scholarly journals Oil Price Fluctuations and Their Impact on Stock Market Returns in Jordan: Evidence from an Asymmetric Cointegration Analysis

2016 ◽  
Vol 8 (1) ◽  
pp. 172 ◽  
Author(s):  
Buthaina M. A. Muhtaseb ◽  
Ghazi Al-Assaf
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Significant Relationship ◽  
Oil Prices ◽  
Cointegration Analysis ◽  
Oil Price ◽  
Market Returns ◽  
Stock Market Returns ◽  
Price Fluctuations ◽  
Asymmetric Cointegration

This paper examines whether Amman stock market returns responds asymmetrically to oil price fluctuations for the quarterly period 2000-2015 by applying asymmetric cointegration. Using both TAR and MTAR specification of Enders and Siklos’s (2001) models, and based on the asymmetric ECM, the results provide evidence that stock returns react to oil price variations in an asymmetric manner. In particular, rising oil prices has a larger impact on stock returns; this implies that increases in oil prices have a significant effect on the behavior of stock market in Jordan. The significant relationship between oil prices and stock returns strengthen their predictability power, so that appropriate strategies may be built on the basis of expected increases or decreases in oil prices.

scholarly journals FACTORS DETERMINING STOCK MARKET RETURNS: CASE OF NAIROBI STOCK EXCHANGE

2016 ◽  
Vol 1 (1) ◽  
pp. 108
Author(s):  
Samson Okoth Ondiek ◽  
Dr. Ongoro
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Significant Relationship ◽  
Unique Contribution ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Book Value ◽  
Company Stock ◽  
The Government

AbstractPurpose: The study attempts to establish if the changing macroeconomic factors and the industry variables can predict the variation on the Nairobi Security Exchange stocks return Methodology: It adopted a regression model that related stock returns to various selected macro and micro economic factors and used data of 20 companies that constitute the NSE index. The study used monthly data spanning the year 2006 to 2010.Results: The regression results indicate that, four of the variables i.e. market return (NSEI), exchange rate for US/KSH, market to book value ratio have a positive and significant relationship with an individual company stock market returns. Risk Free rate (91 Treasury bill rate) also had a positive and significant relationship while industrial growth opportunity and inflation were found to be negative and significant. leverage on the other hand was found to be insignificant and therefore does not influence individual company stock market returns. Unique contribution to theory, practice and policy: These findings will have significant effects on investors’ investment decisions making as well as the Government and the capital markets authority (CMA) in the formulation of polices and guidelines. Once factor betas are estimated, we can describe the expected change in security returns with respect to changes in a given factor and thus giving the investors, CMA and the Government a better understanding on the effect of a change in the fiscal and monetary policies in the stock market. This is crucial to the Government as it seeks to promote the capital market as a source of alternative funding for economic growth. Investors wishing to construct portfolios should also consider the trends of the inflation rates, exchange rates, market to book value ratio, industrial production and the stock market.  The rise of either of this micro and macroeconomic indicators may influence the returns positively or negatively and hence the investor may choose the best time to either buy or sell their securities

scholarly journals Are Kuwaiti Stock Returns Affected by Fluctuations in Oil Prices?

2020 ◽  
Vol 11 (6) ◽  
pp. 1
Author(s):  
Salem Alshihab ◽  
Nayef AlShammari
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Oil Prices ◽  
Market Returns ◽  
Macroeconomic Factors ◽  
Stock Market Returns ◽  
Long Run ◽  
Short Run ◽  
The Impact ◽  
Adf Test

This paper examines the impact of fluctuations in the price of oil on Kuwaiti stock market returns for the month-to-month period of 2000 to 2020. The Augmented Dickey-Fuller (ADF) test for stationarity, the error correction model (ECM), and various cointegration test techniques were used to examine the estimated model. In an oil-based economy like Kuwait, the exposure to oil prices seems to affect the performance of the country’s stock market. Our main findings related to the long run showed that the price of oil is cointegrated with stock market returns. Interestingly, our ECM examination confirmed that changes in Kuwaiti stock market returns are only affected by oil price fluctuations in the short run. Further strategies are needed to better stabilize Kuwait’s capital market. This equilibrium can be achieved by pursuing more stability in other macroeconomic factors and providing a solid legal independence for the country’s financial market.

