scholarly journals Examination of the Nonlinear Relationship between Stock Index and Oil Prices

2019 ◽  
Vol 18 (3) ◽  
pp. 107-129
Author(s):  
Sangbae Kim
Keyword(s):  
Oil Prices ◽  
Stock Index ◽  
Nonlinear Relationship

scholarly journals Symmetric and Asymmetric Causal Relationship between Oil Prices and G7 Stock Markets: A Bootstrap Rolling-Window Granger Causality Test

2021 ◽  
Vol 36 (4) ◽  
pp. 718-744
Author(s):  
Khaled Mokni ◽  
Mohamed Sahbi Nakhli ◽  
Othman Mnari ◽  
Khemaies Bougatef
Keyword(s):  
Stock Markets ◽  
Global Financial Crisis ◽  
Oil Prices ◽  
Causal Link ◽  
Stock Index ◽  
Causality Test ◽  
Hedging Strategies ◽  
Rolling Window ◽  
Window Approach ◽  
Asymmetric Causality

This study examines the causal relationships between oil prices and the MSCI stock index of G7 countries between September 2004 and October 2020. This study is novel in implementing symmetric and asymmetric time-varying causality tests based on the bootstrap rolling-window approach. The results reveal that the causal link between oil prices and G7 stock markets is time-dependent. The periods of bidirectional causality roughly coincide with the global financial crisis and the ongoing COVID-19 pandemic. When asymmetry is accounted for, the results suggest an asymmetric causality between the two markets expressed by different patterns regarding positive and negative oil shocks. The results also indicate symmetric causality during the COVID-19 pandemic. These findings have implications for portfolio design and hedging strategies that are important to both policymakers and investors.

OIL PRICE FLUCTUATIONS AND STOCK MARKET BEHAVIOR IN A RESOURCE-DOMINANT ECONOMY: CASE OF KAZAKHSTAN

2020 ◽  
pp. 1-25
Author(s):  
MOLDIR MUKAN ◽  
YESSENGALI OSKENBAYEV ◽  
NIKI NADERI ◽  
YERGALI DOSMAGAMBET
Keyword(s):  
Stock Market ◽  
Aggregate Demand ◽  
Price Volatility ◽  
Oil Prices ◽  
Oil Price ◽  
Stock Index ◽  
Stock Market Index ◽  
Oil Price Volatility ◽  
Positive Shock ◽  
The Impact

During the past 10 years, the oil market has been very unpredictable and volatile, which created uneasy conditions for market participants. The remedy of increasing oil prices is considered as a positive factor for the economy of the Republic of Kazakhstan as an oil-exporting country. Using structural decomposition of vector autoregression (VAR), this study aims to examine how the whole financial system in Kazakhstan is depending on oil prices. The results suggest that the strongest factor affecting the stock index is aggregate demand, and the impact of oil production shocks on the equity market is, on average, insignificant. Such shocks can be discounted while a fall in oil prices affects financial conditions as a whole, damaging the solvency of Kazakhstan, an oil-exporting country. With the positive shock of aggregate demand, the stock market index tends to rise. There is also an effect of oil price volatility on changes in currency value, which also influences the financial situation of the country. Moreover, oil-exporting countries such as Kazakhstan can secure and support their economies with the help of “stable aggregate demand”. The focus on Kazakhstan as one of the oil-producing countries is interesting for at least two reasons. Importantly, oil-exporting countries supply oil to really strong countries concentrating on manufacturing and other industries. Besides, this study provides useful insights for countries with similar economic conditions, including similar stock market development.

Connectedness among crude oil prices, stock index and metal prices: An application of network approach in the USA

2019 ◽  
Vol 62 ◽  
pp. 57-65 ◽  
Author(s):  
Shaiara Husain ◽  
Aviral Kumar Tiwari ◽  
Kazi Sohag ◽  
Muhammad Shahbaz
Keyword(s):  
Crude Oil ◽  
Oil Prices ◽  
Stock Index ◽  
Network Approach ◽  
Crude Oil Prices ◽  
The Usa

scholarly journals The Influence of Global Stock Index and the Economic Indicators of Stock Investment Decision by Foreign Investors in the Indonesian Stock Exchange

2017 ◽  
Vol 2 (1) ◽  
pp. 32-37
Author(s):  
Sulaeman Rahman Nidar ◽  
Erwin Jaya Diwangsa
Keyword(s):  
Exchange Rate ◽  
Global Economy ◽  
Stock Exchange ◽  
Investment Decision ◽  
Oil Prices ◽  
Stock Index ◽  
Fund Flows ◽  
Jones Index ◽  
Negative Effect ◽  
Global Stock

