scholarly journals Crude Oil Price Shock and the Nigerian Stock Market Performance in the Face of Covid-19 Pandemic Evidence from ARDL & Granger Causality Approach

2021 ◽  
pp. 35-45
Author(s):  
Hammayo Abubakar ◽  
Kamal Tasiu Abdullahi
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Capital Market ◽  
Market Performance ◽  
Oil Price ◽  
Crude Oil Price ◽  
Crude Oil Prices ◽  
Stock Market Performance ◽  
Oil Price Shock ◽  
Price Shock

The study examined empirically the linear relationship between crude oil price shock and the Nigerian stock market performance, with the main objective of ascertaining the impact of the recent sharp decline in crude oil prices on stock market performance in the face of the global socio-economic challenge posed by COVID-19 pandemic. It used monthly time series data from the central bank of Nigeria (CBN) website (www.cbn.gov.ng) from 2017-2020 This period was chosen to capture the effects of changes in oil price on the performance of the Nigerian stock market within the context of the global economic challenges due to the COVID-19 pandemic. The auto-regressive distributed lag ARDL approach has been applied in the model specification and data analysis for the study. The results of the ARDL in both the short and long run revealed that the recent crude oil price shock has a significant impact on stock market performance in Nigeria. The results of the granger causality test also reveal a unidirectional causality from crude oil price to stock market performance with a piece of evidence from the current decline of global crude oil prices from December 2019 to April 2020. The study, therefore, suggests the need for the Nigerian capital market to continue to pursue with vigor the implementation of the capital market master plan in the hope that a more developed capital market should be able to absorb external shocks such as those arising from crude oil price fluctuations.

scholarly journals The Effect of Crude Oil Price Shocks on Indonesia Stock Market Performance

2020 ◽  
Vol 16 (1) ◽  
pp. 11-23
Author(s):  
Indra Darmawan ◽  
Hermanto Siregar ◽  
Dedi Budiman Hakim ◽  
Adler Haymans Manurung
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Market Performance ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Crude Oil Price ◽  
Price Shocks ◽  
Long Run ◽  
Stock Market Performance ◽  
Global Stock

The main purpose of this study is to observe the effects of the crude oil price shocks on Indonesia stock market performance to complete the literature on Indonesia stock market behavior. We examined the effects of the crude oil price shocks on Indonesia stock market performance through the cointegration relationship mechanism between IHSG and the crude oil price and between IHSG and the global stock market indices. The Brent crude oil price data taken from FRED economic data, the Federal Reserve Bank of St.Lois, and the stock market indices data taken from yahoo.finance.com. By using a vector error correction model (VECM) approach, we found that IHSG has significant long-run relationships with the crude oil price and the global stock market indices. This finding indicates that the effects of the crude oil price shocks on IHSG transmitted directly through the cointegration mechanism between IHSG and the crude oil price, and indirectly through the cointegration mechanism between IHSG and the global stock market indices.

The optimal thermal causal path analysis on the relationship between international crude oil price and stock market

Kybernetes ◽  
2018 ◽  
Vol 47 (6) ◽  
pp. 1242-1261 ◽  
Author(s):  
Can Zhong Yao ◽  
Peng Cheng Kuang ◽  
Ji Nan Lin
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Markets ◽  
Oil Prices ◽  
Oil Price ◽  
Chinese Stock Market ◽  
Crude Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
Causal Path

Purpose The purpose of this study is to reveal the lead–lag structure between international crude oil price and stock markets. Design/methodology/approach The methods used for this study are as follows: empirical mode decomposition; shift-window-based Pearson coefficient and thermal causal path method. Findings The fluctuation characteristic of Chinese stock market before 2010 is very similar to international crude oil prices. After 2010, their fluctuation patterns are significantly different from each other. The two stock markets significantly led international crude oil prices, revealing varying lead–lag orders among stock markets. During 2000 and 2004, the stock markets significantly led international crude oil prices but they are less distinct from the lead–lag orders. After 2004, the effects changed so that the leading effect of Shanghai composite index remains no longer significant, and after 2012, S&P index just significantly lagged behind the international crude oil prices. Originality/value China and the US stock markets develop different pattens to handle the crude oil prices fluctuation after finance crisis in 1998.

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 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 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 Measuring the Relationship between Crude Oil Price, Stock Market and Gold Price with Reference India

2021 ◽  
Vol 2 (1) ◽  
pp. 37-45
Author(s):  
Jaheer Mukthar KP ◽  
Sivasubramanian K ◽  
Raju V
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Gold Price ◽  
Oil Price ◽  
Financial Policy ◽  
Oil Consumption ◽  
Crude Oil Price ◽  
Financial Variables ◽  
Crude Oil Prices ◽  
The Relationship

India is one among the highly potential market for the oil consumption. When we are considering the industrial line, natural gas and oil industry, it portraits a great significant influence on the economic growth and development through the GDP and per capita flow of income. The year-wise statistics was collected for two decades from 2000 to 2019 and the everyday prices such as gold price, Nifty opinions and Crude oil prices are intended and taken the annual averages of it. The aim for selecting the data from the year 2000 to 2019 is very vital. It was selected to find out the influence of new financial policy 1991 after 10 years of its application. Moreover, the main implication of this work is to find the causal association among these financial variables. The price of gold is considered as 24 carat, the average price was taken for analysis. The ANOVA model has been applied to predict the relationship between the variables in order to find out the cause and effect.  It reveals the positive correlation between the variables. It is also revealed from the study that the price of gold had an exponential increase over a period of two decades and alongside the Nifty points also increased in the same period of time. On the whole, it is found from the data that the gold price is having the positive relation with Nifty points of the stock market and the crude oil price did not have any influence on the determination of gold price.

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