scholarly journals CONTAGIOUS EFFECTS OF OIL PRICES ON ASIAN STOCK MARKETS’ BEHAVIOUR

2016 ◽  
Vol 31 (1) ◽  
pp. 141
Author(s):  
Jok-Tong Wan ◽  
Evan Lau ◽  
Rayenda Khresna Brahmana
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
South Korea ◽  
Stock Markets ◽  
East Asian ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
East Asian Stock Markets

The main objective of this study is to examine the stock markets’ shock due to the effect of the price of oil in the East Asia Region. Particularly, this study examines if there is stock market interdependence during global oil price shocks (sudden changes) for a sample of five total oil importers (the Philippines, Hong Kong SAR, Taiwan, South Korea, and Japan), four net oil importers (Indonesia, Singapore, Thailand, and China), and one net oil exporter (Malaysia) between 1999 and 2014. From the result, an oil price change is collectively found to have a small but significant positive impact on the stock markets, in particular where a sudden decrease in oil prices tends to cause a stock market downturn and volatility. The world economy’s spending, financial investments in oil futures and foreign investment by oil rich nations are some underlying motives for inducing this oil-stock positive relation. The same direction of time-varying conditional correlations is found across East Asian stock markets during negative oil price shocks. The integration among East Asian stock markets is inducing the oil shock contagion to be transmitted from direct oil-affected countries (South Korea, Hong Kong, and Singapore) to non-direct oil affected countries’ (Japan and Taiwan) stock markets. In spite of a long practiced ASEAN+3 macroeconomics surveillance process and Early Warning System (EWS) which can be customized for stock markets to prevent or detect the oil risk, hedging against initial oil-affected stock markets and a stronger influence by the East Asian countries in the global world of oil and capital investment are strongly suggested.Keywords: oil price; capital market integration; stock market behaviour

scholarly journals HOW DO INTERNATIONAL STOCK MARKETS RESPOND TO OIL DEMAND AND SUPPLY SHOCKS?

2013 ◽  
Vol 18 (8) ◽  
pp. 1657-1682 ◽  
Author(s):  
Jochen H. F. Güntner
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Structural Var ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand And Supply ◽  
Supply Shocks ◽  
Oil Demand

Building on Kilian and Park's (2009) structural VAR analysis of the effects of oil demand and supply shocks on the U.S. stock market, this paper focuses on the differences and commonalities of stock price responses in oil exporting and importing economies in 1974–2011. Structural oil price shocks add to our understanding of the 2008 stock market crash. I find that unexpected reductions in world oil supply do not affect stock returns in any of six OECD countries. Although an increase in global aggregate demand consistently raises oil prices and cumulative real stock returns, the effect is more persistent for oil exporters. Other, e.g., precautionary oil demand shocks have a detrimental impact on stock markets in oil-importing countries, a statistically insignificant effect for Canada, and a significantly positive effect for Norway. Oil price shocks account for a larger share of the variation in aggregate international stock returns than in national stock returns.

The Impact of Oil Price Shocks on Stock Market Returns in Each Regime using Vector Autoregressive Method

2019 ◽  
Vol 8 (1) ◽  
Author(s):  
Wahida Ainun Mumtaza ◽  
Asep Saefuddin ◽  
Bagus Sartono
Keyword(s):  
Stock Market ◽  
Agricultural Sector ◽  
Oil Prices ◽  
Oil Price ◽  
Vector Model ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Causality Test ◽  
Stock Market Returns ◽  
The Impact

 World oil prices affect the stock market in developed and developing countries, including Indonesia. Therefore, development of the Indonesian economy is affected by the shocks of world oil prices and the stock market. This study characterized the impact and causal relationship between oil price shocks and stock market in Indonesia from 1996 to 2016. In this research, there are nine sectors of the stock market, there are sector agriculture, basic, consumer, finance, infrastructure, mining, miscellaneous industry, property, and trade. To analyze the impact of oil price shocks to Indonesia stock market, we employed an autoregressive vector model (VAR) methodology involving different lags for each regime. We examined that the dynamic relationship between changes in oil prices and stock market in Indonesia in each regime varied which was indicated by impulse response and variance decomposition value. The Granger Causality test found that there were one-way relationship between oil variable with infrastructure sector variable, oil variable with agricultural sector variable and oil variable with basic sector variable in Regime 2, Regime 3 there was one way relationship significantly between oil variable with infrastructure sector variable and Regime 4 also there were one-way relationship. One-way relationship significantly between oil variable with property sector variable, but not significant in Regime 1.

scholarly journals The Volatility of Oil Prices on Stock Exchanges in the Context of Recent Events

2016 ◽  
Vol 11 (1) ◽  
pp. 112-123 ◽  
Author(s):  
Maria-Floriana Popescu
Keyword(s):  
Stock Market ◽  
Oil Prices ◽  
Oil Price ◽  
Stock Exchanges ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Stock Market Returns ◽  
Vast Number ◽  
Oil Markets ◽  
The Impact

