DO DIFFERENT TYPES OF OIL PRICE SHOCKS AFFECT THE INDIAN STOCK RETURNS DIFFERENTLY AT FIRM-LEVEL? A PANEL STRUCTURAL VECTOR AUTOREGRESSION APPROACH

This study quantifies the impact of oil price shocks and the subsequent monetary policy response on output for Pakistan. It employs a quarterly Structural Vector Auto-regression framework for the period 1993–2015. It first discovers that Hamilton’s (1996) Net Oil Price Increase indicator appropriately reveals most of the oil price shocks hitting Pakistan’s economy. We find that a contractionary monetary policy, resulting from the oil price shocks, contributes to significant output loss in Pakistan. After encountering the Lucas critique, the present study finds that around 42 percent of the output loss is due to the ensuing tight monetary policy. This suggests that the central bank of Pakistan can reduce the impact of oil price shocks by reducing its intervention in the market. JEL Classification: E1, E3, E5 Keywords: Oil Price Shocks, Monetary Policy, Structural Vector Autoregression

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Oil price shocks and stock returns nexus for Malaysia: Fresh evidence from nonlinear ARDL test

Energy Reports ◽

10.1016/j.egyr.2018.10.002 ◽

2018 ◽

Vol 4 ◽

pp. 624-637 ◽

Cited By ~ 12

Author(s):

Ekhlas Al-hajj ◽

Usama Al-Mulali ◽

Sakiru Adebola Solarin

Keyword(s):

Stock Returns ◽

Oil Price ◽

Oil Price Shocks ◽

Price Shocks ◽

Nonlinear Ardl

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COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS

Jurnal Teknologi ◽

10.11113/jt.v77.6543 ◽

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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Response of Stock Returns to Oil Price Shocks: Evidence from Oil Importing and Exporting Countries

Journal of Economic Integration ◽

10.11130/jei.2017.32.4.954 ◽

2017 ◽

Vol 32 (4) ◽

pp. 954-977 ◽

Cited By ~ 2

Author(s):

Jamal Bouoiyour ◽

Refk Selmi ◽

Syed Jawad Hussain Shahzad ◽

Muhammad Shahbaz

Keyword(s):

Stock Returns ◽

Oil Price ◽

Oil Price Shocks ◽

Price Shocks

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Does the source of oil price shocks matter for South African stock returns? A structural VAR approach

Energy Economics ◽

10.1016/j.eneco.2013.10.005 ◽

2013 ◽

Vol 40 ◽

pp. 825-831 ◽

Cited By ~ 44

Author(s):

Rangan Gupta ◽

Mampho P. Modise

Keyword(s):

Stock Returns ◽

South African ◽

Structural Var ◽

Oil Price ◽

Oil Price Shocks ◽

Price Shocks

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Oil price shocks, economic policy uncertainty and industry stock returns in China: Asymmetric effects with quantile regression

Energy Economics ◽

10.1016/j.eneco.2017.09.007 ◽

2017 ◽

Vol 68 ◽

pp. 1-18 ◽

Cited By ~ 64

Author(s):

Wanhai You ◽

Yawei Guo ◽

Huiming Zhu ◽

Yong Tang

Keyword(s):

Economic Policy ◽

Quantile Regression ◽

Stock Returns ◽

Oil Price ◽

Policy Uncertainty ◽

Oil Price Shocks ◽

Price Shocks ◽

Economic Policy Uncertainty ◽

Asymmetric Effects

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An Analysis of Oil Price Shocks on the Colorado Economy Using Vector Autoregression

Review of Regional Studies ◽

10.52324/001c.9327 ◽

1988 ◽

Author(s):

Alok K. Bohara

Keyword(s):

Vector Autoregression ◽

Oil Price ◽

Oil Price Shocks ◽

Price Shocks

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Oil price shocks against stock return of oil- and gas-related firms in the economic depression: A new evidence from a copula approach

10.31219/osf.io/4cm7b ◽

2020 ◽

Author(s):

Thu Thuy Nguyen ◽

T.N. Tran ◽

V.C. Nguyen

Keyword(s):

Financial Performance ◽

Stock Returns ◽

Stock Return ◽

Oil And Gas ◽

Oil Price ◽

Oil Price Shocks ◽

Price Shocks ◽

Copula Approach ◽

Economic Depression ◽

New Evidence

This research examines the influence of world crude oil price shocks on the financial performance of Vietnamese oil- and gas-related firms. Based on copula approach and the sample data of domestic giant oil- and gas firms from 2009 to 2019, in particular in the situation of oil price steadily going up and economic depression of 2011–2012; approximately nine copulas including Gauss, Clayton, Rotated-Clayton, Plackett, Frank, Gumbel, Rotated-Gumbel, Student, Symmetrized-Joe-Clayton have been focused. A new evidence could be found that the oil price shocks have not impacted on the stock return of oil- and gas-related firms in the wave of increasing oil price, but a lagged period of time oil- and gas-related firms could receive more stock returns. The results further demonstrate that world oil price fluctuations have significantly impacted on the financial performance of some firms as PVS, PVG, and PET in the pre-depression period. In respect to the economic depression of 2011–2012, the study reveals no evidence in the relationship between world oil price fluctuations and stock returns of oil- and gas-related firms. In other words, results in the post-depression period suggest that world oil price shocks can affect stock returns of selected giant oil- and gas-related firms.

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