scholarly journals Oil Price, Oil Price Implied Volatility (OVX) and Illiquidity Premiums in the US: (A)symmetry and the Impact of Macroeconomic Factors

2020 ◽  
Vol 13 (4) ◽  
pp. 70
Author(s):  
Mohammad Sharik Essa ◽  
Evangelos Giouvris
Keyword(s):  
Implied Volatility ◽  
Negative Impact ◽  
Positive Impact ◽  
Oil Price ◽  
Macroeconomic Factors ◽  
Full Sample ◽  
Crisis Period ◽  
The Us ◽  
Short Run ◽  
The Impact

We examine the impact of oil price and oil price volatility on US illiquidity premiums (return on illiquid-minus-liquid stocks), using the US Oil Fund options implied volatility OVX index. We use daily data from 2007 to 2018, taking into account the structural break in June 2009 and controlling for macroeconomic factors. Both OLS and VAR models indicate that oil price has a significantly positive impact and OVX has a significantly negative impact on premiums, for the full sample and post-crisis period. These relationships are potentially driven by investor sentiments and market liquidity. Oil price has a negative impact on premiums during the crisis period. Using an autoregressive distribution lag model and an error correction model, we analyse long- and short-run elasticities. We find that oil price has a significantly positive impact on premiums both in the long- and short-run, for the full sample and post-crisis period. OVX only has a significantly negative impact in the short-run for the full sample. The reverting mechanism to establish long-run equilibrium is effective for the full sample and post-crisis period. Illiquidity premiums do not show any asymmetric responses to oil price changes but we do find evidence of asymmetric response to OVX changes.

scholarly journals The Impact of Macroeconomic Factors on US Islamic and Conventional Equity

2019 ◽  
Vol 32 (2) ◽  
pp. 43-58
Author(s):  
Mazhar Hallak Kantakji Mazhar Hallak Kantakji
Keyword(s):  
Interest Rate ◽  
Industrial Production ◽  
Stock Index ◽  
Screening Process ◽  
Macroeconomic Factors ◽  
Long Run ◽  
The Us ◽  
Endogenous Variables ◽  
Short Run ◽  
The Impact

This study explores the influence of economic fundamentals on both Islamic and conventional equity in the US stock market by applying various methods of time series techniques focusing on the period from January 1996 to September 2013. The empirical results show that the exogenous variables are industrial production (IP), interest rate (T3), and consumer production index (CPI); whereas Islamic stock index (IS), conventional stock index (CS), and money supply (M2) are endogenous variables. When IP, T3, or CPI receives a shock, it will deviate from the equilibrium and will transmit the shock to other variables whereas if IS, CS, or M2 undergoes a shock, the long-run combination will correct it through the short-run adjustment to the equilibrium. The empirical findings also reveal a higher impact of industrial production and lower impact of interest rate on Islamic equity, as compared to conventional equity. Our results are consistent with the theory that Islamic finance, due to its effective Sharīʿah screening process, is more prevalent in the real economic sector and less associated with interest-based activities.

scholarly journals THE IMPACT OF OIL PRICE ON STOCK MARKET:EMPIRICAL EVIDENCE FROM US

2021 ◽  
Vol 9 (1) ◽  
pp. 330-337
Author(s):  
Shanaz hakim , Tugut Tursoy,
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Negative Impact ◽  
Positive Impact ◽  
Oil Price ◽  
P Value ◽  
Crude Oil Price ◽  
Crude Oil Prices ◽  
Interactive Relationship ◽  
The Impact

The analysis of this research focuses on the interactive relationship among the fluctuation of crude oil prices, the real GDP and the stock market of United State. This empirical investigation uses data is in between 1990 and 2018 with the Vector Auto-regression (VAR) analysis, and multiple regressions with its assumption were used in order to analyses data.  Findings, oil price and economic growth are very important determinates of stock market in US because the p-value of this were less than the common alpha α =0.05. For instance, the crude oil price had positive impact on stock market because for each unit increasing of crude oil price, the stock market will increase by (0.276901) after holding all other variable constant. However, we find that GDP has negative impact on the participations of increasing the stock market.

