Forecasting long-term and short-term crude oil price: a comparison of the predictive abilities of competing models

This study attempts to examine the short-term and long-term relationship among selected global anddomestic macroeconomic variables fromeach country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selectedmacroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECMJEL Classification: E52, E44

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PENGARUH VARIABEL MAKROEKONOMI TERHADAP INDEKS HARGA SAHAM SYARIAH (STUDI KASUS DI INDONESIA DAN MALAYSIA)

ISLAMICONOMIC Jurnal Ekonomi Islam ◽

10.32678/ijei.v9i2.91 ◽

2018 ◽

Vol 9 (2) ◽

Author(s):

DESY TRISHARDIYANTI ADININGTYAS

Keyword(s):

Exchange Rate ◽

Crude Oil ◽

Stock Price ◽

Price Index ◽

Gold Price ◽

Oil Price ◽

Crude Oil Price ◽

Short Term ◽

Correction Model

Abstract. The Effect of Macroeconomic Variables on Sharia Stock Price Index (Case Study in Indonesia and Malaysia). The purpose of this research is to know the effect of macroeconomic variables (inflation, exchange rate, world crude oil price and world gold price) on sharia stock price index in Indonesia and Malaysia. By using Error Correction Model as the method, this research utilizes time series monthly data from March 2015 until February 2018. The finding shows that in long-term, inflation in Indonesia, exchange rate of rupiah, world crude oil price and world gold price had significant effect on Jakarta Islamic Index. In short-term, inflation in Indonesia, world crude oil price, world gold price had not significant effect on Jakarta Islamic Index and exchange rate of rupiah had significant effect on Jakarta Islamic Index. Meanwhile, inflation in Malaysia, world crude oil price, world gold price had not significant effect on FTSE Bursa Malaysia Hijrah Syariah Index in long-term and short-term. And exchange rate of ringgit had significant effect on FTSE Bursa Malaysia Hijrah Syariah Index in long-term and short-term. Abstrak. Pengaruh Variabel Makroekonomi Terhadap Indeks Harga Saham Syariah (Studi Kasus di Indonesia dan Malaysia). Tujuan dari penelitian ini adalah untuk mengetahui pengaruh variabel makroekonomi (inflasi, kurs, harga minyak mentah dunia dan harga emas dunia) terhadap indeks harga saham syariah di Indonesia dan Malaysia. Penelitian ini menggunakan metode Error Correction Model, dengan data time series bulanan dari Maret 2015 sampai dengan Februari 2018. Hasil penelitian ini menunjukan bahwa pada jangka panjang, inflasi Indonesia, kurs rupiah, harga minyak mentah dunia dan harga emas dunia berpengaruh terhadap Jakarta Islamic Index. Pada jangka pendek, inflasi Indonesia, harga minyak mentah dunia, harga emas dunia tidak berpengaruh terhadap Jakarta Islamic Index dan kurs rupiah berpengaruh terhadap Jakarta Islamic Index. Sementara itu, inflasi Malaysia, harga minyak mentah dunia, harga emas dunia tidak berpengaruh terhadap FTSE Bursa Malaysia Hijrah Syariah Index pada jangka panjang dan jangka pendek. Dan kurs ringgit berpengaruh terhadap FTSE Bursa Malaysia Hijrah Syariah Index pada jangka panjang dan jangka pendek.

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Crude oil price prediction based on LSTM network and GM (1,1) model

Grey Systems Theory and Application ◽

10.1108/gs-03-2020-0031 ◽

2020 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Tianxiang Yao ◽

Zihan Wang

Keyword(s):

Crude Oil ◽

Oil Price ◽

Crude Oil Price ◽

Short Term ◽

Content Type ◽

Forecasting Models ◽

Price Series ◽

Mode Decomposition ◽

Lstm Network

PurposeAccording to the problem of crude oil price forecasting, the purpose of this paper is to propose a multi-step prediction method based on the empirical mode decomposition, long short-term memory network and GM (1,1) model.Design/methodology/approachFirst, the empirical mode decomposition method is used to decompose the crude oil price series into several components with different frequencies. Then, each subsequence is classified and synthesized based on the specific periodicity and other properties to obtain several components with different significant characteristics. Finally, all components are substituted into a suitable prediction model for fitting. LSTM models with different parameters are constructed for predicting specific components, which approximately and respectively represent short-term market disturbance and long-term influences. Rolling GM (1,1) model is constructed to simulate a series representing the development trend of oil price. Eventually, all results obtained from forecasting models are summarized to evaluate the performance of the model.FindingsThe model is respectively applied to simulate daily, weekly and monthly WTI crude oil price sequences. The results show that the model has high accuracy on the prediction, especially in terms of series representing long-term influences with lower frequency. GM (1,1) model has excellent performance on fitting the trend of crude oil price.Originality/valueThis paper combines GM (1,1) model with LSTM network to forecast WTI crude oil price series. According to the different characteristics of different sequences, suitable forecasting models are constructed to simulate the components.

