Relationship Between Oil Price Movements and Stock Returns of Oil Firms in Oil Importing Economies

2020 ◽  
pp. 097215092091701
Author(s):  
Silky Vigg Kushwah ◽  
Areej Aftab Siddiqui
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Positive Impact ◽  
Strong Relationship ◽  
Oil Price ◽  
Stock Index ◽  
Stock Market Index ◽  
Market Index ◽  
Oil Sector ◽  
The Impact

This article investigates the impact of oil price shocks on the stock returns of companies of the oil sector in oil-importing economies. The study considers oil stocks of top five oil-importing economies, that is, India, USA, China, Japan and Korea from 2007–2019. The oil price is considered as the independent variable, whereas the oil sector stock index return is considered as dependent variable. Based on the existing literature, some control variables like stock index return, inflation, interest rates, gross domestic product (GDP) and dummy for US-China trade war are included. Empirical evidence from the returns of oil sector stock index indicates that there is a significant and positive relationship between oil prices and oil sector’s stock returns. The result also highlights a strong relationship between stock market index and oil sector stock index. GDP of the country also leads to a positive impact on returns of oil stocks, although there is no significant impact of interest rates and inflation on the returns of oil stocks.

OIL PRICE FLUCTUATIONS AND STOCK MARKET BEHAVIOR IN A RESOURCE-DOMINANT ECONOMY: CASE OF KAZAKHSTAN

2020 ◽  
pp. 1-25
Author(s):  
MOLDIR MUKAN ◽  
YESSENGALI OSKENBAYEV ◽  
NIKI NADERI ◽  
YERGALI DOSMAGAMBET
Keyword(s):  
Stock Market ◽  
Aggregate Demand ◽  
Price Volatility ◽  
Oil Prices ◽  
Oil Price ◽  
Stock Index ◽  
Stock Market Index ◽  
Oil Price Volatility ◽  
Positive Shock ◽  
The Impact

During the past 10 years, the oil market has been very unpredictable and volatile, which created uneasy conditions for market participants. The remedy of increasing oil prices is considered as a positive factor for the economy of the Republic of Kazakhstan as an oil-exporting country. Using structural decomposition of vector autoregression (VAR), this study aims to examine how the whole financial system in Kazakhstan is depending on oil prices. The results suggest that the strongest factor affecting the stock index is aggregate demand, and the impact of oil production shocks on the equity market is, on average, insignificant. Such shocks can be discounted while a fall in oil prices affects financial conditions as a whole, damaging the solvency of Kazakhstan, an oil-exporting country. With the positive shock of aggregate demand, the stock market index tends to rise. There is also an effect of oil price volatility on changes in currency value, which also influences the financial situation of the country. Moreover, oil-exporting countries such as Kazakhstan can secure and support their economies with the help of “stable aggregate demand”. The focus on Kazakhstan as one of the oil-producing countries is interesting for at least two reasons. Importantly, oil-exporting countries supply oil to really strong countries concentrating on manufacturing and other industries. Besides, this study provides useful insights for countries with similar economic conditions, including similar stock market development.

scholarly journals Stock index manipulation around election announcements: evidence from Pakistan stock exchange

2017 ◽  
Vol 5 (2) ◽  
pp. 87
Author(s):  
Shahbaz Khan ◽  
Razzi Abbas Jafri ◽  
Nida Baig ◽  
Muhammad Shaique ◽  
Muhammad Usman
Keyword(s):  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Stock Exchange ◽  
Stock Index ◽  
Individual Country ◽  
Policy Makers ◽  
Country Level ◽  
General Elections ◽  
The Impact

The purpose of this study is to find out the impact of political general elections of Pakistan on KSE-100 index. We employed Event study methodology on closing prices of KSE-100 index over the time period January, 1998 to May, 2013. During our sample period, 3 events of political general Elections occurred i.e., Event1 in 2002, Event2 in 2008, and recently Event3 in 2013. We construct an Event window of 11 days consisting of 5 pre-event days, 1 on-event day, and 5 post-event days. Results of this study show that Events 1 -and 2 put significant negative impact on stock returns, while Event3 demonstrates a significant positive impact on stock returns. This study also revealed the pre -and post-event comparison for all of the three events and, suggested that as soon as the political situation of the country changes, behavior of investors towards political general election also changes. Manipulation in stock index has always been remained an inconclusive phenomenon for investors and policy makers. So, further evidence on an individual country level might suggest fruitful guidelines to both investors and policy makers.

scholarly journals The Role of Gold Prices and Interest Rate in Stock Index: Insights from Vietnam by Using the Autoregressive Distributed Lag Approach

