Oil price shocks and Nigeria's stock market: what have we learned from crude oil market shocks?

2014 ◽  
Vol 38 (1) ◽  
pp. 36-58 ◽  
Author(s):  
Ekpeno L. Effiong
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Oil Market ◽  
Market Shocks

scholarly journals HOW DOES STOCK MARKET VOLATILITY REACT TO OIL PRICE SHOCKS?

2017 ◽  
Vol 22 (3) ◽  
pp. 666-682 ◽  
Author(s):  
Andrea Bastianin ◽  
Matteo Manera
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Aggregate Demand ◽  
Model Identification ◽  
Oil Price ◽  
Market Volatility ◽  
Oil Price Shocks ◽  
Stock Market Volatility ◽  
Price Shocks ◽  
The Impact

We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility using a structural vector autoregressive model. Identification is achieved by assuming that the price of crude oil reacts to stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous, but predetermined with respect to the stock market. We show that volatility responds significantly to oil price shocks caused by unexpected changes in aggregate and oil-specific demand, whereas the impact of supply-side shocks is negligible.

scholarly journals Identifying oil price shocks and their consequences: The role of expectations in the crude oil market

2020 ◽  
Author(s):  
Takuji Fueki ◽  
Jouchi Nakajima ◽  
Shinsuke Ohyama ◽  
Yoichiro Tamanyu
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Oil Market

scholarly journals The Effect of Crude Oil Price Shocks on Indonesia Stock Market Performance

2020 ◽  
Vol 16 (1) ◽  
pp. 11-23
Author(s):  
Indra Darmawan ◽  
Hermanto Siregar ◽  
Dedi Budiman Hakim ◽  
Adler Haymans Manurung
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Market Performance ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Long Run ◽  
Stock Market Performance ◽  
Global Stock

The main purpose of this study is to observe the effects of the crude oil price shocks on Indonesia stock market performance to complete the literature on Indonesia stock market behavior. We examined the effects of the crude oil price shocks on Indonesia stock market performance through the cointegration relationship mechanism between IHSG and the crude oil price and between IHSG and the global stock market indices. The Brent crude oil price data taken from FRED economic data, the Federal Reserve Bank of St.Lois, and the stock market indices data taken from yahoo.finance.com. By using a vector error correction model (VECM) approach, we found that IHSG has significant long-run relationships with the crude oil price and the global stock market indices. This finding indicates that the effects of the crude oil price shocks on IHSG transmitted directly through the cointegration mechanism between IHSG and the crude oil price, and indirectly through the cointegration mechanism between IHSG and the global stock market indices.

scholarly journals The Effect of Global Oil Price Shocks on China’s Chemical Markets

2018 ◽  
Vol 2 (1) ◽  
Keyword(s):  
Crude Oil ◽  
Garch Model ◽  
Spillover Effects ◽  
Oil Price ◽  
Fuel Oil ◽  
Time Varying ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Oil Market ◽  
Jump Intensity

This paper investigates the effects of global oil price shocks on China’s chemical market and two typical markets: fuel oil and PTA. The ARJI-GARCH model is applied to extract the jump intensity of crude oil returns. Then, jump intensity and positive and negative oil price shocks are added to the ARMA-GARCH model to examine the spillover effects of the crude oil market on chemical markets. Our results indicate that global oil returns are characterized by time-varying jump behavior. In addition, the impacts of oil returns jumps on the chemical markets are different. The oil returns jumps only have significant effects on the whole market and the fuel oil market. Moreover, the oil price shocks have asymmetric effects on chemical markets, except for the fuel oil market. Specifically, negative oil price shocks have greater effects on these markets than do positive shocks.

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