scholarly journals Dynamics of oil price shocks and emerging stock market volatility: a generalized VAR approach

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Megha Agarwalla ◽  
Tarak Nath Sahu ◽  
Shib Sankar Jana
Keyword(s):  
Crude Oil ◽  
Granger Causality ◽  
Stock Prices ◽  
Stock Price ◽  
Oil Prices ◽  
Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
Time Period

Purpose This study aims to establish the dynamic relationship between international crude oil prices and Indian stock prices represented by the Bombay Stock Exchange (BSE) energy index. Design/methodology/approach Using Johansen’s cointegration test, vector error correction (VEC) model, impulse response function and variance decomposition test the study tries to ascertain the short-term and long-term dynamic association between the oil price shock and the movement of stock price and Granger causality test is applied to find out the nature of causality. Findings Considering vector autoregression estimation, the present study analyzes the relationship between the variables and tries to make a valid conclusion. The result of the co-integration test exhibits the presence of a long-term association between these two macro-economic variables during the period under study. Also, in the short-run VEC Granger causality result reveals that the movement of international crude oil price significantly influences the Indian stock price. Research limitations/implications To get a more robust result the study can be further extended by taking a longer time period with data of shorter time-frequency such as daily or weekly and further by using more sophisticated econometric and statistical tools. Further, the study can be extended to firm-level investigation considering the forward trading concentration with the Indian oil basket. Social implications In today’s globalized era, forecasting of share price movement helps investors in predicting the market and invest accordingly. Through this liquidity of the markets enhance and markets become more active in the global arena. Originality/value This study represents fresh findings in the changing time period the linkage between crude oil prices and stock prices which are of value to the academicians, researchers, policymakers, investors, market regulators, etc.

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.

scholarly journals Relationship between International Crude Oil Price and Indian Stock Market (NSE)

2011 ◽  
pp. 63-73
Author(s):  
Rajendra Mahunta
Keyword(s):  
Crude Oil ◽  
Global Economy ◽  
Stock Exchange ◽  
Oil Prices ◽  
Oil Price ◽  
Raw Material ◽  
Crude Oil Price ◽  
New Era ◽  
Crude Oil Prices

In this new era of economic growth, the exceptional increase in the crude oil prices is one of the significant developments that affect the global economy. Crude oil is an important raw material used for manufacturing sectors, so that increase in the price of oil is bound to warn the economy with inflationary inclination. The study examine the long-term relationships between CNX NIFTY FIFTY index of National Stock Exchange and crude price by using various econometric test. The surge in crude oil prices during recent years has generated a lot of interest in the relationship between oil price and equity markets. The study covers the period between 01.01.2010 and 31.12.2014 and was performed with data consisting of 1245 days. The empirical results show there was a cointegrated long-term relationship between CNX index and crude price. Granger causality results reveal that there is unidirectional causality exists and crude oil price causes NSE (CNX) but NSE (CNX) does not cause oil price.

Oil prices complicate Latin America outlook

2015 ◽  
Keyword(s):  
Latin America ◽  
Crude Oil ◽  
Investment Decisions ◽  
Oil Prices ◽  
Price Impact ◽  
Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
The World ◽  
Alternative Energies

Subject 'Winners' and 'losers' from the recent collapse in oil prices. Significance The recent precipitate fall in crude oil prices, with the Brent crude price falling below 50 dollars/barrel in January (less than half its September 2014 level), is clearly having a major impact around the world. In Latin America, which includes both oil importing and exporting countries, there will be winners and losers from this development, although in some cases the oil price impact is likely to prove more nuanced. Impacts Plunging oil prices are compounding doubts surrounding the regional hydrocarbons sector. The effect on investment decisions will have a longer-term impact on the region. The development of alternative energies in Latin America will be hit by the lower prices.

The asymmetry effect of oil price changes on inflation, and the welfare implication for Ghana

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Richard K. Ayisi
Keyword(s):  
Crude Oil ◽  
Developing Economies ◽  
Oil Prices ◽  
Oil Price ◽  
Price Changes ◽  
Content Type ◽  
Welfare Implication ◽  
Asymmetric Response ◽  
Crude Oil Prices ◽  
The Asymmetry

PurposeHigh inflation levels remain a challenge in macroeconomic stabilization policies among developing economies. Oil price is identified as an important driver of inflation. In the wake of high and unstable international oil prices, the question regarding the relationship between inflation and crude oil prices, and its implication for economic welfare has become a fundamental empirical issue.Design/methodology/approachThis question is explored by estimating a non-linear autoregressive distribution lags (NARDL) model of inflation-oil nexus that examined the asymmetric response of inflation to oil price changes. The study then derived the welfare implication of the asymmetric responses, with implications for the petroleum pricing regime in Ghana.FindingsThe study found that inflation responds asymmetrically to oil prices in the long-run but not in the short-run. The welfare cost associated with the asymmetric response increases with increasing rate.Practical implicationsThe findings of this study have some implications for petroleum product pricing in Ghana. Recently, Ghana has moved from regulating petroleum prices to the automatic adjustment system. By this policy, petroleum prices change in tandem with the crude oil prices and exchange rates on the international market. Whiles this policy might be comparatively efficient, the evidence of asymmetric response of inflation to changes in oil prices raises some issues about the welfare effect of the policy.Originality/valueThe paper contributes to the literature on the inflation-oil price nexus by investigating critical questions that remain puzzling. These questions include; Does inflation respond asymmetrically to the positive and negative shock of equal magnitude in oil prices? Does inflation response to the asymmetry changes in oil prices have any implications for the welfare of the country? Is the effect of oil price changes pernicious?

