scholarly journals The Role of World Oil Price in the Movements of the Asian Stock Market

2020 ◽  
Vol 6 (2) ◽  
pp. 7-18 ◽  
Author(s):  
Le Thi Minh Huong
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Stock Markets ◽  
Oil Prices ◽  
Cross Border ◽  
Korean Stock Market ◽  
Causality Tests ◽  
Research Period ◽  
Insight Into

This article contributed insight into the cross-border role of oil on Asia’s largest stock markets. The research conducted using VAR, GARCH_BEKK (1,1), and related tests such as stationarity, correlation, and causality tests in the analysis. The results obtained suggest that the time series of data ensure conditions for analysis. Asian stock prices are inversely related to oil prices in a correlation. At the same time, in considered stock markets, the Korean stock market and world oil prices appear to have a causal relationship with each other. Moreover, the tests of profitability and volatility in oil prices also indicate a link with the Korean stock market during the research period.

Through the Lens of Recession 2.0: Diversification Dynamics Between the Leading Asian Stock Markets

2021 ◽  
pp. 097226292098395
Author(s):  
Manu K. S. ◽  
Surekha Nayak ◽  
Rameesha Kalra
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Market Integration ◽  
Developing Economies ◽  
Positive Impact ◽  
Global Market ◽  
Stock Market Integration ◽  
Developed Economies ◽  
Market Participants ◽  
Causality Tests

The focus of this article is to analyse the inter-linkages between eight leading stock markets in Asian continent from the period of July 2011 to February 2018. This period holds relevance as this was the time when Recession 2.0 set in, which adversely affected the developed economies; however, the developing economies withstood the crisis without much of an impact. Co-integration and Granger causality tests were conducted to probe the inter-linkages. Study revealed a positive impact on Asian stock market indices collectively on each of the indexes. The highest number of unidirectional causalities was to KOPSI and NIFTY from rest of the stock indices. Results confirmed that no co-integration relationship existed among the selected indices indicating favourable diversification opportunities. Thus, the study fosters global market participants and policymakers to consider the nitty-gritties of stock market integration so as to benefit from international stock market diversification in the Asian region.

Analyzing causality between epidemics and oil prices: Role of the stock market

2021 ◽  
Vol 70 ◽  
pp. 148-158
Author(s):  
Bo Sui ◽  
Chun-Ping Chang ◽  
Chyi-Lu Jang ◽  
Qiang Gong
Keyword(s):  
Stock Market ◽  
Oil Prices

scholarly journals The Symmetric and Asymmetric Time-Varying Causality Relationships Between the COVID-19 Outbreak and the Stock Exchange: The Case of Selected Countries

Ekonomika ◽  
2021 ◽  
Vol 100 (2) ◽  
pp. 144-170
Author(s):  
Cuma Demirtaş ◽  
Munise Ilıkkan Özgür ◽  
Esra Soyu
Keyword(s):  
Mortality Rate ◽  
Stock Market ◽  
Stock Markets ◽  
Time Varying ◽  
Causality Test ◽  
Causality Tests ◽  
Bed Capacity ◽  
Case Rate ◽  
Asymmetric Causality ◽  
Second Wave

In this study, the effects of COVID-19 (mortality rate, case rate, and bed capacity) on the stock market was examined within the framework of the efficient market hypothesis. Unlike other studies in the literature, we used the variable of bed capacity besides the mortality rate and case rate variables. The relationship between the mentioned variables, using daily data between December 31 of 2019 and November 10 of 2020, has been analyzed with time-varying symmetric and asymmetric causality tests for China, Germany, the USA, and India. Considering that the responses to positive and negative shocks during the pandemic process may be different and that the results may change depending on time, time-varying symmetric and asymmetric causality tests were used. According to the time-varying symmetric causality test, stock markets in all countries were affected in the period when the cases first appeared. A causal relationship between COVID-19 and country stock markets was found. The results showed that the effects of the case rate and bed capacity on the stock market occurred around the same time in Germany and the United States; however, these dates differed in China and India. According to time-varying asymmetric causality test findings, the asymmetric effect of the pandemic on the stock market in countries emerged during the second wave. The findings showed that the period during which positive and negative information about the pandemic intensified coincided with the period during which the second wave occurred; besides, the results show the effect of this information on the stock market differed as positive and negative shocks.

scholarly journals A Note on ‘What Drives Share Prices in the Middle East?’