Impact of Oil Price on Australian Stock Market Returns

2018 ◽  
Vol 21 (03) ◽  
pp. 1850018 ◽  
Author(s):  
Hui Li ◽  
Raul Paraco
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Oil Price ◽  
Lower Sensitivity ◽  
Positive Trend ◽  
Oil Shocks ◽  
Market Returns ◽  
Stock Market Returns ◽  
Industrial Sectors ◽  
Asymmetrical Effect

We observe a positive correlation between an oil price factor and the All Ordinaries Index of the Australian stock market. Furthermore, an asymmetrical effect is observed when the sample is divided into sub-periods. A more pervasive stock market response is observed when the price of oil displays a positive trend. We also study the influence of oil shocks on the stock returns of specific Australian industries. As expected, the energy and material sectors exhibit a positive response to oil disturbances, whereas the financial and industrial sectors show a negative relation to oil shocks. The utility and consumer discretionary sectors exhibit a lower sensitivity to oil shocks.

A quantile regression approach to evaluate the relative impact of global and local factors on the MENA stock markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Slah Bahloul ◽  
Nawel Ben Amor
Keyword(s):  
Stock Market ◽  
Quantile Regression ◽  
Stock Returns ◽  
Stock Markets ◽  
Financial Integration ◽  
Ordinary Least Squares ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
The Impact

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Weather, investor psychology and stock returns: evidence from Fiji's stock market

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Janesh Sami
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Sunshine Duration ◽  
Market Returns ◽  
Modeling Framework ◽  
Stock Market Returns ◽  
Content Type ◽  
Asset Pricing Models ◽  
Weather Changes ◽  
Practical Implications

PurposeThis paper investigates whether weather affects stock market returns in Fiji's stock market.Design/methodology/approachThe author employed an exponential general autoregressive conditional heteroskedastic (EGARCH) modeling framework to examine the effect of weather changes on stock market returns over the sample period 9/02/2000–31/12/2020.FindingsThe results show that weather (temperature, rain, humidity and sunshine duration) have robust but heterogenous effects on stock market returns in Fiji.Research limitations/implicationsIt is useful for scholars to modify asset pricing models to include weather-related variables (temperature, rain, humidity and sunshine duration) to better understand Fiji's stock market dynamics (even though they are often viewed as economically neutral variables).Practical implicationsInvestors and traders should consider their mood while making stock market decisions to lessen mood-induced errors.Originality/valueThis is the first attempt to examine the effect of weather (temperature, rain, humidity and sunshine duration) on stock market returns in Fiji's stock market.

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Bijoy Rakshit ◽  
Yadawananda Neog
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Emerging Economies ◽  
Market Performance ◽  
Exchange Rate Volatility ◽  
Oil Price ◽  
Market Returns ◽  
Stock Market Returns ◽  
Content Type ◽  
Stock Market Performance

Purpose The purpose of this paper is to investigate the effects of exchange rate volatility, oil price return and COVID-19 cases on the stock market returns and volatility for selected emerging market economies. Additionally, this study compares the market performance in the emerging economies during the COVID-19 pandemic with the pre-COVID and global financial crisis (GFC) period. Design/methodology/approach The authors apply the arbitrage pricing theory to model the risk-return relationship between the risk-based factors (exchange rate volatility and COVID-19 cases) and stock market returns. By applying the exponential generalized autoregressive conditional heteroskedasticity model, the study captures the asymmetric volatility spillover from the stock markets to foreign exchange markets and vice versa. Findings Findings reveal that exchange rate volatility exerts a negative and significant effect on the market returns in Brazil (BOVESPA), Chile (S&P CLX IPSA), India (SENSEX), Mexico (S&P BMV IPC) and Russia (MOEX) during the coronavirus pandemic. Regarding the effect of oil price returns, the authors find a positive relationship between oil price and stock market returns across all the economies in the study. The market returns of Russia, India, Brazil and Peru appeared more volatile during the pandemic than the GFC period. Practical implications As the exchange rate volatility is causing higher risk and uncertainty in the stock market’s performance, the central bank’s effort to maintain a stabilizing effect on the exchange rate sale can be proven crucial for the economies under consideration. Emphasized should also be given to boost investors’ confidence in the stock market, and for this, the government policy actions in reducing the transmission of the disease are the need of the hour. Originality/value While a large volume of literature on stock market performance in times of COVID-19 has emerged from developed economies, this study adds to the literature by exploring the emerging economies’ stock market performance during the COVID-19 pandemic. Unlike previous literature, this study examines the volatility spillover between stock and exchange rate markets in the worst affected emerging economies during the crisis.

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