scholarly journals Selection of Machine Learning Models for Oil Price Forecasting: Based on the Dual Attributes of Oil

2021 ◽  
Vol 2021 ◽  
pp. 1-16
Author(s):  
Lei Yan ◽  
Yuting Zhu ◽  
Haiyan Wang
Keyword(s):  
Machine Learning ◽  
Crude Oil ◽  
Short Term Memory ◽  
Oil Prices ◽  
Principal Component ◽  
Oil Price ◽  
Locally Linear Embedding ◽  
Short Term ◽  
Crude Oil Prices

Since the commodity and financial attributes of crude oil will have a long-term or short-term impact on crude oil prices, we propose a de-dimension machine learning model approach to forecast the international crude oil prices. First, we use principal component analysis (PCA), multidimensional scale (MDS), and locally linear embedding (LLE) methods to reduce the dimensions of the data. Then, based on the recurrent neural network (RNN) and long-term and short-term memory (LSTM) models, we build eight models for predicting the future and spot prices of international crude oil. From the analysis and comparison of the prediction results, we find that reducing the dimension of the data can improve the accuracy of the model and the applicability of RNN and LSTM models. In addition, the LLE-RNN/LSTM models can most successfully capture the nonlinear characteristics of crude oil prices. When the moving window size is twenty, that is, when crude oil price data are lagging by almost a month, each model can minimize its error, and the LLE-RNN /LSTM models have the best robustness.

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.

An Empirical Investigation of Factors Affecting Stock Prices in Vietnam

2014 ◽  
pp. 74-89 ◽  
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.

Determinants of Inflation in Vietnam: A VECM Approach

2015 ◽  
Vol 22 (04) ◽  
pp. 26-50
Author(s):  
Ngoc Tran Thi Bich ◽  
Huong Pham Hoang Cam
Keyword(s):  
Interest Rate ◽  
Crude Oil ◽  
Error Correction ◽  
Budget Deficit ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Domestic Credit ◽  
Short Run ◽  
The Impact

This paper aims to examine the main determinants of inflation in Vietnam during the period from 2002Q1 to 2013Q2. The cointegration theory and the Vector Error Correction Model (VECM) approach are used to examine the impact of domestic credit, interest rate, budget deficit, and crude oil prices on inflation in both long and short terms. The results show that while there are long-term relations among inflation and the others, such factors as oil prices, domestic credit, and interest rate, in the short run, have no impact on fluctuations of inflation. Particularly, the budget deficit itself actually has a short-run impact, but its level is fundamentally weak. The cause of the current inflation is mainly due to public's expectations of the inflation in the last period. Although the error correction, from the long-run relationship, has affected inflation in the short run, the coefficient is small and insignificant. In other words, it means that the speed of the adjustment is very low or near zero. This also implies that once the relationship among inflation, domestic credit, interest rate, budget deficit, and crude oil prices deviate from the long-term trend, it will take the economy a lot of time to return to the equilibrium state.

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

GIS Business ◽  
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.

Forecasting Crude Oil price using Artificial Neural Network model

2021 ◽  
pp. 321-326
Author(s):  
Sivaprakash J. ◽  
Manu K. S.
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Crude Oil ◽  
Back Propagation ◽  
Oil Prices ◽  
Oil Price ◽  
Back Propagation Algorithm ◽  
Crude Oil Price ◽  
Propagation Algorithm ◽  
Crude Oil Prices

In the advanced global economy, crude oil is a commodity that plays a major role in every economy. As Crude oil is highly traded commodity it is essential for the investors, analysts, economists to forecast the future spot price of the crude oil appropriately. In the last year the crude oil faced a historic fall during the pandemic and reached all time low, but will this situation last? There was analysis such as fundamental analysis, technical analysis and time series analyses which were carried out for predicting the movement of the oil prices but the accuracy in such prediction is still a question. Thus, it is necessary to identify better methods to forecast the crude oil prices. This study is an empirical study to forecast crude oil prices using the neural networks. This study consists of 13 input variables with one target variable. The data are divided in the ratio 70:30. The 70% data is used for training the network and 30% is used for testing. The feed forward and back propagation algorithm are used to predict the crude oil price. The neural network proved to be efficient in forecasting in the modern era. A simple neural network performs better than the time series models. The study found that back propagation algorithm performs better while predicting the crude oil price. Hence, ANN can be used by the investors, forecasters and for future researchers.

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