AbstractOil along with currencies and gold are the main indicators of the most important processes which take place in the world economy, quotations’ volatility being always followed by economic and social events. Quiet periods of oil prices, when quotations have a constant evolution or only suffer minor fluctuations, are very rare. Most of the time, very sharp price increases or decreases are happening over night or week. This is mostly due to the fact that the oil market is extremely speculative, being influenced by political, military, social, or meteorological events. Since the major oil price shocks of the 70s, the impact of oil price changes on the economic reality of a country or region has been widely studied by academic researchers. Moreover, the stock market plays an important role in the economic welfare and development of a country. Therefore, a vast number of studies have investigated the relationship between oil prices and stock market returns, being discovered significant effects of oil price shocks on the macroeconomic activity for both developed and emerging countries. The purpose of this study is to investigate the volatility of oil prices on stock exchanges taking into consideration the recent events that have affected the oil markets around the globe. Furthermore, based on the findings of this research, some possible scenarios will be developed, taking into account various events that might take place and their potential outcome for oil prices’ future.

Monetary policy and the effect of the transfer of oil prices to inflation

2020 ◽  
pp. 41-50
Author(s):  
Ph. S. Kartaev ◽  
I. D. Medvedev
Keyword(s):  
Monetary Policy ◽  
Inflation Targeting ◽  
Dynamic Models ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Negative Effects ◽  
Price Shocks ◽  
Policy Regime ◽  
The Impact

The paper examines the impact of oil price shocks on inflation, as well as the impact of the choice of the monetary policy regime on the strength of this influence. We used dynamic models on panel data for the countries of the world for the period from 2000 to 2017. It is shown that mainly the impact of changes in oil prices on inflation is carried out through the channel of exchange rate. The paper demonstrates the influence of the transition to inflation targeting on the nature of the relationship between oil price shocks and inflation. This effect is asymmetrical: during periods of rising oil prices, inflation targeting reduces the effect of the transfer of oil prices, limiting negative effects of shock. During periods of decline in oil prices, this monetary policy regime, in contrast, contributes to a stronger transfer, helping to reduce inflation.

Exploring the inflationary effect of oil price in the US

2019 ◽  
Vol 13 (1) ◽  
pp. 60-76 ◽  
Author(s):  
Amine Lahiani
Keyword(s):  
Growth Rate ◽  
Structural Breaks ◽  
Oil Prices ◽  
Oil Price ◽  
Inflation Expectations ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Content Type ◽  
The Us ◽  
The Relationship

PurposeThe purpose of this paper is to explore the effect of oil price shocks on the US Consumer Price Index over the monthly period from 1876:01 to 2014:04.Design/methodology/approachThe author uses the Bai and Perron (2003) structural break test to split the data sample into sub-periods delimited by the computed break dates. Afterwards, the author uses the quantile treatment effects over the full sample and then, by including sub-periods dummies to accommodate the selected structural breaks that drive the relationship between inflation and oil price growth.FindingsThe findings include a decreased transmission effect of oil price changes on inflation in recent years; a varied elasticity of inflation to the growth rate of oil prices across the distribution; and, finally, evidence of asymmetry in the relationship between the growth rate of oil prices and inflation, with a higher transmission mechanism for decreasing rather than increasing oil prices.Practical implicationsPolicymakers should remain alert to monitoring potential inflation increases and should take precautionary measures to anchor inflation expectations, because inflation reacts differently to positive and negative oil price shocks. Moreover, authorities should consider the asymmetric reaction of inflation to oil price shocks to adopt an appropriate monetary policy strategy to achieve the price stability target.Originality/valueThe paper used a quantile regression model with structural breaks, which has not yet been used in the literature.

THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET

2009 ◽  
Vol 50 (4) ◽  
pp. 1267-1287 ◽  
Author(s):  
Lutz Kilian ◽  
Cheolbeom Park
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
The Impact ◽  
The U.S

COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS

2015 ◽  
Vol 77 (20) ◽  
Author(s):  
Siok Kun Sek ◽  
Zhan Jian Ng ◽  
Wai Mun Har
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Oil Price ◽  
Multivariate Garch ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Long Run ◽  
Short Run

We conduct empirical analyses on comparing the spillover effects of oil price shocks on the volatility of stock returns between oil importing and oil exporting countries. In particular, we seek to study how the nature of oil price shocks differs due to the oil dependency factor and how the stock markets react to such shocks. Applying the multivariate GARCH-BEKK(1,1) model, our results detect spillover effects between crude oil price and stock returns for all countries. The short run persistencies of shocks are smaller but the persistencies of shocks are very high in the long run. The results hold for both groups of countries. The results imply larger spillover effect from oil price shock into stock market in the oil importing countries.

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