2020 ◽  
Vol 12 (1) ◽  
pp. 178
Author(s):  
Le Thi Minh Huong ◽  
Phan Minh Trung
Keyword(s):  
Interest Rate ◽  
Stock Market ◽  
Interest Rates ◽  
Stock Index ◽  
Stock Market Index ◽  
Distributed Lag ◽  
Autoregressive Distributed Lag ◽  
Market Index ◽  
Long Run ◽  
Short Run

This study aimed to determine the impact of domestic gold prices, interest rates in the stock market index (VNI) in Vietnam for the period of January 2009 to December 2018. This study employed the Autoregressive Distributed Lag (ARDL) to check the association of Independent variable gold prices and the interest rate on the dependent variable stock market index. The results show a close correlation together in the long-run. The Vietnam stock index is adversely affected by fluctuations in the credit market in the short-run. We observed that domestic gold prices and interest rates have one-way causal relations to the stock price index. Similarly, interest rates were causal for gold prices and still not yet had any particular direction. The adjustment in the short-run moves the long-run equilibrium, although the change is quite slow.

scholarly journals Linkages Between Brent Oil Price And Iran Stock Market: New Evidence From The Corona Pandemic

2021 ◽  
Author(s):  
Vida Varahrami ◽  
Masoumeh Dadgar
Keyword(s):  
Stock Market ◽  
Oil And Gas ◽  
Causal Effect ◽  
Oil Prices ◽  
Jel Classification ◽  
Oil Price ◽  
Stock Index ◽  
Impulse Response Functions ◽  
Stock Market Index ◽  
Market Index

Abstract This article reviews the relationship between the oil market and the stock market during the Corona outbreak. This study aims to analyze the stock market and the effect of oil prices on this market during the corona pandemic. The hypothesis of this paper is whether while oil prices shocks happen due to business cycle fluctuations and some other reasons like political reasons, occur; The correlations between changes in Brent oil prices and stock market indices tend to be affected by named corona indexes. Forecasting the stock market in each period has been difficult and the value of stock index has been affected by various factors. Among these factors has been the oil and gas sector, especially in countries dependent on the revenue from their sales. On the other hand, the outbreak of Covid-19 pandemic has led to profound changes in both areas. This study examines relationship between Brent oil price and Iran stock market Index during the outbreak of corona pandemic. Research method is, vector autoregression model (VAR) which using daily data covering the period from February 20, 2020 to August 21,2020. The findings of this study suggest that a negative causal effect from Brent oil price changes to the Iran stock market Index. Also, the results of impulse response functions and variance decompositions showed that some corona pandemic indicators have significant effects on the stock index.JEL Classification: I18, E44, Q4, C5

scholarly journals The impact of GST implementation on the Malaysian stock market index volatility

2019 ◽  
Vol 26 (1) ◽  
pp. 17-33
Author(s):  
Razali Haron ◽  
Salami Mansurat Ayojimi
Keyword(s):  
Stock Market ◽  
Global Financial Crisis ◽  
Stock Index ◽  
Empirical Estimation ◽  
Stock Market Index ◽  
Content Type ◽  
Noticeable Increase ◽  
Market Index ◽  
The Government ◽  
The Impact

Purpose The purpose of this paper is to examine the impact of the Goods and Service Tax (GST) implementation on Malaysian stock market index. Design/methodology/approach This study used daily closing prices of the Malaysian stock index and futures markets for the period ranging from June 2009 to November 2016. Empirical estimation is based on the generalised autoregressive conditional heteroscedasticity (1, 1) model for pre- and post-announcement of the GST. Findings Result shows that volatility of Malaysian stock market index increases in the post-announcement than in the pre-announcement of the GST which indicates that educative programs employed by the government before the GST announcement did not yield meaningful result. The volatility of the Malaysian stock market index is persistent during the GST announcement and highly persistent after the implementation. Noticeable increase in post-announcement is in support with the expectation of the market about GST policy in Malaysia. Practical implications The finding of this study is consistent with expectation of the market that GST policy will increase the price of the goods and services and might reduce standard of living. This is supported by a noticeable increase in the volatility of the Malaysian stock market index in the post-announcement of GST which is empirically shown during the announcement and after the implementation of GST. Although the GST announcement could be classified as a scheduled announcement, unwillingness to accept the policy prevails in the market as shown by the increase in the market volatility. Originality/value Past studies on Malaysian stock market index volatility focus on the impact of Asian and global financial crisis whereas this study examines the impact of the GST announcement and implementation on the volatility of the Malaysian stock market index.

