Asymmetric Impact of Oil Price Shock on Stock Market in China: A Combination Analysis Based on SVAR Model and NARDL Model

2017 ◽  
Vol 54 (8) ◽  
pp. 1693-1705 ◽  
Author(s):  
Chunyan Hu ◽  
Xinheng Liu ◽  
Bin Pan ◽  
Bin Chen ◽  
Xiaohua Xia
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Svar Model ◽  
Oil Price Shock ◽  
Price Shock ◽  
Asymmetric Impact ◽  
Nardl Model

scholarly journals DO OIL PRICE SHOCK, AND OTHER MACROECONOMIC VARIABLES AFFECT THE STOCK MARKET: A STUDY OF THE SAUDI STOCK MARKET

2020 ◽  
Vol 8 (3) ◽  
pp. 1234-1242 ◽  
Author(s):  
Naushad Alam
Keyword(s):  
Stock Market ◽  
Negative Relationship ◽  
Oil Price ◽  
Security Market ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Oil Price Shock ◽  
Price Shock

Purpose of the study: This work aims to find the type of relationship amongst the chosen variables, inflation (INF), short-term interest rate (SIR), money supply (M.S.) and crude oil price (COP) and oil price shocks represented by DUMMY respectively on the capital market of Saudi Arabia. It will also throw insight to policymaker to find factors which influence the capital market of Saudi Arabia and to take remedial measures to boost investment in the country. Research Methodology: The relationships amongst the Saudi security market, the oil price shock, and the selected macroeconomic variables as mentioned above are determined using the Johansen test of co-integration, the vector error correction model, and the Wald test. The research employs the time series data for a period of 2009to 2016, for the study. Findings: The results show a long-run equilibrium relationship between the Saudi stock market and the selected variables for the study. The study shows a positive association between the money supply and the stock market, but inflation, short-term interest rate, and crude oil price, the result indicates a negative relationship. Implications: The present study can have implications for the policymaker to take corrective measures for better performance of the stock market by controlling inflation and regulating the short-term interest rate.As the findings indicate that they have a negative relationship with TASI. This paper will also help the policymaker in identifying the real cause for the decline in the value of the stock price. A good performing stock market means better economic growth and overall economic development. To diversify the economy to have an alternative to the oil-driven economy to a more balanced economy by promoting other sectors like manufacturing and tourism. Novelty/Originality of this study: The literature review confirms that all work of oil price shock is related to its effect on the security market return. This work is different from the other study as it includes macroeconomic variables in the study, together with the oil price shocks. The study is unique from other studies as it is broader in approach, by including more variables than earlier studies which mostly included the oil price shocks and its impact on the stock market. There is no work done to investigate the joint effect of macroeconomic variables and oil price shocks on the Saudi stock market.

scholarly journals Crude Oil Price Shock and the Nigerian Stock Market Performance in the Face of Covid-19 Pandemic Evidence from ARDL & Granger Causality Approach

2021 ◽  
pp. 35-45
Author(s):  
Hammayo Abubakar ◽  
Kamal Tasiu Abdullahi
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Capital Market ◽  
Market Performance ◽  
Oil Price ◽  
Crude Oil Price ◽  
Crude Oil Prices ◽  
Stock Market Performance ◽  
Oil Price Shock ◽  
Price Shock

The study examined empirically the linear relationship between crude oil price shock and the Nigerian stock market performance, with the main objective of ascertaining the impact of the recent sharp decline in crude oil prices on stock market performance in the face of the global socio-economic challenge posed by COVID-19 pandemic. It used monthly time series data from the central bank of Nigeria (CBN) website (www.cbn.gov.ng) from 2017-2020 This period was chosen to capture the effects of changes in oil price on the performance of the Nigerian stock market within the context of the global economic challenges due to the COVID-19 pandemic. The auto-regressive distributed lag ARDL approach has been applied in the model specification and data analysis for the study. The results of the ARDL in both the short and long run revealed that the recent crude oil price shock has a significant impact on stock market performance in Nigeria. The results of the granger causality test also reveal a unidirectional causality from crude oil price to stock market performance with a piece of evidence from the current decline of global crude oil prices from December 2019 to April 2020. The study, therefore, suggests the need for the Nigerian capital market to continue to pursue with vigor the implementation of the capital market master plan in the hope that a more developed capital market should be able to absorb external shocks such as those arising from crude oil price fluctuations.