scholarly journals Further Evidence on Asymmetry in the Impact of Oil Price on Exchange Rate and Stock Price in China using Daily Data

2021 ◽  
Vol 13 (5) ◽  
pp. 83
Author(s):  
Nazeer Ahmed ◽  
Ma Dingchou ◽  
Abdul Qayyum
Keyword(s):  
Exchange Rate ◽  
Stock Price ◽  
Structural Breaks ◽  
Oil Price ◽  
Nonlinear Ardl ◽  
Daily Data ◽  
The Us ◽  
Short Run ◽  
Us Dollar ◽  
The Impact

The role of oil price on the macro-economy has been intensely researched. However, oil remains one of the most important energy sources for production. Concerning China, there are projections that the country’s energy consumption would have risen to 18 billion barrels per day in the next two decades. Given China’s heavy reliance on oil, we reexamine the impact of oil price on the US dollar-Renminbi rate and the Shanghai index using daily data from 4/01/2010 to 29/03/2021. In our analysis, we apply the Nonlinear ARDL technique in the presence of structural breaks and find that oil price has asymmetric impact on exchange rate and stock price in the short-run alone. However, the asymmetry is only in terms of magnitude and not in terms of effect direction. Oil price is found to appreciate the Renminbi vis-à-vis the US dollar and to increase stock price significantly both in the short-run. We find that accounting for structural breaks is necessary for cointegration in using oil price to explain both variables.

scholarly journals How Does Internet Information Affect Oil Price Fluctuations? Evidence from the Hot Degree of Market

2020 ◽  
Vol 2020 ◽  
pp. 1-18
Author(s):  
Lu-Tao Zhao ◽  
Shi-Qiu Guo ◽  
Jing Miao ◽  
Ling-Yun He
Keyword(s):  
Negative Impact ◽  
Positive Impact ◽  
Supply And Demand ◽  
Oil Prices ◽  
Online News ◽  
Oil Price ◽  
Price Fluctuations ◽  
Internet Information ◽  
Interactive Relationship ◽  
The Impact

Not only the fundamentals of supply and demand but also international oil prices are affected by nonfundamental indicators such as emergencies. With the development of big data technology, many unstructured and semistructured factors can be reflected through Internet information. Based on this, this paper proposes a HD-based oil price forecasting model to explore the impact of Internet information on international oil prices. Firstly, we use LDA and other methods to extract topics from massive online news. Secondly, based on conditional probability and correlation, the positive hot degree (PHD) and negative hot degree (NHD) of the oil market are constructed to realize the quantitative representation of Internet information. Finally, the SVAR method is established to explore the interactive relationship between HD and oil prices. The empirical results indicate that PHD and NHD have a better ability to predict international oil prices compared with Google Trends which is widely used in the other research. In addition, PHD has a significant positive impact on oil prices and NHD has a negative impact. In the long term, PHD accounts for 51.00% of oil price fluctuations, ranking the first among relevant influencing factors. The findings of this paper can provide support to investors and policy-makers.

scholarly journals Fulfillment of ESG Responsibilities and Firm Performance: A Zero-Sum Game or Mutually Beneficial

2021 ◽  
Vol 13 (19) ◽  
pp. 10954
Author(s):  
Liang Chen ◽  
Tian Yuan ◽  
Richard J. Cebula ◽  
Wang Shuangjin ◽  
Maggie Foley
Keyword(s):  
Firm Performance ◽  
Nonprofit Organizations ◽  
Negative Impact ◽  
Positive Impact ◽  
Threshold Model ◽  
Substitution Effect ◽  
Inhibitory Influence ◽  
Significant Heterogeneity ◽  
Short Run ◽  
The Impact