scholarly journals ESG impact on financial corporate performance and portfolio returns: evidence of Australia and Japan

2021 ◽  
Vol 7 (2) ◽  
Author(s):  
Margarita Chrissanthi Kazakakou Powaski ◽  
Carolina Daza Ordoñez ◽  
Laura Jáuregui Sánchez
Keyword(s):  
Stock Returns ◽  
Fixed Effect Model ◽  
Annual Data ◽  
Stock Market Index ◽  
Public Companies ◽  
Operational Strategies ◽  
Portfolio Returns ◽  
Market Index ◽  
Effect Model ◽  
The Impact

Environmental, Social, and Governance investing has undergone a radical shift; companies and investors have focused on the impact of the disclosure of the practices and policies related to the environment, social responsibility, and governance in their operational strategies and investment. The purpose of this paper is to demonstrate the impact that the ESG policies have on public companies' stock returns in Australia and Japan. Accounting and market-based measures are used to determine the impact ESG practices have on stock market index returns. The annual data used is of companies from Australia's S&P/ASX Index and Japan's Nikkei 225 Index, covering the period from 2005 to 2019. Fixed effect model regression was used to test the significant relationship between companies' stock returns and ESG score, accounting, and market-based measures. Portfolios were created to analyze the risk/return relationship between companies with and without ESG across countries. The findings indicate mixed results. Australia´s non-ESG portfolios outperform the S&P500 and ESG portfolios. Japan´s portfolio has positive returns but underperforms the benchmark. Low market capitalization portfolios with and without ESG outperform the higher capitalization portfolios.  

scholarly journals FLUKTUASI SAHAM SYARIAH DI INDONESIA SAAT PANDEMI COVID-19 AKIBAT PERUBAHAN VARIABEL MAKROEKONOMI: ANALISIS PADA SUB SEKTOR HOTEL, RESTAURANT DAN PARIWISATA

2021 ◽  
Vol 8 (4) ◽  
pp. 384
Author(s):  
Naji Hatul Mutohharo ◽  
Putri Nurhayati
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Partial Least Square ◽  
Least Square ◽  
Oil Price ◽  
Stock Index ◽  
Jones Index ◽  
Market Index ◽  
Tourism Sector ◽  
The Impact

ABSTRAKPandemi COVID-19 merebak dengan cepat keseluruh negara di dunia menimbulkan banyak dampak termasuk dalam bidang perekonomian. Adanya kebijakan-kebijakan khusus untuk mencegah penyebaran virus, seperti pembatasan mobilisasi dan kegiatan public memberikan dampak yang cukup masif, termasuk pada bidang pariwisata. Penelitian ini bertujuan untuk melihat pengaruh beberapa variabel makro, berupa nilai tukar, IHSG, Dow Jones Index (DJI), Dow Jones Islamic Market Index (DJIMI), dan harga minyak dunia terhadap fluktuasi harga saham perusahaan sub sektor hotel, restoran, dan pariwisata yang terdaftar dalam Indeks Saham Syariah Indonesia. Menggunakan metode Partial Least Square (PLS), menunjukkan hasil sepanjang 2 Maret hingga 30 September 2020, nilai tukar dan IHSG berpengaruh positif signifikan terhadap harga saham, sedangkan harga minyak berpengaruh tidak signifikan. DJI berpengaruh negatif tidak signifikan terhadap harga saham sedangkan DJIMI berpengaruh negatif signifikan. Sepanjang pandemi dapat dimungkinkan banyak variabel makro maupun mikro yang mengalami goncangan dan turut memberi pengaruh terhadap harga saham pada sub sektor hotel, restaurant dan pariwisata.Kata Kunci: Dow Jones Index, Dow Jones Islamic Market Index, Harga Minyak, IHSG, Nilai Tukar. ABSTRACTThe COVID-19 pandemic, which spreads rapidly around the world, has raised many impacts, including in economic sector. There are particular policies to prevent the spreading of COVID-19 virus, such as restrictions of mobilization and public activities which give some massive impacts, including the tourism sector. This study aims to see the impact of several macroeconomic variables, those are exchange rate, IHSG, Dow Jones Index (DJI), Dow Jones Islamic Market Index (DJIMI), and world oil price, due stock price fluctuations in the hotel, restaurant and tourism sub-sector companies listed on Indonesia Sharia Stock Index. Using Partial Least Square (PLS) method, it shows the results from March 2 to September 30 2020, exchange rate and IHSG have positive significant effect on stock price, while oil price has no significant effect. DJI has a negative and insignificant effect on stock price, while DJIMI has a negative significant effect. Through this pandemic, there are many macro or micro variables may experience shocks and give some contribution to the effect of sharia stock price in the hotel, restaurant and tourism sub-sector.Keywords: Dow Jones Index, Dow Jones Islamic Market Index, Exchange Rate, IHSG, Oil Price.