Objective - The objective of this study is to determine how the movement of several indices and indicators of the global economy affect the change in investment by foreign fund flows in the Indonesia Stock Exchange (BEI). Methodology/Technique - Some global stock indices used in this study comprise the Dow Jones index, the Nikkei 225 index, the Shanghai index (SSE) and the Singapore Index (STI). Data were taken monthly from March 2009 to June 2014. Findings - The results obtained from this study indicate that the Dow Jones index and the STI index have a significant positive effect on the movement of foreign investmentsin the Stock Exchange. In contrast, the movement of world oil prices and exchange rate of the IDR/USD have a significant negative effect on the movement of foreign investments in the BEI. Novelty - The results of this study reinforces that the depreciation of the rupiah against the USD is an indication that the fundamentals of the Indonesian economy is not strong enough. Type of Paper: Empirical Keywords: Dow Jones, Nikkei 225 Index, Shanghai Index (SSE), STI Index, World Oil Prices, World Gold Price, Exchange Rate IDR/USD

scholarly journals Linkages Between Brent Oil Price And Iran Stock Market: New Evidence From The Corona Pandemic

2021 ◽  
Author(s):  
Vida Varahrami ◽  
Masoumeh Dadgar
Keyword(s):  
Stock Market ◽  
Oil And Gas ◽  
Causal Effect ◽  
Oil Prices ◽  
Jel Classification ◽  
Oil Price ◽  
Stock Index ◽  
Impulse Response Functions ◽  
Stock Market Index ◽  
Market Index

Abstract This article reviews the relationship between the oil market and the stock market during the Corona outbreak. This study aims to analyze the stock market and the effect of oil prices on this market during the corona pandemic. The hypothesis of this paper is whether while oil prices shocks happen due to business cycle fluctuations and some other reasons like political reasons, occur; The correlations between changes in Brent oil prices and stock market indices tend to be affected by named corona indexes. Forecasting the stock market in each period has been difficult and the value of stock index has been affected by various factors. Among these factors has been the oil and gas sector, especially in countries dependent on the revenue from their sales. On the other hand, the outbreak of Covid-19 pandemic has led to profound changes in both areas. This study examines relationship between Brent oil price and Iran stock market Index during the outbreak of corona pandemic. Research method is, vector autoregression model (VAR) which using daily data covering the period from February 20, 2020 to August 21,2020. The findings of this study suggest that a negative causal effect from Brent oil price changes to the Iran stock market Index. Also, the results of impulse response functions and variance decompositions showed that some corona pandemic indicators have significant effects on the stock index.JEL Classification: I18, E44, Q4, C5

Nonlinearity Between Economic Indicators and Indian Capital Market

2021 ◽  
pp. 231971452110354
Author(s):  
Neeraj Nautiyal ◽  
Vinay Kandpal
Keyword(s):  
Crude Oil ◽  
Interest Rates ◽  
Short Interval ◽  
Linear Method ◽  
Oil Prices ◽  
Stock Index ◽  
Favourable Effect ◽  
Explanatory Variables ◽  
Currency Exchange

The current work adds to the present research by exploring the asymmetric impact of gold prices, interest rates, oil prices and the currency exchange movements in the Indian equity market. The study considers the monthly price of interest rate, crude oil, USD versus INR, BSE Sensex closing value and the prices of gold. A non-linear method promoted by Shin et al. (2014) is applied to 27 years of data from 1990 to 2018 to examine short-term and long-term asymmetrical relationships. The empirical outcome revealed that the variables analysed have an asymmetrical influence on the equity index. Positive shocks on crude oil prices affect the stock index negatively, while gold price changes tend to generate a favourable effect on the stock indices in a short interval yet suggest the adverse impact in the long-run. A positive short and long-term reaction on the equity indices is seen due to the negative move in currency exchange. The results are essentially significant due to the commodities’ volatility pattern that plays a determining role to value derivatives and hedging instruments. The asymmetric relation of explanatory variables with stock index offers a superior understanding of the risky environment, especially in emerging financial markets.

Russian Stock Index volatility: Oil and sanctions

2020 ◽  
pp. 86-100
Author(s):  
Artem D. Aganin
Keyword(s):  
Stock Market ◽  
Price Volatility ◽  
Oil Prices ◽  
Stock Index ◽  
Sharp Drop ◽  
Oil Price Volatility ◽  
Russian Stock Market ◽  
The Garch Model ◽  
The Impact ◽  
Parametric Estimate

Since 2014, the Russian stock market has been under pressure due to both sanctions and a sharp drop in oil prices, which led to its increased volatility. This paper analyzes the impact of the price volatility of Brent oil and sanctions on the volatility of the Russian stock index RTS. Under volatility the paper understands both its parametric estimate obtained from the GARCH model estimation as well as non-parametric estimate — realized volatility. To estimate the effect of oil price volatility and sanctions, several cointegrated regressions were analyzed. The robustness of the results in relation to the choice of volatility assessment is demonstrated. The results show that RTS index volatility still depends on oil prices volatility in 2007—2018. This dependence is most pronounced in the periods of crisis. The paper also demonstrates the adjustment of the Russian stock market to the previous sanctions, which calls into question their long-term efficiency.

Sign in / Sign up

Export Citation Format

Share Document