Trade and tech uncertainty will boost ‘safer’ assets

2019 ◽  
Keyword(s):  
Stock Market ◽  
Emerging Markets ◽  
Crude Oil ◽  
Stock Markets ◽  
Oil Price ◽  
Crude Oil Price ◽  
Government Bonds ◽  
Content Type ◽  
The Us ◽  
New Phase

Significance US President Donald Trump’s decision last month to intensify the US-China conflict by raising the tariff rate and targeting Chinese tech firms is straining stock markets and making government bonds more attractive. Marking a dangerous new phase, sentiment towards the tech sector is deteriorating, after powering the stock market 'bull run' for a decade. Impacts Uncertainty over both US policy and geopolitics globally will continue to make the dollar more attractive, outweighing Fed dovishness. Emerging markets enjoyed a surge in inflows from January-April 2019, but suffered sharp outflows in May, and investors will remain cautious. The VIX Index, Wall Street’s so-called ‘fear gauge’, has surged by around 50% since May 3, and is likely to remain elevated. Rising US output means that the Brent crude oil price is likely to stabilise rather than rebound, having fallen by about 20% since April.

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.

Dollar funding squeeze will threaten indebted nations

2018 ◽  
Keyword(s):  
Emerging Markets ◽  
Crude Oil ◽  
Oil Price ◽  
Economic Conditions ◽  
Corporate Debt ◽  
Consumer Spending ◽  
Crude Oil Price ◽  
Content Type ◽  
Financial Conditions ◽  
Equity Funds

Significance The Fed also released its ‘Beige book’ summary of economic conditions in the twelve Fed districts; all reported growth and higher consumer spending and expressed concerns about trade. Having lost more than 10% between US President Donald Trump’s election and the end of March, the dollar index has since strengthened by more than 5%. This is contributing to tighter global financial conditions and dollar liquidity. Emerging markets (EMs) are especially vulnerable because of their reliance on dollar funding, especially in corporate debt markets. Impacts Despite the outflows, net inflows of EM bond and equity funds are over 45 billion dollars in 2018; EM outflows may slow as markets adjust. The Brent crude oil price is near its highest since 2015 and likely to remain at this level, adding to risks in net fuel importers. Powell’s comments did not alter expectations of one or two more rate rises in 2018; markets see a near 60% chance of a fourth in December.

Volatility spillovers between crude oil price and stock markets: evidence from BRIC countries

2017 ◽  
Vol 12 (2) ◽  
pp. 352-365 ◽  
Author(s):  
Bhaskar Bagchi
Keyword(s):  
Crude Oil ◽  
Long Memory ◽  
Stock Markets ◽  
Stock Price ◽  
Price Volatility ◽  
Oil Price ◽  
Crude Oil Price ◽  
Content Type ◽  
Bric Countries ◽  
Crude Oil Prices

Purpose The purpose of this paper is to examine the dynamic relationship between crude oil price volatility and stock markets in the emerging economies like BRIC (Brazil, Russia, India and China) countries in the context of sharp continuous fall in the crude oil price in recent times. Design/methodology/approach The stock price volatility is partly explained by volatility in crude oil price. The author adopt an Asymmetric Power ARCH (APARCH) model which takes into account long memory behavior, speed of market information, asymmetries and leverage effects. Findings For Bovespa, MICEX, BSE Sensex and crude oil there is an asymmetric response of volatilities to positive and negative shocks and negative correlation exists between returns and volatility indicating that negative information will create greater volatility. However, for Shanghai Composite positive information has greater effect on stock price volatility in comparison to negative information. The study results also suggest the presence long memory behavior and persistent volatility clustering phenomenon amongst crude oil price and stock markets of the BRIC countries. Originality/value The present study makes a number of contributions to the existing literature in the following ways. First, the author have considered crude oil prices up to January 31, 2016, so that the study can reflect the impact of declining trend of crude oil prices on the stock indices which is also regarded as “new oil price shock” to measure the volatility between crude oil price and stock market indices of BRIC countries. Second, the volatility is captured by APARCH model which takes into account long memory behavior, speed of market information, asymmetries and leverage effects.

