oil Prices ◽  
Crude Oil Prices

Determinants of Inflation in Vietnam: A VECM Approach

2015 ◽  
Vol 22 (04) ◽  
pp. 26-50
Author(s):  
Ngoc Tran Thi Bich ◽  
Huong Pham Hoang Cam
Keyword(s):  
Interest Rate ◽  
Crude Oil ◽  
Error Correction ◽  
Budget Deficit ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Domestic Credit ◽  
Short Run ◽  
The Impact

This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state.

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