scholarly journals Monetary Transmission Channel, Oil Price Shock and the Manufacturing Sector in Nigeria

2019 ◽  
Vol 19 (1) ◽  
pp. 89-113
Author(s):  
Adeleke Omolade ◽  
Philip Nwosa ◽  
Harold Ngalawa
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Inflation Rate ◽  
Manufacturing Sector ◽  
Output Growth ◽  
Oil Price ◽  
Monetary Transmission ◽  
Oil Price Shock ◽  
Price Shock ◽  
The Exchange Rate

Abstract Research background: The need for diversification of the Nigerian economy has been emphasized and the manufacturing sector has a major role in this. Being an oil producing country, monetary policy is an important macroeconomic policy that has always been used to manage the influence of oil price shock on the manufacturing sector. Purpose: The study examines the relationship between oil price shock, the monetary transmission mechanism and manufacturing output growth in Nigeria. Research methodology: The study applied the structural vector auto regression (SVAR) modelling technique and a descriptive analysis. Results: The results of the study show that the exchange rate is mostly affected by the oil price shock, while the monetary policy instruments and inflation rate are also very responsive to the exchange rate shock. The manufacturing sector output growth has also been shown to be strongly affected by the inflation rate and monetary policy shocks. Novelty: The study has revealed the most effective channel via which oil price shocks affect manufacturing output. The exchange rate channel of the monetary policy transmission mechanism is the most significant channel through which oil price shock affects manufacturing output growth in Nigeria. This shows that effective management of the exchange rate policy via the appropriate monetary policy approach can be used to minimize the adverse effect of oil price shocks on Nigerian manufacturing output.

South Sudan may struggle to attract oil investment

2021 ◽  
Keyword(s):  
Foreign Direct Investment ◽  
Foreign Exchange ◽  
Direct Investment ◽  
Oil Price ◽  
Fiscal Year ◽  
Government Revenue ◽  
Content Type ◽  
Oil Price Shock ◽  
Price Shock ◽  
Almost All

Significance Crude oil is central to South Sudan’s economy, providing between 80% and 90% of government revenue and almost all export earnings. Last year’s oil price shock hit the economy hard and prompted two disbursements by the IMF under the Rapid Credit Facility (RCF) in November 2020 and April 2021. Impacts Net foreign direct investment (FDI) will turn positive in fiscal year (FY) 2020/21, following three years of outflows. The central bank’s weekly foreign exchange auctions will continue to reduce the gap between the official and parallel market rates. Following a contraction of around 4%, GDP is expected to grow modestly at 2-3% in FY 2021/22 and FY 2022/23.

The macroeconomic effects of increase and decrease in oil prices: evidences of asymmetric effects from India

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Anver Chittangadan Sadath ◽  
Rajesh Herolli Acharya
Keyword(s):  
Negative Impact ◽  
Wholesale Price ◽  
Oil Prices ◽  
Petroleum Products ◽  
Oil Price ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Real Gdp ◽  
Oil Price Shock ◽  
Price Shock

Purpose The purpose of this paper is to assess whether oil price shocks emanating from oil price increase and decrease have a different impact on the macroeconomic activity. Design/methodology/approach This study conducts the empirical analysis using structural vector auto-regressive model on Indian data for the period from 1996 to 2017. This paper uses four key macroeconomic variables, namely, real gross domestic product (GDP), the real rate of interest, real money supply, wholesale price index inflation and various linear and non-linear measures of oil price shock. Findings Empirical results confirm that oil price shock has a significant impact on various macroeconomic variables used in the study. Specifically, shocks emanating from a decline in oil price have a stronger positive impact on real GDP, whereas, a shock due to the rise in oil price has a weaker negative impact on real GDP. Impulse responses confirm that shocks due to a decline in oil prices are long-lasting compared to similar shocks due to a rise in oil prices. Therefore, this study concludes that the macroeconomic impact of oil price shock is asymmetric in India. Originality/value This paper adds the following new insights: First, this paper presents a distinct relationship between the growth rate of oil price and GDP during increasing and decreasing phases of oil price to drive home the case for this study. Second, India has adopted crucial administrative initiatives such as deregulation of the market for petroleum products and the promotion of renewable energy during the study period. Finally, previous studies have revealed specific behavioral and economic features of people in India with respect to the demand for petroleum products. In light of these factors, this paper based on Indian experience would be justified.

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