scholarly journals The Impact of Palm Oil Price on the Malaysian Stock Market Performance

2014 ◽  
Vol 6 (1) ◽  
pp. 1-9 ◽  
Author(s):  
Sabariah Nordin ◽  
Rusmawati Ismail .
Keyword(s):  
Stock Market ◽  
Palm Oil ◽  
Commodity Prices ◽  
Oil Price ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run ◽  
The Impact

The performance of a stock market has always become the center of attention for market analysts and investors. Due to its significant role in the economy of a country, the performance of the stock market is always associated with the economic condition of a country. Because of that, this study intends to examine the impact of commodity prices in influencing the behavior of the stock market index specifically by focusing on the palm oil prices. Since Malaysia is one of the major producers of palm oil, the behavior of the palm oil price is expected to have an influence on the Malaysian stock market index. In pursuing the objective, we have adopted the bounds test approach to analyze the existence of cointegration relationship among the underlying variables of the Malaysian stock market index, interest rate, exchange rate and the price of palm oil. Using monthly data for the period of 1997M12 to 2012M9, results of an ARDL test indicates that all the variables employed are significant in influencing the Malaysian stock market index in the long run as well as in the short run.

Shariah-compliant investments and stock returns: evidence from the Indonesian stock market

2017 ◽  
Vol 8 (2) ◽  
pp. 143-160 ◽  
Author(s):  
Devi Lusyana ◽  
Mohamed Sherif
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Positive Impact ◽  
Abnormal Returns ◽  
Stock Index ◽  
Superior Performance ◽  
Investment Performance ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

Purpose The purpose of this paper is to investigate the impact of the Indonesia Shariah-compliant Stock Index (ISSI) on the performance of included shares. In essence, the authors ask whether the establishment of the ISSI provides abnormal returns for the firms that are not included in the Jakarta Index. Design/methodology/approach The authors use an event study methodology to estimate cumulative abnormal returns in the days surrounding the event to examine the relationship between Shariah-compliant investments and stock returns. The estimation window of 90 trading days prior to the event (−30) to day 60 after (+60) is adopted. They also use a range of investment performance measures to provide new evidence on whether faith-based ethical investments generate superior performance compared to their unscreened benchmarks. Findings Using daily returns, the Indonesia ISSI and panel data model, the findings show that the inclusion of the ISSI has a positive impact on the financial performance of the included shares during the 41-day event window. The evidence also suggests that the ethical investment has a significant influence on the performance of stock market returns. Research limitations/implications This study offers insights to policymakers, investors and fund managers interested in the indices’ performance. A key conclusion that could be derived by bodies that regulate Islamic products and services is that investors are not only concerned about what is profitable but also what makes their investments ethical. Originality/value Although the global growth of the Islamic capital market products and services has been tremendous in recent years, very few studies focus on the Indonesian market and indeed, none of them devote sufficient attention to Shariah-compliant investments and stock returns.

scholarly journals Determinasi Faktor Fundamental Makroekonomi dan Indeks Harga Saham Syariah Internasional terhadap Indeks Harga Saham Syariah Indonesia

2019 ◽  
Vol 14 (1) ◽  
pp. 1-15
Author(s):  
Yudhistira Ardana ◽  
Siska Maya
Keyword(s):  
Exchange Rate ◽  
Oil Price ◽  
Stock Index ◽  
Short Term ◽  
Correction Model ◽  
Macroeconomic Conditions ◽  
Market Index ◽  
The World ◽  
The Impact

The capital market is a source of fresh funds in the long and short-term. The existing of the institution is not only a source of funding but also as an investment facility. This study aims to measure the impact of macroeconomic conditions (BI Rate, Exchange Rate and World Oil Prices) and the international Sharia stock index (Dow Jones Islamic Market Index Japan and Dow Jones Islamic Market Index US) on the Indonesian Sharia Stock Index with using the error correction model (ECM). The results showed that BI rate and DJIM US have the significant effect (5%) on Indonesian Sharia Stock Index in the short, while the exchange rate and DJIM Japan are significant at the 10%, and the world oil price is not significant. In the long-term, BI Rate, exchange rate, DJIM US and DJIM Japan have a significant effect, while the world oil price has not a significant effect.

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