Multifractality, efficiency analysis of Chinese stock market and its cross-correlation with WTI crude oil price

2015 ◽  
Vol 430 ◽  
pp. 101-113 ◽  
Author(s):  
Xiaoyang Zhuang ◽  
Yu Wei ◽  
Feng Ma
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Cross Correlation ◽  
Efficiency Analysis ◽  
Oil Price ◽  
Chinese Stock Market ◽  
Crude Oil Price

The optimal thermal causal path analysis on the relationship between international crude oil price and stock market

Kybernetes ◽  
2018 ◽  
Vol 47 (6) ◽  
pp. 1242-1261 ◽  
Author(s):  
Can Zhong Yao ◽  
Peng Cheng Kuang ◽  
Ji Nan Lin
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Markets ◽  
Oil Prices ◽  
Oil Price ◽  
Chinese Stock Market ◽  
Crude Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
Causal Path

Purpose The purpose of this study is to reveal the lead–lag structure between international crude oil price and stock markets. Design/methodology/approach The methods used for this study are as follows: empirical mode decomposition; shift-window-based Pearson coefficient and thermal causal path method. Findings The fluctuation characteristic of Chinese stock market before 2010 is very similar to international crude oil prices. After 2010, their fluctuation patterns are significantly different from each other. The two stock markets significantly led international crude oil prices, revealing varying lead–lag orders among stock markets. During 2000 and 2004, the stock markets significantly led international crude oil prices but they are less distinct from the lead–lag orders. After 2004, the effects changed so that the leading effect of Shanghai composite index remains no longer significant, and after 2012, S&P index just significantly lagged behind the international crude oil prices. Originality/value China and the US stock markets develop different pattens to handle the crude oil prices fluctuation after finance crisis in 1998.

Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate

2020 ◽  
Vol 92 ◽  
pp. 104938 ◽  
Author(s):  
Olaolu Richard Olayeni ◽  
Aviral Kumar Tiwari ◽  
Mark E. Wohar
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Economic Activity ◽  
Oil Price ◽  
Crude Oil Price ◽  
Market Behaviour

scholarly journals CAUSAL NEXUS BETWEEN THE ANAMOLIES IN THE CRUDE OIL PRICE AND STOCK MARKET

2020 ◽  
Vol 10 (3) ◽  
pp. 233-238
Author(s):  
Iqbal Thonse Hawaldar ◽  
T. M. Rajesha ◽  
Lokesha Lokesha ◽  
Adel M. Sarea
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Oil Price ◽  
Crude Oil Price ◽  
Causal Nexus

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

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

scholarly journals THE IMPACT OF OIL PRICE ON STOCK MARKET:EMPIRICAL EVIDENCE FROM US

2021 ◽  
Vol 9 (1) ◽  
pp. 330-337
Author(s):  
Shanaz hakim , Tugut Tursoy,
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Negative Impact ◽  
Positive Impact ◽  
Oil Price ◽  
P Value ◽  
Crude Oil Price ◽  
Crude Oil Prices ◽  
Interactive Relationship ◽  
The Impact

The analysis of this research focuses on the interactive relationship among the fluctuation of crude oil prices, the real GDP and the stock market of United State. This empirical investigation uses data is in between 1990 and 2018 with the Vector Auto-regression (VAR) analysis, and multiple regressions with its assumption were used in order to analyses data.  Findings, oil price and economic growth are very important determinates of stock market in US because the p-value of this were less than the common alpha α =0.05. For instance, the crude oil price had positive impact on stock market because for each unit increasing of crude oil price, the stock market will increase by (0.276901) after holding all other variable constant. However, we find that GDP has negative impact on the participations of increasing the stock market.

scholarly journals Testing the volatility spillover between crude oil price and the U.S. stock market returns

2019 ◽  
pp. 1221-1230 ◽  
Author(s):  
Mehmet Kondoz ◽  
Ilhan Bora ◽  
Dervis Kirikkaleli ◽  
Seyed Alireza Athari
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Oil Price ◽  
Volatility Spillover ◽  
Crude Oil Price ◽  
Market Returns ◽  
Stock Market Returns ◽  
The U.S

Examining the Dynamic and Non-linear Linkages between Crude Oil Price and Indian Stock Market Volatility

2017 ◽  
Vol 18 (2) ◽  
pp. 388-401 ◽  
Author(s):  
Rakesh Kumar
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Exchange ◽  
Price Change ◽  
International Market ◽  
Oil Price ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Crude Oil Price ◽  
Indian Stock Market

The present study is an attempt to examine the dynamic impact of crude oil price variations in the international market on the Indian stock market volatility. For the purpose, the study uses crude oil monthly price expressed in dollar per barrel, Bombay Stock Exchange (BSE)-listed index BSE Sensex and National Stock Exchange (NSE)-listed CNX Nifty prices for the period from January 2001 to December 2014. GARCH (1,1) model with net crude oil price change as exogenous variable is used to estimate the impact of net oil price change in international market on the conditional volatilities of both the indices. The findings report that net oil price change has a significant impact upon the conditional volatility of both the indices. These findings show that investors redesign their portfolios in response to crude oil price variations in the international market. They can use crude oil price as an important exogenous variable in forecasting models of stock returns and risk in the Indian stock market.

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