Focusing on the 311 Chinese firms listed in the global markets from 2008 to 2019, based on the trade-off theory and the resource slack theory, using panel vector autoregressive model and panel threshold model, this paper explores the impact of fulfilling ESG responsibility on firm performance. The study reveals that in the short run, fulfilling ESG responsibility presents a “Substitution Effect,” whereas, in the long run, it presents a “Promotional Effect.” On the other hand, the improvement of firm performance has a significantly positive impact on ESG fulfillment investment, even though there is a strong hysteresis effect. Significant heterogeneity exists regarding the relationship between ESG fulfillment and firm performance. ESG fulfillment has a negative impact on firm performance in the short run, with the most affected firms being those small and mid-sized firms listed in the Mainland China markets. In the near term, the impact of firm performance on ESG fulfillment is positive, with those listed in the overseas markets and large firms being affected the most. The study reveals that firm size and the factors affiliated with ESG fulfillment tend to cause the differentiation effect in the inhibitory influence of ESG fulfillment on firm performance in the short run. This study could be used as a guideline for the social responsibilities of nonprofit organizations.

scholarly journals IMPACT OF MACROECONOMIC FACTORS ON FOREIGN DIRECT INVESTMENT IN SELECTED SOUTHEASTERN EUROPEAN COUNTRIES

TEME ◽  
2019 ◽  
pp. 1237 ◽  
Author(s):  
Jelena Andrašić ◽  
Vera Mirović ◽  
Branimir Kalaš
Keyword(s):  
Foreign Direct Investment ◽  
Direct Investment ◽  
Negative Impact ◽  
Positive Impact ◽  
Fixed Effect Model ◽  
European Countries ◽  
Market Size ◽  
Macroeconomic Factors ◽  
Effect Model ◽  
The Impact

Foreign direct investment has a significant role in Southeastern European countries. The aim of the paper is reflected in assessing the character and nature of the relationship between macroeconomic factors and foreign direct investment in Southeastern European countries. Further, the subject of paper includes the examination of the impact of selected macroeconomic variables on foreign direct investment in six countries for the period from 2000 to 2012. The selected countries are Albania, Bosnia and Herzegovina, Bulgaria, Macedonia, Romania and Serbia. The research includes an examination impact of market size, national competitiveness and employment on foreign direct investment. By using the Hausman test, it was confirmed that the fixed effect model is an appropriate model in panel analysis. Based on the result, it determined the positive impact of market size, while the industry's share of GDP and employment have a negative impact on this variable. Also, the results confirmed that only the market size of the countries significantly affected on the flow of foreign direct investment in Southeastern European countries.

scholarly journals Oil Prices, Emission Permits Trade of Carbon, and the Dependence Between Their Quantiles

2022 ◽  
Vol 16 ◽  
pp. 38-45
Author(s):  
Baoshuai Zhang ◽  
Yuqin Zhou
Keyword(s):  
Time Series ◽  
Crude Oil ◽  
Negative Impact ◽  
Positive Impact ◽  
Carbon Price ◽  
Oil Price ◽  
Series Data ◽  
Crude Oil Price ◽  
The Impact ◽  
Quantile Regression Method

The relations between carbon and oil market is concerned by many scholars but little research has focused on the dependence between their quantiles. We use Quantile on Quantile Regression method to study the impact of WTI crude oil price and Daqing crude oil price on carbon price and use wavelet analysis to clean and decompose the time series. Results show that the impact of crude oil on carbon is heterogeneous. Research based on the original sequence shows that crude oil price has a positive impact on carbon price at all quantile levels. Research based on decomposition sequence shows that the positive impact of crude oil on carbon begins to weaken, the zero effect begins to increase, and the negative impact also begins to appear. However, the negative impact on carbon price becomes stronger with the stability of the time series data obtained from the decomposition of crude oil price series gradually improving, while the positive impact gradually weakens.

