scholarly journals CRUDE OIL PRICE, STOCK PRICE AND SOME SELECTED MACROECONOMIC INDICATORS: AN IMPLICATION ON THE GROWTH OF NIGERIAN ECONOMY

2021 ◽  
Vol 5 (2) ◽  
Author(s):  
Idowu Paul Olanitori ◽  
Olaiya Hawley Ademulegun ◽  
Olateru Olagbegi Adeparubi
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Price ◽  
Exchange Rate Policy ◽  
Oil Price ◽  
Crude Oil Price ◽  
Economic Activities ◽  
Forecast Horizon ◽  
Macroeconomic Variables ◽  
Long Run

Since the first oil price oscillation in 1973s, macroeconomists have viewed sharp measures in the price of oil are generally as an important source of economic vacillations. The go-slow of economic activities has important implications for economic agents and markets. Therefore, this paper models and forecasts the crude oil price, stock price and selected macroeconomic variables in Nigeria. A model predicated on the Keynesian model using yearly data between 1986 and 2016 and analysed using VECM and GARCH approaches. The findings showed that there is long run relationship through Vector Error Correction Model which was achieved well in forecasting the selected macroeconomic variables while the volatility in crude oil price and stock price causes by external and internal forces also captured by General Autoregressive Conditional Heteroskadasticity. The long run negative effect of macroeconomic variable on economy growth can be controlled by making strong fiscal and monetary policies. The 2016 recession was reinforced by all share index and exchange rate as the path of growth declined over the forecast horizon. Further checks carried out using normality test validated the choice of this work. The paper concludes that monetary and exchange rate policy consistency are decisive for smoothening business rotation vacillations and promoting market stability. JEL: L10; E30 <p> </p><p><strong> Article visualizations:</strong></p><p><img src="/-counters-/edu_01/0851/a.php" alt="Hit counter" /></p>

scholarly journals PENGARUH VARIABEL MAKROEKONOMI DAN INDEKS SAHAM INTERNASIONAL TERHADAP INDEKS SAHAM JAKARTA ISLAMIC INDEX (JII)

2020 ◽  
Vol 6 (12) ◽  
pp. 2381
Author(s):  
Devi Rahmiyanti ◽  
Bayu Arie Fianto
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Gold Price ◽  
Oil Price ◽  
Stock Index ◽  
Crude Oil Price ◽  
Correction Model ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Long Run

This study investigate the effect of macroeconomic variables and international stock index on the stock index Jakarta Islamic Index (JII) using monthly data over period January 2013 to December, 2018. Macroeconomic variables used in this study are inflation, exchange rate, international crude oil price, World Gold Price and for the international stock index using Dow Jones Islamic Market. The study employs the eror correction model (ECM). The empirical result reveal that there is co-integration between the four macroeconomic variables, one international stock index and stock index in Jakarta Islamic Index indicating long run equilibirium relationship. Furhther, the result reveal that with significancy 0,5% only exchange rate, international crude oil price, world gold price had significant effect on Jakarta Islamic Index while inflation and Dow jones Islamic Market did not have a significant effect on Jakarta Islamic Index.Keywords: The stock Index, the Jakarta Islamic Index, the macroeconomic variables

scholarly journals Econometric Analysis of Determinants of Real Effective Exchange Rate in Nigeria (1960-2015)

2016 ◽  
Vol 9 (1) ◽  
pp. 62-80 ◽  
Author(s):  
Waheed Ibrahim
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Terms Of Trade ◽  
Oil Price ◽  
Real Effective Exchange Rate ◽  
Crude Oil Price ◽  
Long Run ◽  
Effective Exchange ◽  
Short Run ◽  
Effective Exchange Rate

Abstract This study investigates the determinants of real effective exchange rate in Nigeria for the period between 1960 and 2015 using the vector error correction mechanism to separate long run from the short run fundamentals. The findings from the regression estimates revealed that; terms of trade, openness of the economy, net capital inflow and total government expenditure were the major long run determinants of real effective exchange rate in the country while variables such as; broad money supply (M2), nominal effective exchange rate, structural adjustment program dummy, June 12 crisis and change to civil rule dummies were revealed as the major short run determinants of exchange rate in Nigeria between 1960 and 2015. The study concludes by recommending that since the major variable of terms of trade (crude oil price) is out of the government control, the effect of shocks due to the fluctuations of crude oil price can be minimized by shifting the economy from a mono-product nation and diversify the economy to increase productive capacity. Also, the change to civil rule dummy used in the study revealed that the system has not been friendly with the country’s real effective exchange rate, thus needing to review the system and bringing out all negative activities there in to ensure Nigeria’s currency appreciation. Guided openness is also suggested to avert the danger that unguided trade liberalization may bring into the country.

scholarly journals THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA

2013 ◽  
Vol 15 (4) ◽  
pp. 391-415
Author(s):  
Muhammad Syafii Antonio ◽  
Hafidhoh Hafidhoh ◽  
Hilman Fauzi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Capital Market ◽  
Oil Price ◽  
Crude Oil Price ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Jones Index

