scholarly journals Linkages Between Crude Oil and the Islamic Stock Market

2020 ◽  
Author(s):  
Tandya Vera Devi ◽  
Muhammad Budi Prasetyo
Keyword(s):  
Stock Market ◽  
Crude Oil

Nonparametric panel data model for crude oil and stock market prices in net oil importing countries

2017 ◽  
Vol 67 ◽  
pp. 255-267 ◽  
Author(s):  
Param Silvapulle ◽  
Russell Smyth ◽  
Xibin Zhang ◽  
Jean-Pierre Fenech
Keyword(s):  
Panel Data ◽  
Stock Market ◽  
Crude Oil ◽  
Data Model ◽  
Panel Data Model ◽  
Market Prices

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.

scholarly journals Forecasting Stock Market Price of Gold, Silver, Crude Oil and Platinum by Using Double Exponential Smoothing, Holt’s Linear Trend and Random Walk

2021 ◽  
Vol 1874 (1) ◽  
pp. 012087
Author(s):  
Shuhaidah Abdul Shukor ◽  
Suliadi Firdaus Sufahani ◽  
Kamil Khalid ◽  
Mohd Helmy Abd Wahab ◽  
Syed Zulkarnain Syed Idrus ◽  
...  
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Crude Oil ◽  
Linear Trend ◽  
Market Price ◽  
Exponential Smoothing ◽  
Double Exponential ◽  
Gold Silver ◽  
Double Exponential Smoothing

scholarly journals The Nexus between Stock Returns of Oil Companies and Oil Price Fluctuations after Heavy Oil Upgrading: Toward Theoretical Progress

Economies ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 71 ◽  
Author(s):  
Sedighi ◽  
Mohammadi ◽  
Fard ◽  
Sedighi
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Returns ◽  
Petroleum Industry ◽  
Oil Industry ◽  
Oil Price ◽  
Investment Policies ◽  
Price Fluctuations ◽  
Oil Companies ◽  
Petroleum Companies

This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil. Considering the Asphaltene Removal (AR) as a factor in the nexus between oil price and the stock market is an innovation in the literature of energy finance. Asphaltenes cause many problems in the petroleum industry, which increases the cost of oil production and reduces the financial efficiency of oil companies. The AR is certainly one of the significant matters of the oil industry and can affect the price of oil. Therefore, changes in the price of oil can influence the price of oil company stocks. Hence, changes in stock prices will certainly affect the stock returns of oil companies. In an effort to solve this puzzle, the four financial models were employed to explore the nexus between oil price fluctuations and stock returns. The analysis of the results demonstrated that the oil price fluctuations caused by the removal of asphaltenes influence the stock returns of petroleum companies. Eventually, the theoretical hypothesis was confirmed by considering the USA as a case study. The outcomes of this investigation are a theoretical progression in areas related to the petroleum industry and the stock market that could lead to the adoption of new investment policies in the petroleum industry including investing in new procedures to manage and decrease the costs and time of the AR process, which would result in the advancement of petroleum companies. In fact, we have introduced a modern investment strategy in the oil industry aimed at reducing oil production costs, improving financial statements and increasing the stock returns of petroleum companies. Eventually, we will present new investment policies in the oil industry that can lead to economic growth and development of financial markets especially stock market, derivatives market, futures exchange, commodities exchange, as well as bond market.

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.

Sign in / Sign up

Export Citation Format

Share Document