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THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA

Buletin Ekonomi Moneter dan Perbankan ◽

10.21098/bemp.v15i4.432 ◽

2013 ◽

Vol 15 (4) ◽

pp. 377-400

Author(s):

Muhammad Syafii Antonio ◽

Hafidhoh Hafidhoh ◽

Hilman Fauzi

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Crude Oil ◽

Capital Market ◽

Oil Price ◽

Crude Oil Price ◽

Short Term ◽

Macroeconomic Variables ◽

Jones Index

This study attempts to examine the short-term and long-term relationship among selected global and domestic macroeconomic variables from each country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selected macroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECMJEL Classification: E52, E44

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Investigating the Behavior of Iran's Light Crude Oil Price in Short Term

Modern Applied Science ◽

10.5539/mas.v10n3p45 ◽

2016 ◽

Vol 10 (3) ◽

pp. 45

Author(s):

Seyed Abdollah Razavi ◽

Mostafa Salimifar ◽

Seyed Mahdi Mostafavi ◽

Mortaza Baky Haskuee

Keyword(s):

Crude Oil ◽

Price Volatility ◽

Oil Prices ◽

Oil Price ◽

Crude Oil Price ◽

Short Term ◽

Light Crude Oil ◽

Oil Market ◽

Oil Price Volatility

<p class="zhengwen">Investigate the causes of changing the oil price and modeling for predicting its volatility has always been one of the most important fields of Iran's economic literature study due to its position in Iran's economy. On the other hand, oil price volatility lead to the difficulty in the development programs. Empirical studies show that oil prices volatility are caused the structural bottlenecks (trade balance bottleneck, budget bottlenecks, etc.) in Iran's economic.<strong></strong></p>Understanding the mechanism of oil prices formation can reduce the risk of oil price volatility and its negative impacts on Iran's economy. With the development of oil bourse and oil futures market, oil market changed the crude oil price formation so that the cash flow between financial markets and oil market will deviant the crude oil price from its long term direction by changing in interest rate in short-term. In this paper, it is investigated the crude oil price deviation from its long-term direction with regard to the relationship between mentioned markets in short-term. For this purpose, Fisher price jump model and Frankel theory will be used for test by using daily time series data of 2005-13 about Iran's light crude oil in different areas (different markets), as well as multivariate GARCH technique method. Also, the results show that the pricing strategy is false signal in the use of Urals crude oil in the determining of crude oil price in the Mediterranean and North West Europe markets.

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Impact of crude oil price on the socio-political environment of global countries

Restaurant Business ◽

10.26643/rb.v118i3.7635 ◽

2019 ◽

Vol 118 (3) ◽

pp. 110-122

Author(s):

Johnson Clement Madathil ◽

Velmurugan P. S

Keyword(s):

Crude Oil ◽

Descriptive Analysis ◽

Oil Price ◽

Policy Framework ◽

Political Environment ◽

Policy Reforms ◽

Crude Oil Price ◽

Short Term ◽

Political Impact ◽

New Energy

Crude oil is known to have an impact on people’s life of both producers and consumers of crude oil countries. A producer country’s socio-political impact will be different from a consumer country’s socio-political impact. This paper aims to show that crude oil price has a socio-political impact on global countries through descriptive analysis. The study found that there were similarities in the movement of crude oil price and change in GDP of both India and United States and further Russia and Venezuela have had crude oil impact on their respective GDP’s, which has made them take policy reforms. The paper identifies changes in the policy framework due to influence of crude oil price and eventual changes in existing socio-political environment. Taking oil producing countries such as Russia and Venezuela as examples, this paper suggests that policy reforms are the key to having a stable socio-political environment. Russia shows us that having a flexible monetary policy can keep the budget dependence on crude oil reduced in the short term. On the other hand, for oil consuming countries, having a stable supply and moving to new energy sources is the key to tackle the influence of crude oil price on the socio-political environment of global countries.

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The Co-Movements Between Crude Oil Price and Internet Concerns: Causality Analysis in the Frequency Domain

Journal of Systems Science and Information ◽

10.21078/jssi-2020-224-16 ◽

2020 ◽

Vol 8 (3) ◽

pp. 224-239

Author(s):

Jingjing Li ◽

Ling Tang ◽

Ling Li

Keyword(s):

Crude Oil ◽

Test Method ◽

Oil Price ◽

Spot Price ◽

Causality Analysis ◽

Crude Oil Price ◽

Causality Test ◽

Low Frequencies ◽

Oil Market

AbstractWith the boom of web technology, Internet concerns (IC) have become emerging drivers of crude oil price. This paper makes the first attempt to measure the frequency-varying co-movements between crude oil price and IC in five domains (i.e., fundamentals, supply-demand, crisis, war and weather) by using the frequency causality test method. Based on the monthly Brent spot price and search volumes (SVs) captured by Google Trends from January 2004 to September 2019, new and complementary insights regarding the co-movements between crude oil price and IC are obtained. 1) The co-movements between crude oil price and the IC of supply-demand, war, and weather support a neutral hypothesis at all frequencies due to the characteristics (low value or volatility) of these IC data. 2) There is a unidirectional causal relationship between crude oil price and the IC of fundamentals, running from the latter to the former at low frequencies (long-term). 3) There is a feedback relationship between crude oil price and the IC of crisis, with the IC of crisis driving crude oil price at medium and low frequencies (mid- and long-term) and crude oil price causing the IC of crisis to change permanently. The conclusions of this paper provide important implications for both oil market economists and investors.