This study attempts to examine the short-term and long-term relationship among selected global anddomestic macroeconomic variables fromeach country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selectedmacroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECMJEL Classification: E52, E44

scholarly journals Impact of Foreign Exchange Reserve, Exchange Rate and Crude Oil Price on Dhaka Stock Exchange Index: An Empirical Evidence from Vector Error Correction Model

2020 ◽  
Vol 4 (1) ◽  
pp. 134-143
Author(s):  
Uttam Golder ◽  
Md. Nazrul Islam ◽  
Md. Shahidullah Kayser
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Stock Exchange ◽  
Oil Price ◽  
Foreign Exchange Reserve ◽  
Crude Oil Price ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

The supreme thrust of the present analysis is to explore the influences of foreign exchange reserve, exchange rate, and crude oil price on the stock index of the Dhaka stock exchange (DSE) of Bangladesh. Moreover, this study evaluates the identity of any unpremeditated relationship among the variables from the viewpoint of an emerging country like Bangladesh. Through using monthly time-series data, this study tries to discover the evidence of a long-run affiliation among the variables by using Johansen’s Cointegration test and Vector Error Correction Model (VECM). Besides, the Granger Causality technique is introduced to examine the casualty among variables where the empirical results show a causal linkage between the Dhaka stock exchange index, foreign exchange reserve, and exchange rate, moving only in one way from Dhaka stock exchange index to foreign exchange reserve and exchange rate. In contrast, no causal link was identified between Dhaka stock exchange indexes and crude oil prices. Lastly, Impulse Response Function suggests a permanent effect of all selected macroeconomic factors on the Dhaka stock exchange index in the long run and Variance Decomposition Analysis settles that, the reform in Dhaka stock exchange index can be caused by the innovation in foreign exchange reserve, exchange rate, and crude oil price.

scholarly journals PENGARUH VARIABEL MAKROEKONOMI TERHADAP INDEKS HARGA SAHAM SYARIAH (STUDI KASUS DI INDONESIA DAN MALAYSIA)

2018 ◽  
Vol 9 (2) ◽  
Author(s):  
DESY TRISHARDIYANTI ADININGTYAS
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Price ◽  
Price Index ◽  
Gold Price ◽  
Oil Price ◽  
Crude Oil Price ◽  
Short Term ◽  
Correction Model

Abstract. The Effect of Macroeconomic Variables on Sharia Stock Price Index (Case Study in Indonesia and Malaysia). The purpose of this research is to know the effect of macroeconomic variables (inflation, exchange rate, world crude oil price and world gold price) on sharia stock price index in Indonesia and Malaysia. By using Error Correction Model as the method, this research utilizes time series monthly data from March 2015 until February 2018. The finding shows that in long-term, inflation in Indonesia, exchange rate of rupiah, world crude oil price and world gold price had significant effect on Jakarta Islamic Index. In short-term, inflation in Indonesia, world crude oil price, world gold price had not significant effect on Jakarta Islamic Index and exchange rate of rupiah had significant effect on Jakarta Islamic Index. Meanwhile, inflation in Malaysia, world crude oil price, world gold price had not significant effect on FTSE Bursa Malaysia Hijrah Syariah Index in long-term and short-term. And exchange rate of ringgit had significant effect on FTSE Bursa Malaysia Hijrah Syariah Index in long-term and short-term.   Abstrak. Pengaruh Variabel Makroekonomi Terhadap Indeks Harga Saham Syariah (Studi Kasus di Indonesia dan Malaysia). Tujuan dari penelitian ini adalah untuk mengetahui pengaruh variabel makroekonomi (inflasi, kurs, harga minyak mentah dunia dan harga emas dunia) terhadap indeks harga saham syariah di Indonesia dan Malaysia. Penelitian ini menggunakan metode Error Correction Model, dengan data time series bulanan dari Maret 2015 sampai dengan Februari 2018. Hasil penelitian ini menunjukan bahwa pada jangka panjang, inflasi Indonesia, kurs rupiah, harga minyak mentah dunia dan harga emas dunia berpengaruh terhadap Jakarta Islamic Index. Pada jangka pendek, inflasi Indonesia, harga minyak mentah dunia, harga emas dunia tidak berpengaruh terhadap Jakarta Islamic Index dan kurs rupiah berpengaruh terhadap Jakarta Islamic Index. Sementara itu, inflasi Malaysia, harga minyak mentah dunia, harga emas dunia tidak berpengaruh terhadap FTSE Bursa Malaysia Hijrah Syariah Index pada jangka panjang dan jangka pendek. Dan kurs ringgit berpengaruh terhadap FTSE Bursa Malaysia Hijrah Syariah Index pada jangka panjang dan jangka pendek.

scholarly journals Structural Effect of Oil Price Shocks and Food Importation on Economic Growth in Nigeria Using SVAR Model

2017 ◽  
Vol 2 (1) ◽  
Author(s):  
Sani Abdulrahman Bala ◽  
Ali Alhassan
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Crude Oil ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Long Run ◽  
Svar Model ◽  
Food Imports

