scholarly journals Testing the Asymmetric Response of China’s Stock Returns to Oil Price Dynamics: Does Fear of COVID-19 Matter?

2021 ◽  
Author(s):  
Joel Ede Owuru
Keyword(s):  
Stock Returns ◽  
Oil Price ◽  
Price Dynamics ◽  
Asymmetric Response

The Impact of Oil Price Fluctuations on Industry Stock Returns: Evidence from International Markets

2018 ◽  
Vol 5 (1) ◽  
pp. 1-12
Author(s):  
Elias Randjbaran ◽  
Reza Tahmoorespour ◽  
Marjan Rezvani ◽  
Meysam Safari
Keyword(s):  
Stock Returns ◽  
Oil And Gas ◽  
Negative Relationship ◽  
The United States ◽  
Oil Price ◽  
Price Variation ◽  
Price Changes ◽  
Price Fluctuations ◽  
Food And Beverage ◽  
The Impact

This study investigates the impact of oil price variation on 14 industries in six markets, including Canada, China, France, India, the United Kingdom, and the United States. Panel weekly data were collected from June 1998 to December 2011. The results indicate that price fluctuations primarily affect the Oil and Gas as well as the Mining industries and have the least influence on the Food and Beverage industry. Furthermore, in three out of six of these countries (Canada, France, and the U.K.), oil price changes negatively affect the Pharmaceutical and Biotechnology industry. One possible reason for the negative relationship between oil price changes and the Pharmaceutical and Biotechnology industries in the above-mentioned countries is that the governments of these countries fund their healthcare systems. Portfolio managers and investors will find the results of this study useful because it enables adjusting portfolios based on knowledge of the industries that are impacted the most or the least by oil price fluctuations.

Crude Oil Price Dynamics With Crash Risk Under Fundamental Shocks

2020 ◽  
Author(s):  
Cho-Hoi Hui ◽  
Chi-Fai Lo ◽  
Chi-Hin Cheung ◽  
Andrew Wong
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Crash Risk ◽  
Price Dynamics ◽  
Crude Oil Price

Impact of oil volatility shocks on global emerging market stock returns

2017 ◽  
Vol 13 (5) ◽  
pp. 578-591 ◽  
Author(s):  
Probal Dutta ◽  
Md Hasib Noor ◽  
Anupam Dutta
Keyword(s):  
Stock Returns ◽  
Emerging Market ◽  
Equity Returns ◽  
Oil Price ◽  
Financial Assets ◽  
Stock Market Returns ◽  
Content Type ◽  
Volatility Index ◽  
Jump Model ◽  
Oil Price Risk

Purpose The purpose of this paper is to investigate whether the crude oil volatility index (OVX) plays any key role in explaining the trend in emerging market stock returns from a global standpoint. Design/methodology/approach At the empirical stage, different forms of the GARCH-jump model have been estimated. Findings The findings confirm the effects of OVX on equity returns. In addition, the results document that there exist time-varying jumps in the stock market returns. Besides, the impacts of OVX shocks appear to be symmetric. The analysis further shows that the magnitude of OVX impact is marginally bigger than that of the conventional oil price shocks. Originality/value Since various financial assets are traded on the basis of oil and equity markets, investors, for instance, could use the findings of this study for taking proper investment decisions and gaining better portfolio diversification benefits. Additionally, policymakers could utilize the results to develop effective measures and strategies in order to minimize the oil price risk.

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

2018 ◽  
Vol 4 ◽  
pp. 624-637 ◽  
Author(s):  
Ekhlas Al-hajj ◽  
Usama Al-Mulali ◽  
Sakiru Adebola Solarin
Keyword(s):  
Stock Returns ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Nonlinear Ardl

scholarly journals Time-Varying Spot and Futures Oil Price Dynamics

2010 ◽  
Author(s):  
Guglielmo Maria Caporale ◽  
Davide Ciferri ◽  
Alessandro Girardi
Keyword(s):  
Oil Price ◽  
Price Dynamics ◽  
Time Varying

scholarly journals Oil price effect on sectoral stock returns: A conditional covariance and correlation approach for Mexico

2020 ◽  
Vol 16 (1) ◽  
pp. 1-15
Author(s):  
Rodrigo A. Morales Fernández Rafaelly ◽  
Roberto J. Santillán-Salgado
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Spillover Effect ◽  
Oil Prices ◽  
Oil Price ◽  
Price Effect ◽  
Stock Market Performance ◽  
Original Contribution ◽  
Bivariate Garch Model ◽  
The Relationship

This paper analyzes the relationship between the volatility of oil price and selected sectoral stock returns in Mexico (industrials, materials, financials and consumer discretionary) by implementing a Diagonal VECH-type bivariate GARCH model in order to estimate conditional covariances and correlations. The econometric results suggest that there exists a statistically significant relationship between sector indices, as well as between Mexico’s aggregate stock exchange returns, and variations in oil prices. Conditional correlations suggest that during most of the analyzed period, the relationship between oil price fluctuations and sectoral stock returns is positive. The recommendation, supported by these results, is that investors should take into consideration the interaction between the analyzed variables in order to generate more robust risk-hedge strategies. An important limitation for this work is information availability at sector level in the country. The original contribution of this paper lies mainly in the analysis of the influence of oil prices over sectoral indices of the Mexican Stock Exchange. These results provide more support to the current that suggests that a price increase in oil has a direct spillover effect on stock market performance.

scholarly journals Wavelet Entropy Based Analysis and Forecasting of Crude Oil Price Dynamics

Entropy ◽  
2015 ◽  
Vol 17 (12) ◽  
pp. 7167-7184 ◽  
Author(s):  
Yingchao Zou ◽  
Lean Yu ◽  
Kaijian He
Keyword(s):  
Crude Oil ◽  
Oil Price ◽  
Price Dynamics ◽  
Crude Oil Price ◽  
Wavelet Entropy
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