2008 ◽  
Author(s):  
Panos Priftakis ◽  
M. Ishaq Bhatti
Keyword(s):  
Middle East ◽  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Predictive Ability ◽  
Oil Prices ◽  
Unobserved Components ◽  
Market Prices ◽  
Share Prices ◽  
Unobserved Components Model

There are several hypotheses suggesting that some properties of oil prices make it interesting to focus on the predictive ability of oil prices for stock returns. This paper reviews some models recently used in the literature and selects the most suitable one for measuring the relationships and/or linkages of oil prices to the stock markets of the selected five oil producing countries in the Middle East. In particular, the paper uses two methodologies to test for the presence of a cointegrating relationship between the two variables and an unobserved components model to find a relationship between the two variables. The results rejects convincingly that there is no linkage between the prices of oil and the stock market prices in these oil-based economies.  

scholarly journals The Influence of Accounting Information on Stock Prices of Food and Beverage Manufacturing Companies

2021 ◽  
Vol 2 (3) ◽  
pp. 11-16
Author(s):  
Okeyo Oleyinka ◽  
Tyronni Chadire
Keyword(s):  
Data Analysis ◽  
Stock Market ◽  
Stock Prices ◽  
Sample Selection ◽  
Accounting Information ◽  
Financial Statements ◽  
Total Sample ◽  
Manufacturing Companies ◽  
Food And Beverage ◽  
Research Period

The purpose of this study is to determine the effect of accounting information on stock prices of manufacturing companies in the food and beverage sub-sector This research takes place at the Stock Market  office. The sample selection method in this study is a purposive sampling method with a total sample of 5 companies. The data collection techniques collect data on the company's financial statements during the research period. The data analysis method used was multiple regression with the help of SPSS for windows 25.00 software. The results showed that 1) Based on the results of data analysis, the coefficient values ​​of ROA, ROE, NPM, and EBIT showed an effect on stock prices simultaneously. 2) Based on the results of data analysis ROA, ROE, NPM partially significant effect on stock prices, while EBIT has no effect on stock prices of manufacturing companies in the food and beverage sub-sector on the Stock Market. 3) The most dominant variable that influences ROA, ROE, NPM and EBIT on stock prices of manufacturing companies in the food and beverage sub-sector on the Stock Market is the ROA variable

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.

Googling Investor Sentiment around the World

2019 ◽  
Vol 55 (2) ◽  
pp. 549-580 ◽  
Author(s):  
Zhenyu Gao ◽  
Haohan Ren ◽  
Bohui Zhang
Keyword(s):  
Stock Prices ◽  
Stock Markets ◽  
Investor Sentiment ◽  
Search Behavior ◽  
Market Returns ◽  
Country Level ◽  
The World ◽  
Google Search

We study how investor sentiment affects stock prices around the world. Relying on households’ Google search behavior, we construct a weekly measure of sentiment for 38 countries during 2004–2014. We validate the sentiment index in tests using sports outcomes and show that the sentiment measure is a contrarian predictor of country-level market returns. Furthermore, we document an important role of global sentiment in stock markets.

scholarly journals Long and Short-Term Dynamic Relationship between Macedonian and Croatian Stock Markets

2017 ◽  
Vol 20 (2) ◽  
pp. 11-20
Author(s):  
Julijana Angelovska
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Directional Pattern ◽  
Short Term ◽  
Dynamic Relationship ◽  
Common Trend ◽  
Significant Relationships ◽  
Long Run ◽  
Causality Tests ◽  
Economic Ties

Abstract The aim of this study is the empirical investigation of the long-run relations and the short-term dynamics between two Balkan stock markets: Macedonian and Croatian. The presence of long run common trend between the Macedonian and Croatian stock market indices is identified by applying Johansen’s cointegration maximum eigenvalue and trace tests, while potential causal relations are examined by employing Granger’s causality tests. Data sample spans from January 3rd, 2005 to March 31st, 2017. The stock market indices were found to be co-integrated with significant relationships. A bi-directional pattern of causality is documented between the Macedonian and Croatian returns. This pattern is remarkably stable and suggests significant economic ties between the investors in Macedonian and Croatian stock markets. The findings are important for the investors meaning that they cannot gain diversification benefits of investing in the Croatian or Macedonian stock market.

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