scholarly journals The Sensitivity of GCC Firms’ Stock Returns to Exchange Rate, Interest Rate, and Oil Price Volatility

2020 ◽  
Author(s):  
Marim Alenezi ◽  
Ahmad Alqatan ◽  
Obby Phiri
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Returns ◽  
Price Volatility ◽  
Oil Price ◽  
Oil Price Volatility

scholarly journals The sensitivity of GCC firms’ stock returns to exchange rate, interest rate, and oil price volatility

2020 ◽  
Vol 17 (4) ◽  
pp. 35-50
Author(s):  
Mariam Alenezi ◽  
Ahmad Alqatan ◽  
Obby Phiri
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Returns ◽  
Price Volatility ◽  
Interest Rate Risk ◽  
Oil Price ◽  
Exchange Rate Risk ◽  
Oil Price Volatility ◽  
Gcc Countries ◽  
Rate Risk

This study seeks to investigate the sensitivity of stock returns to exchange rate, interest rate and oil price volatility in the Gulf Cooperation Council (GCC) countries. It employs both the multivariate ordinary least square (OLS) regression and the exponential generalized autoregressive conditional heteroscedastic in mean (EGARCH-M) models to analyse the data collected from Bloomberg and DataStream on the GCC countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates) for the period January 2007 to June 2012. The study shows that stock returns in GCC countries are influenced by the exchange rate risk, interest rate risk and oil price risk. However, the exposure is highest for exchange rate risk and lowest for interest rate risk. While the effects of these risks were mixed, overall, exchange rate risk and oil price risk showed a positive and significant relationship as compared to the interest rate risk that showed a negative significant effect on firm values. The level of the effect of these risks also differed from country to country. Further, foreign operations and firm size had a significant influence on the extent of the firms’ exposure to all three risks. The study findings suggest that the volatility of stock returns affected by changes in the risk factors could indicate non-prioritisation of risk management by firms. This has implications in terms of consideration of the long-term exposure of firms to these three risks and thus, the need for effective risk management strategies.

scholarly journals Modeling and Forecasting Gold Prices

2020 ◽  
Author(s):  
Richmond Sam-Quarm ◽  
Mohamed Osman Elamin Busharads
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Price Volatility ◽  
Gold Price ◽  
Oil Price ◽  
Future Market ◽  
Open Interest ◽  
Long Run ◽  
Short Run ◽  
Japanese Yen

The aim of this paper is to explore the reasons of gold price volatility. It analyses the information function of the gold future market by open interest contracts as speculation effect, and further fundamental factors including inflation, Chinese yuan per dollar, Japanese yen per dollar, dollar per euro, interest rate, oil price, and stock price, in the short-run. The study proceeds to build a Dynamic OLS model for long-run equilibrium to produce reliable gold price forecasts using the following variables: gold demand, gold supply, inflation, USD/SDR exchange rate, speculation, interest rate, oil price, and stock prices. Findings prove that in the short-run, changes in gold price does granger cause changes in open interest, and changes in Japanese yen per dollar does granger cause changes in gold price. However, in the long-run, the results prove that gold demand, gold supply, USD/SDR exchange rate, inflation, speculation, interest rate, and oil price are associated in a long-run relationship.References

scholarly journals Oil price volatility and stock returns in the G7 economies

2016 ◽  
Vol 54 ◽  
pp. 417-430 ◽  
Author(s):  
Elena Maria Diaz ◽  
Juan Carlos Molero ◽  
Fernando Perez de Gracia
Keyword(s):  
Stock Returns ◽  
Price Volatility ◽  
Oil Price ◽  
Oil Price Volatility

scholarly journals How does gold and oil price volatility affect Turkish financial markets?

2020 ◽  
Vol 9 (4) ◽  
pp. 262-270
Author(s):  
Hakan Öner ◽  
Hande Kılıç Satıcı
Keyword(s):  
Exchange Rate ◽  
Financial Markets ◽  
Interest Rates ◽  
Price Volatility ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Volatility ◽  
Causality Relationship ◽  
Us Dollar ◽  
Turkish Lira

Gold and oil price volatilities are thought to have an impact on financial markets. The main aim of this study is to examine the effects of changes in gold and oil prices on Turkish financial markets. For this purpose, the effects of gold and oil price volatilities on nominal US dollar/Turkish lira exchange rate, Borsa Istanbul 100 Index and Turkey 10-year bond interest rates are used to represent Turkish financial markets are analysed by Granger Casuality Test. The study comprises daily data over the period of June 1, 2010 - April 30, 2017. According to the results of the analysis, there is no causality relationship from gold and oil prices to Turkish financial markets. On the other hand, it is concluded that there is a one-way causality relationship from BIST100 index to Turkey 10-year bond interest rate and two-way causality relationship between BIST 100 index and nominal US dollar/Turkish lira exchange rate.

scholarly journals Oil Prices and Firm Returns in an Emerging Market

2021 ◽  
Vol 24 (1) ◽  
pp. 166-187
Author(s):  
Esin Cakan ◽  
Sercan Demiralay ◽  
Veysel Ulusoy
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Returns ◽  
Information Diffusion ◽  
Emerging Market ◽  
Oil Prices ◽  
Nominal Exchange Rate ◽  
Oil Price ◽  
Firm Level ◽  
Level Data

This study examines the oil price effect on Turkish stock market as an emerging country on firm level data. After controlling short term interest rate, nominal exchange rate and crude oil price, we find that firms behave differently to a change in oil prices. The findings include these: i) variations in oil prices do not significantly affect Turkish firm returns. Out of 153, only 38 firms are affected significantly by oil price after controlling exchange rate and interest rate; ii) oil prices influence stock returns of Turkish firms, suggesting that under reaction and gradual information diffusion hypotheses may hold. iii) small and middle-sized firms are more affected negatively from oil price changes, where large-sized firms affected more positively. The empirical findings of this study have potential implications and offer significant insights for both practitioners and policy makers.

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