scholarly journals Comparative study of the impact of COVID 19 and decline in crude oil prices on stock market dynamics

2021 ◽  
Vol 7 (4) ◽  
pp. 142-146
Author(s):  
Shruti Singh
Keyword(s):  
Stock Market ◽  
Comparative Study ◽  
Crude Oil ◽  
Oil Prices ◽  
Market Dynamics ◽  
Crude Oil Prices ◽  
The Impact

Analyzing the Impact of Oil Price Fluctuations on Vietnam Stock Market

2018 ◽  
pp. 229-245
Author(s):  
Huynh Viet Khai ◽  
Le Minh Sang ◽  
Phan Thi Anh Nguyet
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Economic Crisis ◽  
Oil Prices ◽  
Stock Market Index ◽  
Market Index ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
The Impact

This chapter covers a study that was conducted to find out the impact of crude oil prices on the Vietnam stock market in the period from March 2006 to June 2015 by using the autoregressive-distributed lag (ARDL) model with dummy variables of the economic crisis. The results revealed that the crude oil prices had positive impacts on VN-Index and HNX-Index in short-run, but negatively in long-run. In addition, the study also found that the economic crisis has affected the relationship between the crude oil prices and the stock market index in the short-run. During the crisis period, the crude oil prices related to the VN-Index and HNX-index more closely than the other stages. However, in the long-run the relationship between oil prices and stock market index was not affected by the economic 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.

scholarly journals The Dynamic Relationship between Crude Oil Prices and Stock Market Price Volatility in Nigeria: A Cointegrated VAR-GARCH Model

2019 ◽  
pp. 1-12
Author(s):  
David Adugh Kuhe
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Market Price ◽  
Garch Model ◽  
Price Volatility ◽  
Oil Prices ◽  
Market Prices ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run

This study investigates the dynamic relationship between crude oil prices and stock market price volatility in Nigeria using cointegrated Vector Generalized Autoregressive conditional Heteroskedasticity (VAR-GARCH) model. The study utilizes monthly data on the study variables from January 2006 to April 2017 and employs Dickey-Fuller Generalized least squares unit root test, simple linear regression model, unrestricted vector autoregressive model, Granger causality test and standard GARCH model as methods of analysis. Results shows that the study variables are integrated of order one, no long-run stable relationship was found to exist between crude oil prices and stock market prices in Nigeria. Both crude oil prices and stock market prices were found to have positive and significant impact on each other indicating that an increase in crude oil prices will increase stock market prices and vice versa. Both crude oil prices and stock market prices were found to have predictive information on one another in the long-run. A one-way causality ran from crude oil prices to stock market prices suggesting that crude oil prices determine stock prices and are a driven force in Nigerian stock market. Results of GARCH (1,1) models show high persistence of shocks in the conditional variance of both returns. The conditional volatility of stock market price log return was found to be stable and predictable while that of crude oil price log return was found to be unstable and unpredictable, although a dependable and dynamic relationship between crude oil prices and stock market prices was found to exist. The study provides some policy recommendations.

A Comparative Study on Box-Jenkins and Garch Models in Forecasting Crude Oil Prices

2011 ◽  
Vol 11 (7) ◽  
pp. 1129-1135 ◽  
Author(s):  
Siti Roslindar Yaziz ◽  
Maizah Hura Ahmad ◽  
Lee Chee Nian ◽  
Noryanti Muhammad
Keyword(s):  
Comparative Study ◽  
Crude Oil ◽  
Oil Prices ◽  
Garch Models ◽  
Crude Oil Prices

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 THE EFFECT OF TRANSFERING ISRAEL CAPITAL CITY TO JERUSALEM TOWARD INDONESIA MACRO ECONOMY

2020 ◽  
Vol 3 (2) ◽  
pp. 260-282
Author(s):  
Liliek Nur Sulistiyowati
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Crude Oil ◽  
Interest Rates ◽  
Oil Prices ◽  
Donald Trump ◽  
State Budget ◽  
Crude Oil Prices ◽  
Macroeconomic Indicators ◽  
The Impact