Macroeconomic factors and stock returns: Evidence from the emerging market of Asia

2018 ◽  
Vol 5 (3) ◽  
pp. 16-20
Author(s):  
Muhammad Asad Saleem Malik ◽  
Saher Touqeer ◽  
Shumaila Zeb
Keyword(s):  
Exchange Rate ◽  
Stock Returns ◽  
Negative Impact ◽  
Positive Impact ◽  
Emerging Market ◽  
Consumer Price Index ◽  
Macroeconomic Factors ◽  
Macroeconomic Variables ◽  
Significant Negative Impact ◽  
The Impact

This study examines the impact of macroeconomic variables on stock returns of Pakistan, India and Sri Lanka for the period of 1997-2014. GMM approach is used to analyze the impact of macroeconomic variables on stock returns. Variables of the study were T-Bills, Exchange Rate, Consumer Price Index (CPI) and the Industrial Production Index (IPI). The results of study show that T-bills rate has significant negative impact while Exchange rate has a significant positive impact on the Stock Returns of the study period.

scholarly journals Fragility of State in Central African Republic: An Econometric Approach to Efficiency Understanding

2018 ◽  
Vol 21 (3) ◽  
pp. 681-697
Author(s):  
Yapatake Kossele Thales Pacific
Keyword(s):  
Central African Republic ◽  
Negative Impact ◽  
Positive Impact ◽  
The State ◽  
Policy Implications ◽  
Long Run ◽  
Short Run ◽  
High Level ◽  
The Impact ◽  
Control Of Corruption

A fragile state contributes to the underdevelopment of the nation and its consequences can be very devastating on the state’s cohesion, characterized by a high level of corruption which led the country to an incessant political instability and the continuous presence of foreign troops. 1 This article used the vector autoregresssion (VAR) model covering the period of 2005–2015 to examine the impact of control of corruption on the fragility of the state in the Central African Republic (CAR). The results show that control of corruption is significant and has a negative impact on the fragility of the state in the short run. The impulse response shows a negative impact of control of corruption in the short run but a positive impact in the long run on the fragility of the state. The policy implications of this fragility are that the CAR must pursue better governance as well as in the investment choices. Unless the CAR leaders and citizens recognize their own fragility, things can only get worse.

scholarly journals Impact of Trump’s Phenomenon, Brexit, & Oil Prices Fluctuation Toward Indonesia’s Economic Growth

2018 ◽  
Vol 7 (4) ◽  
pp. 348-373
Author(s):  
Abdul Holik
Keyword(s):  
Economic Growth ◽  
Economic Policy ◽  
Negative Impact ◽  
Positive Impact ◽  
Oil Prices ◽  
Developed Countries ◽  
Policy Uncertainty ◽  
Economic Policy Uncertainty ◽  
The Us ◽  
Short Run

This paper tries to find impact of global uncertainties toward Indonesia’s economic growth. Several problems which will be discussed in this paper namely: impacts of President Donald Trump’s policies, Brexit, and uncertainty regarding crude oil prices. It conducted from 1st quarter of 2010 until 1st quarter of 2017. The method of analysis used here is VECM (Vector Error Correction Model). We use dummy variable to capture the specific change of economic policies when Brexit and Trump’s emergence appear as the major issues which attract attention around the world. We consider these as the uncertainties which influence global society. Based on the result, there is positive impact of economic policy uncertainty in UK in the long-run. When Brexit was taken into account, in the short-run, it also has positive impact toward Indonesia’s economic growth. Meanwhile economic policy uncertainty in the US generates negative impact on Indonesia’s economic growth. But Trump’s emergence in the US presidency produces positive impact in the short-run. Oil price fluctuation as the latest shock in the global context has positive significant impact on Indonesia’s economic growth. We consider these results as ways to find breakthrough in understanding of changing policies from developed countries; that not all of them will contribute to negative matters. The conjecture, hunch, and any speculation must be postponed due to lack of convincing proofs.

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