scholarly journals Volatility Effects of the Global Oil Price on Stock Price in Nigeria: Evidence from Linear and Non-Linear GARCH

2021 ◽  
Author(s):  
David Oluseun Olayungbo
Keyword(s):  
Stock Market ◽  
Stock Price ◽  
Financial Risk ◽  
Oil Price ◽  
Garch Models ◽  
Oil Price Shocks ◽  
Monthly Data ◽  
Volatility Clustering ◽  
Model Response ◽  
Non Linear

This present study examines the volatility effects of the oil price on the stock price returns in Nigeria from the period of 2000M(12) to 2020M(4) on a monthly data using both standard GARCH and non-linear GARCH models. The motivation for the present study is the recent fall in the global oil price of Brent Crude to US$15.25 per barrel due to the outbreak of the Corona Virus (COVID-19). Consequentially, the Nigerian stock market (NSE) responded with a fall of 4172 point or by a fall of 15.53%. After establishing the presence of heteroscedasticity through the ARCH test and volatility clustering through the returns, the outcome of the study contributes to knowledge by providing financial information and signals to investors about the best GARCH model response to proactively and successfully use to model global oil price shocks so as to reduce financial risk in Nigeria’s stock market.

scholarly journals Impact of Oil Price Shocks on Stock Market Prices Volatility in Nigeria: New Evidence from a Non-linear ARDL Cointegration

2018 ◽  
Vol 14 (3) ◽  
pp. 173-190
Author(s):  
Ben Obi ◽  
Adeniji Sesan Oluseyi ◽  
Olaniyi Evans
Keyword(s):  
Stock Market ◽  
Stock Prices ◽  
Negative Impact ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Market Prices ◽  
Long Run ◽  
Non Linear ◽  
Short Run

This study examined the impact of oil price shocks on stock market prices volatility in Nigeria using non-linear cointegration approach labelled as Non-linear Autoregressive Distributed Lag (NARDL) which represents one of the major important contribution to the literature on the subject matter. The study was carried out using a quarterly data for the period of 1986 to 2016. The oil price shocks impact was disentangled or decomposed into oil supply shocks, oil demand shocks and oil specific demand shocks and the results from the empirical analysis revealed that, there is long run relationship among the variables and positive oil price shocks in its various forms which exert positive and significant impact on the volatility of stock prices in both long run and short run except for oil supply shock that have negative impact in the long run, while negative oil price shocks exert negative impact on the volatility of stock prices in both short and long run. However, the asymmetric result using Wald test shows that, the positive impact of these shocks on volatility of stock prices differs in both short run and long run. Therefore, the findings from the study affirmed the presence of nonlinear relationship between oil price shocks and stock prices volatility in Nigeria which is an indication that positive and negative oil price shocks affect stock prices volatility differently and this must be taking into consideration when formulating policy

THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET

2009 ◽  
Vol 50 (4) ◽  
pp. 1267-1287 ◽  
Author(s):  
Lutz Kilian ◽  
Cheolbeom Park
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
The Impact ◽  
The U.S

scholarly journals IMPACT OF OIL PRICE SHOCKS ON SECTORAL RETURNS IN NIGERIA STOCK MARKET

2020 ◽  
Vol 10 (6) ◽  
pp. 208-215
Author(s):  
Chibueze E. Onyeke ◽  
Ifeoma Nwakoby ◽  
Josaphat U. J. Onwumere ◽  
Ifeoma Ihegboro ◽  
Chidiebere Nnamani
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks

scholarly journals US stock market regimes and oil price shocks

2015 ◽  
Vol 28 ◽  
pp. 132-146 ◽  
Author(s):  
Timotheos Angelidis ◽  
Stavros Degiannakis ◽  
George Filis
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Market Regimes
Sign in / Sign up

Export Citation Format

Share Document