United States President Donald Trump has just issued a controversial policy by giving Jerusalem recognition as the capital of Israel. This controversial policy triggered a strong reaction from a number of countries, especially Islamic countries including Indonesia. Indonesia through President Jokowidodo strongly condemned the policy of moving the Israeli capital to Jerusalem because it would disrupt political and security stability in the Middle East region. In the midst of the political impact caused by President Donald Trump's policies also affected the global economy. The world stock exchanges reacted immediately with the existence of these policies, one of which was the fall of the stock market index in Japan and South Korea due to investor concerns. The impact of the policies implemented by President Donald Trump also affected the Indonesian economy. This policy will affect the financial markets and capital markets in Indonesia. Trump's policy triggered an increase in the US $ exchange rate against the currencies of other countries including the Indonesian currency. Some of the negative effects on the Indonesian economy were the increase in world crude oil prices. Indonesia is currently no longer an oil exporting country, so that with the increase in world crude oil prices it will provide a fiscal burden in the State Budget (APBN). Fuel subsidies in the state budget will increase along with the increase in world crude oil prices that occur. In addition to the impact on the rupiah exchange rate against the US $, Donald Trump's policy also affects the inflation rate and the SBI interest rate. Through 2018, Bank Indonesia has raised the SBI interest rate by 150 basis points (bps) or 1.5%. The BI Governor explained that one reason for changing the benchmark interest rate was US monetary policy. The determination of high SBI interest rates also had an effect on reducing inflationary pressures. This study aims to look at the influence of President Donald Trump's policies regarding the transfer of the Israeli capital to Jerusalem against Indonesia's macroeconomic indicators. Indonesia's macroeconomic indicators are seen from 3 variables, such as the inflation rate, SBI interest rates and the rupiah exchange rate against US $ Key words :  Donald Trump, inflation, SBI interest rates, exchange rates / exchange rates  

scholarly journals GLOBAL CRUDE OIL PRICE AND DOMESTIC FOOD COMMODITY PRICES: EVIDENCE FROM INDONESIA

2020 ◽  
Vol 14 (1) ◽  
pp. 95-120
Author(s):  
Tiara Kencana Ayu
Keyword(s):  
Panel Data ◽  
Crude Oil ◽  
Local Food ◽  
Price Change ◽  
Commodity Prices ◽  
Oil Prices ◽  
Jel Classification ◽  
Crude Oil Prices ◽  
The Impact ◽  
Food Commodity

Abstrak Penelitian untuk menganalisis hubungan antara harga minyak dunia dan harga komoditi pangan di pasar domestik masih jarang ditemukan. Dengan membuat Model Panel Data dari 34 provinsi di Indonesia pada tahun 2010-2017, penelitian ini bertujuan untuk menginvestigasi pengaruh perubahan harga minyak dunia terhadap beberapa harga komoditi pangan lokal (kedelai,import, kedelai lokal, beras lokal, dan jagung lokal). Hasil penelitian ini mengindikasikan bahwa harga minyak dunia dapat memengaruhi harga pangan lokal di Indonesia melalui tingginya biaya pengiriman pada aktivitas impor. Selain itu, harga komoditi pangan dunia juga terbukti dapat memengaruhi harga seluruh komoditi pangan lokal yang diteliti, yang mengimplikasikan bahwa harga komoditi pangan di Indonesia dipengaruhi oleh kondisi pasar internasional. Hasil penelitian ini memberikan masukan bagi pembuat kebijakan di Indonesia untuk mempertimbangkan perubahan harga minyak dunia dan harga komoditi global dalam menstabilkan harga komoditi lokal di Indonesia, terutama komoditi yang diimpor.   Abstract Globally, studies examining the nexus between global crude oil prices and food commodity prices in domestic markets are scant. Employing a panel data model of 34 provinces in Indonesia from 2010 - 2017, this study investigates the impact of global crude oil’s price change on some local food commodity prices (imported soybean, local soybean, local rice, and local maize). Previous studies found that local food commodity prices in some countries were not affected by global crude oil prices; however, this study, by controlling other factors which could affect local commodity prices, finds different results. This study’s findings indicate that global crude oil prices could affect Indonesia’s local commodity prices due to higher shipping costs in import activity. In addition, global commodity prices are also proved to affect all commodities examined in this study, which implies that local food commodity prices in Indonesia are influenced by the international market. This study provides input to policymakers in Indonesia to consider the movement of global crude oil prices and global commodity prices in stabilizing local food commodity prices in Indonesia, especially the imported commodities. JEL Classification: F15, O13, Q11

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