A study on the efficiency of the Chinese clean energy stock market and its correlation with the crude oil market based on asymmetric multifractal scaling behavior analysis

2021 ◽  
pp. 101520
Author(s):  
Can-Zhong Yao ◽  
Yi-Na Mo ◽  
Ze-Kun Zhang
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Behavior Analysis ◽  
Clean Energy ◽  
Scaling Behavior ◽  
Oil Market ◽  
Multifractal Scaling

Multifractal scaling behavior analysis for existing dams

2013 ◽  
Vol 40 (12) ◽  
pp. 4922-4933 ◽  
Author(s):  
Huaizhi Su ◽  
Zhiping Wen ◽  
Feng Wang ◽  
Bowen Wei ◽  
Jiang Hu
Keyword(s):  
Behavior Analysis ◽  
Scaling Behavior ◽  
Multifractal Scaling

scholarly journals Detection of structural regimes and analyzing the impact of crude oil market on Canadian stock market: Markov regime-switching approach

2022 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mohammadreza Mahmoudi ◽  
Hana Ghaneei
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Return ◽  
Stock Exchange ◽  
Markov Switching ◽  
Stock Index ◽  
Var Model ◽  
Content Type ◽  
Oil Market ◽  
The Impact

Purpose This study aims to analyze the impact of the crude oil market on the Toronto Stock Exchange Index (TSX). Design/methodology/approach The focus is on detecting nonlinear relationship based on monthly data from 1970 to 2021 using Markov-switching vector auto regression (VAR) model. Findings The results indicate that TSX return contains two regimes: positive return (Regime 1), when growth rate of stock index is positive; and negative return (Regime 2), when growth rate of stock index is negative. Moreover, Regime 1 is more volatile than Regime 2. The findings also show the crude oil market has a negative effect on the stock market in Regime 1, while it has a positive effect on the stock market in Regime 2. In addition, the authors can see this effect in Regime 1 more significantly in comparison to Regime 2. Furthermore, two-period lag of oil price decreases stock return in Regime 1, while it increases stock return in Regime 2. Originality/value This study aims to address the effect of oil market fluctuation on TSX index using Markov-switching approach and capture the nonlinearities between them. To the best of the author’s knowledge, this is the first study to assess the effect of the oil market on TSX in different regimes using Markov-switching VAR model. Because Canada is the sixth-largest producer and exporter of oil in the world as well as the TSX as the Canada’s main stock exchange is the tenth-largest stock exchange in the world by market capitalization, this paper’s framework to analyze a nonlinear relationship between oil market and the stock market of Canada helps stock market players like policymakers, institutional investors and private investors to get a better understanding of the real world.

Oil Price Volatility, Exchange Rate Movements and Stock Market Reaction: The Nigerian Experience (1985-2017)

2018 ◽  
Vol 3 (1) ◽  
pp. 12-25
Author(s):  
Onyemachi Maxwell Ogbulu
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Price Volatility ◽  
Market Prices ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Exchange Rate Movements ◽  
Dollar Price ◽  
Pass Through

Given the observed volatility in crude oil prices in the international oil market and the role which oil and gas play in the Nigerian economy, this paper is an attempt to investigate the impact of crude oil prices and foreign exchange rate movements on stock market prices in Nigeria. In addition, the paper examined whether there is any volatility pass-through between the dollar price of Nigerian crude oil, foreign exchange rate of the Naira and stock market prices respectively. Data employed for the study are monthly values of the Nigerian Stock Exchange (NSE) All-Share Index (ASI), Dollar price of Nigerian Crude Oil (DPO) and the Official Exchange Rate of the Naira to the US Dollar (FXR) from January, 1985 to August, 2017. The methodology adopted for the study include the ADF unit root tests, Johansen co-integration tests, the ECM technique, Granger causality tests, variance decomposition as well as the GARCH(1,1) to model the volatility relationships among the variables. Findings reveal that there is one long-run dynamic co-integrating relationship among the variables ASI, DPO and FXR while the ECM results indicate that Crude oil price (DPO) significantly impact on Stock market prices. The Granger causality test reports a bi-directional causality relationship between ASI and DPO and a unidirectional causality running from FXR to ASI. The ARCH-GARCH volatility analysis demonstrates vividly that stock market prices in the NSE exhibit ARCH effect with a significant and positive first order ARCH term. The GARCH term is also positive and significant indicating that previous month’s stock market price volatility significantly influences current stock market volatility in the NSE. In addition, findings show that the volatility of dollar price of Nigerian oil (DPO) in the world oil market is significantly transmitted to the volatility of stock market prices in Nigeria.  The pass-through effect of the volatility of exchange rate (FXR) to the volatility of stock market prices is also positive and significant. These findings offer significant informational signal to policy makers, portfolio managers/advisors and the investing public in achieving optimal asset and portfolio profile.

Cross-herding behavior between the stock market and the crude oil market during financial distress

2018 ◽  
Vol 44 (4) ◽  
pp. 439-458 ◽  
Author(s):  
Houda BenMabrouk
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Investor Sentiment ◽  
Market Volatility ◽  
Herding Behavior ◽  
Absolute Deviation ◽  
Cross Sectional ◽  
Content Type ◽  
Oil Market ◽  
The Cross

Purpose The purpose of this paper is to investigate herding behavior around the crude oil market and the stock market and the possible cross-herding behavior between the two markets. The analysis examines also the herding behavior during financial turmoil and includes the investor sentiment and market volatility. Design/methodology/approach The authors use a modified version of the cross-sectional standard deviation and the cross-sectional absolute deviation to include investor sentiment, financial crisis and market volatility. Findings The authors find that the volatility of the stock market reduces the herding behavior around the oil market and boosts that around the stock market. However, the investors’ sentiment reduces the herding around the stock market and boosts that around the crude oil market. Consequently, the authors can conclude that the herding behavior around the two markets moves inversely and the herding in each market is enhanced by the lack of information in the other market. Research limitations/implications This paper is limited to the herding of stocks around the crude oil market and ignores the possible herding of commodities around the oil market. Originality/value The originality of the paper rests on the study of the possible cross-herding behavior between the oil market and the stock market especially during financial turmoil.

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