The study empirically examines the effect of oil price shocks and food importation on economic growth in Nigeria along with two control variables i.e. exchange rate and inflation using Structural Vector Autoregressive (SVAR) Model covering the period of 1970 to 2015. The result from SVAR short-run pattern and long-run pattern indicate that GDP has recently been affected by all variables in the model. More also, it indicates a significant permanent effect of crude oil price shocks and food imports on economic growth, while the result further indicates a transitory effect of exchange rate and inflation on economic growth. For significant t-value of the long run SVAR estimate matrix, confirms long effect of crude oil price shocks, food imports, exchange rate and inflation on economic growth in Nigeria. The results from structural response indicate that crude oil have high positive impact on GDP at the initial period and negative impact at the end of the period. Furthermore, food imports have high negative effect on GDP, while GDP response negatively to exchange rate and inflation rate from the period. The result from the structural decompositions indicates that crude oil price and food imports and exchange rate contribute more variability to GDP, while inflation contribute less variability in explaining the variation of GDP in Nigeria. The study recommends that government should come up with a policy that will focus on alternative sources of government revenue by investing more in real sectors especially agriculture in order to withstand vicissitudes of oil shocks in future.

scholarly journals THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA

2013 ◽  
Vol 15 (4) ◽  
pp. 377-400
Author(s):  
Muhammad Syafii Antonio ◽  
Hafidhoh Hafidhoh ◽  
Hilman Fauzi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Capital Market ◽  
Oil Price ◽  
Crude Oil Price ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Jones Index

This study attempts to examine the short-term and long-term relationship among selected global and domestic macroeconomic variables from each country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selected macroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECMJEL Classification: E52, E44

scholarly journals Dynamic Relationship Between Global Oil Price and the Eswatini’s Exchange Rate: A Toda-Yamamoto Approach

2019 ◽  
pp. 82-86
Author(s):  
Sotja G. Dlamini
Keyword(s):  
Developing Countries ◽  
Exchange Rate ◽  
Crude Oil ◽  
Global Market ◽  
Exchange Rate Policy ◽  
Nominal Exchange Rate ◽  
Oil Price ◽  
Oil Refining ◽  
Crude Oil Price ◽  
United States Dollar

Globalization and liberalization puts the emphasis on exports as a technique in which developing countries like the Kingdom of Eswatini should adopt to expand their markets beyond their domestic market. For the developing countries to be international competitive in the global markets they need to minimize their production cost particularly on the products that are being exported. The production of most of the exported commodities needs lot energy from oil; hence there has been tremendous increase of oil and its by-product worldwide. The current oil demand for most countries in the world is not met because of insufficient reserves for crude oil in most countries. The Kingdom of Eswatini does not have an oil reserves or oil-refining facilities hence they depends on imports from the neighbouring states in order to meet the consumption requirement. The oil price shocks in the global market normally have adversely effects on various macroeconomic variables such as exchange rate since the oil is traded in US dollars. Oil and exchange rate are considered to be essential factors for domestic economies for developing countries like the Kingdom of Eswatini. The purpose of the study is to investigate the causal relationship between Lilangeni-dollar exchange rate and crude oil price by using the Toda-Yamamota approach. The study used daily time series from January 01st, 2005 to April 30th, 2018 of nominal exchange rate of Lilangeni (Eswatini currency [SZL]) vis-à-vis United States dollar (USD) data as well as the global price of Brent crude oil data that was used as a proxy for the Global crude oil price. The results from the Toda-Yamamoto Granger causality test revealed that there is a unidirectional causality from the global oil price to the Eswatini’s nominal exchange rate (SZL/USD). Hence the study concluded that the global crude oil price influence the Eswatini’s nominal exchange rate. Therefore the study recommends that in the formulating of Eswatini’s exchange rate policy emphases should be on the global oil prices in order not to misalign the Eswatini’s currency.

The Impact of Crude Price and Exchange Rate Toward Stock Price of Oil Company

2015 ◽  
Vol 21 (4) ◽  
pp. 792-794
Author(s):  
Syelvi Cahyadi ◽  
Togar Alam Napitupulu
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Price ◽  
Oil Industry ◽  
Oil Price ◽  
Crude Oil Price ◽  
Tax Rate ◽  
Exploratory Stage ◽  
The Impact ◽  
Oil Company

Predicting the stock price in oil industry is considered very important because oil industry is a heavily capital intensive industry that require substantial amount of capital not only to operate, but including in the exploratory stage. For this reason, it is important to know what would be the factors that affect such price. The objective of the study then is to find such factor or variables, while it is significantly related to the stock price, it also have to be easily acquired. We begun by presuming that crude oil price and exchange rate–tax rate were of such factors. The results indicated indeed crude oil price positively affects stock price with a magnitude of 14.85 points. Similarly, exchange rata also positively affecting stock price with magnitude of 0.27 points. As such it is they are important factors to consider in predicting stock price of the Oil Company and hence important indicators for investors to be considered in making decision to buy or not to buy.

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