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

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.

Local Stock Market Integration with International Gold and Oil Price

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Kanon Kumar Sen ◽  
◽  
Md. Thasinul Abedin ◽  
Ratan Ghosh ◽  
◽  
...  
Keyword(s):  
Stock Market ◽  
Market Integration ◽  
Oil Price ◽  
Policy Implications ◽  
Bounds Testing ◽  
Stock Market Index ◽  
Data Set ◽  
Stock Market Integration ◽  
Market Index ◽  
Short Run

We look for the integration of Bangladesh Stock Market with international gold and oil price using most recent monthly data set from January 2003 to December 2020 (2003m1-2020m12). We employ the bounds-testing approach to cointegration between stock market index (DSEX) and international gold and oil price and eventually find an integration and dynamic significant impact of international gold and oil price on DSEX in the long and short-run. We discuss the important policy implications of the dynamic impact of international gold and oil price on stock market index.

scholarly journals Quantifying the Information Flow between Ghana Stock Market Index and Its Constituents Using Transfer Entropy

2020 ◽  
Vol 2020 ◽  
pp. 1-10
Author(s):  
Prince Mensah Osei ◽  
Anokye M. Adam
Keyword(s):  
Stock Market ◽  
Information Flow ◽  
Information Exchange ◽  
Oil And Gas ◽  
Transfer Entropy ◽  
Stock Market Index ◽  
Insurance Sector ◽  
Market Index ◽  
The Individual ◽  
Effective Transfer

We quantify the strength and the directionality of information transfer between the Ghana stock market index and its component stocks as well as observe the same among the individual stocks on the market using transfer entropy. The information flow between the market index and its components and among individual stocks is measured by the effective transfer entropy of the daily logarithm returns generated from the daily market index and stock prices of 32 stocks ranging from 2nd January 2009 to 16th February 2018. We find a bidirectional and unidirectional flow of information between the GSE index and its component stocks, and the stocks dominate the information exchange. Among the individual stocks, SCB is the most active stock in the information exchange as it is the stock that receives the highest amount of information, but the most informative source is EGL (an insurance company) that has the highest net information outflow while the most information sink is PBC that has the highest net information inflow. We further categorize the stocks into 9 stock market sectors and find the insurance sector to be the largest source of information which confirms our earlier findings. Surprisingly, the oil and gas sector is the information sink. Our results confirm the fact that other sectors including oil and gas mitigate their risk exposures through insurance companies and are always expectant of information originating from the insurance sector in relation to regulatory compliance issues. It is our firm conviction that this study would allow stakeholders of the market to make informed buy, sell, or hold decisions.

Oil price and stock market index in exporting and importing countries: evidence from MENA

2012 ◽  
Vol 2 (4) ◽  
pp. 363
Author(s):  
Hussein Mohammad Salameh ◽  
Bashar Al Zu' ◽  
N.A. bi ◽  
Khaled Abdelal Al Zubi ◽  
Ihab Khaled Magableh
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Stock Market Index ◽  
Market Index

Permutation entropy and statistical analysis of the historical evolution of the Mexican stock market index

2022 ◽  
Author(s):  
M. Rodríguez-Achach ◽  
A. Suárez-Solís ◽  
A. R. Hernández Montoya ◽  
J. E. Escalante-Martínez ◽  
C. Calderón-Ramón
Keyword(s):  
Stock Market ◽  
Time Window ◽  
Stock Index ◽  
Permutation Entropy ◽  
Stock Market Index ◽  
Statistical Tools ◽  
Efficient Market ◽  
Market Index ◽  
Before And After ◽  
Year 2000

The objective of this work is to analyze the Indice de Precios y Cotizaciones (IPC), which is the Mexican stock market index, by using several statistical tools in order to study the tendencies that can shed light on the evolution of the IPC towards a more efficient market. The methodology used is to apply the statistical tools to the Mexican index and compare the results with a mature and well-known market index such as the Dow Jones Industrial Average (DJIA). We employ an autocorrelation analysis, and the volatility of the indexes, applied to the daily returns of the closing price on a moving time window during the studied period (1980–2018). Additionally, we perform an order three permutation entropy analysis, which can quantify the disorder present in the time series. Our results show that there is evidence that the IPC has become more mature since its creation and that it can be considered an efficient market since around year 2000. The behavior of the several techniques used shows a similar behavior to the DJIA which is not observed before that year. There are some limitations mainly because there is no high frequency data that would permit a more detailed analysis, specifically in the periods before and after a crisis is located. Our conclusion is that since around the year 2000, the Mexican stock index displays the typical behavior of other mature markets and can be considered as one.

scholarly journals Assessing the reaction of the Baltic stock market to the spread of the COVID-19 pandemic

2021 ◽  
Vol 25 ◽  
pp. 260-272
Author(s):  
Greta Keliuotyte-Staniuleniene ◽  
Julius Kviklis
Keyword(s):  
Stock Market ◽  
Impulse Response Functions ◽  
Cumulative Number ◽  
Response Functions ◽  
Stock Market Index ◽  
Market Index ◽  
Dependent Variables ◽  
The Baltic ◽  
The Impact ◽  
Research Period

This research aims to assess the impact of the spread of the COVID-19 pandemic on the Baltic stock market. To reach this aim, the methods of bivariate (OLS) regression and VAR-based impulse response functions are employed. We use daily new cases of COVID-19 as well as the cumulative number of COVID-19 cases as independent and OMX Baltic Benchmark GI index as dependent variables for our research. The research period, covering data from 2020 March 1st  to 2020 November 21st, is divided into three separate periods, reflecting the different phases of the spread of the COVID-19 pandemic. The results of the research revealed that the market reaction differs depending on the period; moreover, the Baltic stock market index was affected by new cases and total cases in a slightly different manner.

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.

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