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

Intensity of shock transmission amid US-BRICS markets

2015 ◽  
Vol 10 (3) ◽  
pp. 311-328 ◽  
Author(s):  
P. Lakshmi ◽  
S. Visalakshmi ◽  
Kavitha Shanmugam
Keyword(s):  
Stock Market ◽  
Granger Causality ◽  
Stock Markets ◽  
Subprime Mortgage ◽  
Content Type ◽  
Brics Countries ◽  
Long Run ◽  
The Us ◽  
The Usa ◽  
Short Run

Purpose – The purpose of this paper is to analyze the intensity of transmission of shocks from USA to BRICS countries in the long-run and short-run deviations and swiftness of recovery during US subprime mortgage crisis. This analysis enables the authors to explore the evolving patterns of relationships between these markets and examine whether their co-movements altered either in response to international shocks that originated in advanced markets like USA or due to their domestic fluctuations. Design/methodology/approach – Employing data of daily stock market indices (open and close) of BRICS countries for the period January 2, 2001 to May 31, 2012, this paper examines the interactions and characteristics of price movements of BRICS with US market by applying co-integration tests, vector error correction model and Granger causality relationship. The daily stock market indices data are derived from respective stock exchange web sites. Findings – The results exhibit that both long-run co-integration relationships and short-run Granger causality relationships exist between the stock markets of US-BRICS. Furthermore, this nexus is amplified in the short-run during 2007-2009, when the subprime mortgage financial crisis in the USA cropped up. This finding lends support to the prominence of developed (US) market links in the proliferation of persistent co-movements of BRICS stock markets. Research limitations/implications – The findings imply an increasing degree of global market integration due to quick dissemination of global shocks originating from developed market like USA, and swift recovery which can be attributed to the increased resilience, consistent with the moderated level of domestically driven risk in the BRICS markets. In spite of their similarities, long-run and short-run interdependences with the US stock market exhibit differences among the BRICS. This can be attributed to the regional heterogeneity in long-run risk and return co-movements with the USA. Practical implications – Changes from the US index easily affect these stock markets in the short-run, which implies that the US index may act as a leading indicator for investing funds in BRICS markets. Originality/value – This study would enable the authors to understand whether BRICS economies actually remain resilient to adverse developments in USA and could serve as alternative investment destinations for global portfolio diversification.

Time-varying dependence measures: a comparative analysis through wavelet approach

2017 ◽  
Vol 11 (2) ◽  
pp. 350-364 ◽  
Author(s):  
Anyssa Trimech
Keyword(s):  
Energy Consumption ◽  
Crude Oil ◽  
Oil Price ◽  
Consumption Pattern ◽  
Time Varying ◽  
Crude Oil Price ◽  
Data Set ◽  
Content Type ◽  
Single Scale ◽  
Measure Of Dependence

Purpose This paper aims to investigate the pattern of dependence between crude oil price and energy consumption of the most important economic sectors in the USA, over different time periods, using monthly data set from January 1986 to July 2014 and a comparative study between linear correlation versus copula correlation as a measure of dependence over the single scale and the multiscale analysis. Design/methodology/approach The proposed method is based on the multiresolution analysis which gives more extensive and detailed description of the dependence price-consumption pattern over different periods of time. Findings The empirical results show that the dependence between variables is strongly sensitive to the time varying and generally increasing with time scale. In particular, the Pearson coefficients are less than the dependence copula measures. The single-scale analysis covers many time-varying dependences which are made clear, flexible and comprehensive by the description given by the multiscale approach. It explains better the structure of relationships between variables and helps understand the variations and improve forecasts of the crude oil price and energy consumption over different time scales. Originality/value The proposed methodology offers the opportunity to construct dynamic management strategies by taking into account the multiscale nature of crude oil price and consumption relationship. Moreover, the paper uses wavelets as a relatively new and powerful tool for statistical analysis in addition to the copula technique that allows a new understanding of variable correlation. The paper will be of interest not only for academics in the field of data dependencies analysis but also for fund managers and market investors.

Negative bond yields will fuel global equity rally

2016 ◽  
Keyword(s):  
Stock Market ◽  
Sovereign Debt ◽  
Asset Prices ◽  
Central Banks ◽  
Oil Price ◽  
Bond Yields ◽  
Fiscal Stimulus ◽  
Government Bonds ◽  
Content Type ◽  
Risk Appetite

Significance The gains in global equities stem from the expanding universe of negative-yielding government bonds, which now account for nearly a third of the stock of global sovereign debt. This is pushing yield-hungry investors into riskier assets, despite concerns about the sustainability of a stock market rally with weak fundamental underpinnings and central banks' ultra-loose policies driving asset prices. Impacts Sterling will remain under pressure because of the BoE's aggressive monetary easing, both conventional and unconventional. The recent oil price rebound will support equity valuations and risk appetite. Fiscal stimulus will benefit stocks in the construction and defence sectors.

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