Asymmetrical relationship between oil prices, gold prices, exchange rate, and stock prices during global financial crisis 2008: Evidence from Pakistan

This study tests the Portfolio Balance Theory (PBT) for Nigeria for the period starting from September 1997 to September 2018. It extends the hypothesized linear inverse relationship between exchange rate and stock price to include asymmetries and structural breaks. It further examines the impact of the 2008 global financial crisis on the PBT to determine its stability after the crisis. The full sample results show that the PBT holds for Nigeria and asymmetries and structural breaks matter in the nexus between stock price and exchange rate. However, the impact of stock price on exchange rate diminished in the long-run with the advent of the 2008 global financial crisis, thus eroding the relative consistency of the PBT after the crisis. The sensitivity of the Nigerian exchange rate to stock price changes calls for the strengthening of the stock market performance through relevant policies including the enhancement of portfolio diversification and risk-hedging assets. The role of asymmetries should not also be jettisoned in predicting exchange rate with stock prices to obtain accurate forecast results.

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An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

Journal of Economics and Development ◽

10.33301/2014.16.01.05 ◽

2014 ◽

pp. 74-89 ◽

Cited By ~ 1

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.

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

GIS Business ◽

10.26643/gis.v14i6.11683 ◽

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.

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