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Impact of COVID-19 on Forecasting Stock Prices: An Integration of Stationary Wavelet Transform and Bidirectional Long Short-Term Memory

Complexity ◽

10.1155/2020/1846926 ◽

2020 ◽

Vol 2020 ◽

pp. 1-12 ◽

Cited By ~ 1

Author(s):

Daniel Štifanić ◽

Jelena Musulin ◽

Adrijana Miočević ◽

Sandi Baressi Šegota ◽

Roman Šubić ◽

...

Keyword(s):

Crude Oil ◽

Stock Prices ◽

Short Term Memory ◽

Oil Price ◽

Stationary Wavelet Transform ◽

Crude Oil Price ◽

Short Term ◽

Term Memory ◽

Long Short Term Memory ◽

The Impact

COVID-19 is an infectious disease that mostly affects the respiratory system. At the time of this research being performed, there were more than 1.4 million cases of COVID-19, and one of the biggest anxieties is not just our health, but our livelihoods, too. In this research, authors investigate the impact of COVID-19 on the global economy, more specifically, the impact of COVID-19 on the financial movement of Crude Oil price and three US stock indexes: DJI, S&P 500, and NASDAQ Composite. The proposed system for predicting commodity and stock prices integrates the stationary wavelet transform (SWT) and bidirectional long short-term memory (BDLSTM) networks. Firstly, SWT is used to decompose the data into approximation and detail coefficients. After decomposition, data of Crude Oil price and stock market indexes along with COVID-19 confirmed cases were used as input variables for future price movement forecasting. As a result, the proposed system BDLSTM + WT-ADA achieved satisfactory results in terms of five-day Crude Oil price forecast.

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Application of ARIMA Model in Short-Term Prediction of International Crude Oil Price

Advanced Materials Research ◽

10.4028/www.scientific.net/amr.798-799.979 ◽

2013 ◽

Vol 798-799 ◽

pp. 979-982 ◽

Cited By ~ 13

Author(s):

Ying Xiang ◽

Xiao Hong Zhuang

Keyword(s):

Crude Oil ◽

Arima Model ◽

Oil Price ◽

Good Prediction ◽

Crude Oil Price ◽

Short Term ◽

Refined Oil ◽

Price Data ◽

Term Prediction ◽

Short Term Prediction

International crude oil price is the referential scale of spot crude oil price and refined oil price. This paper made an analysis and prediction of Brent crude oil price by ARIMA model based on its price data from November 2012 to April 2013. It indicated that model ARIMA (1,1,1) possessed good prediction effect and can be used as short-term prediction of International crude oil price.

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Exploring relationship between crude oil price volatility and stock indices movement using wavelet analysis: evidence from India and China

Vilakshan - XIMB Journal of Management ◽

10.1108/xjm-11-2020-0204 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Shekhar Mishra ◽

Sathya Swaroop Debasish

Keyword(s):

Time Series ◽

Wavelet Transform ◽

Crude Oil ◽

Equity Market ◽

Oil Price ◽

Discrete Wavelet ◽

Crude Oil Price ◽

Content Type ◽

India And China

Purpose This study aims to explore the linkage between fluctuations in the global crude oil price and equity market in fast emerging economies of India and China. Design/methodology/approach The present research uses wavelet decomposition and maximal overlap discrete wavelet transform (MODWT), which decompose the time series into various frequencies of short, medium and long-term nature. The paper further uses continuous and cross wavelet transform to analyze the variance among the variables and wavelet coherence analysis and wavelet-based Granger causality analysis to examine the direction of causality between the variables. Findings The continuous wavelet transform indicates strong variance in WTIR (return series of West Texas Instrument crude oil price) in short, medium and long run at various time periods. The variance in CNX Nifty is observed in the short and medium run at various time periods. The Chinese stock index, i.e. SCIR, experiences very little variance in short run and significant variance in the long and medium run. The causality between the changes in crude oil price and CNX Nifty is insignificant and there exists a bi-directional causality between global crude oil price fluctuations and the Chinese equity market. Originality/value To the best of the authors’ knowledge, very limited work has been done where the researchers have analyzed the linkage between the equity market and crude oil price fluctuations under the framework of discrete wavelet transform, which overlooks the bottleneck of non-stationarity nature of the time series. To bridge this gap, the present research uses wavelet decomposition and MODWT, which decompose the time series into various frequencies of short, medium and long-term nature.

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