scholarly journals The Dynamic Relationship between Crude Oil Prices and Stock Market Price Volatility in Nigeria: A Cointegrated VAR-GARCH Model

2019 ◽  
pp. 1-12
Author(s):  
David Adugh Kuhe
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Market Price ◽  
Garch Model ◽  
Price Volatility ◽  
Oil Prices ◽  
Market Prices ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run

This study investigates the dynamic relationship between crude oil prices and stock market price volatility in Nigeria using cointegrated Vector Generalized Autoregressive conditional Heteroskedasticity (VAR-GARCH) model. The study utilizes monthly data on the study variables from January 2006 to April 2017 and employs Dickey-Fuller Generalized least squares unit root test, simple linear regression model, unrestricted vector autoregressive model, Granger causality test and standard GARCH model as methods of analysis. Results shows that the study variables are integrated of order one, no long-run stable relationship was found to exist between crude oil prices and stock market prices in Nigeria. Both crude oil prices and stock market prices were found to have positive and significant impact on each other indicating that an increase in crude oil prices will increase stock market prices and vice versa. Both crude oil prices and stock market prices were found to have predictive information on one another in the long-run. A one-way causality ran from crude oil prices to stock market prices suggesting that crude oil prices determine stock prices and are a driven force in Nigerian stock market. Results of GARCH (1,1) models show high persistence of shocks in the conditional variance of both returns. The conditional volatility of stock market price log return was found to be stable and predictable while that of crude oil price log return was found to be unstable and unpredictable, although a dependable and dynamic relationship between crude oil prices and stock market prices was found to exist. The study provides some policy recommendations.

Dynamic Relationship between Crude Oil and Stock Prices in India: Before And After the Subprime Financial Crisis 2008

GIS Business ◽  
2019 ◽  
Vol 14 (6) ◽  
pp. 96-104
Author(s):  
P. Sakthivel ◽  
S. Rajaswaminathan ◽  
R. Renuka ◽  
N. R.Vembu
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Prices ◽  
Oil Prices ◽  
Energy Index ◽  
Data Set ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Before And After

This paper empirically discovered the inter-linkages between stock and crude oil prices before and after the subprime financial crisis 2008 by using Johansan co-integration and Granger causality techniques to explore both long and short- run relationships.  The whole data set of Nifty index, Nifty energy index, BSE Sensex, BSE energy index and oil prices are divided into two periods; before crisis (from February 15, 2005 to December31, 2007) and after crisis (from January 1, 2008 to December 31, 2018) are collected and analyzed. The results discovered that there is one-way causal relationship from crude oil prices to Nifty index, Nifty energy index, BSE Sensex and BSE energy index but not other way around in both periods. However, a bidirectional causality relationship between BSE Energy index and crude oil prices during post subprime financial crisis 2008. The co-integration results suggested that the absence of long run relationship between crude oil prices and market indices of BSE Sensex, BSE energy index, Nifty index and Nifty energy index before and after subprime financial crisis 2008.

Analyzing the Impact of Oil Price Fluctuations on Vietnam Stock Market

2018 ◽  
pp. 229-245
Author(s):  
Huynh Viet Khai ◽  
Le Minh Sang ◽  
Phan Thi Anh Nguyet
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Economic Crisis ◽  
Oil Prices ◽  
Stock Market Index ◽  
Market Index ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
The Impact

This chapter covers a study that was conducted to find out the impact of crude oil prices on the Vietnam stock market in the period from March 2006 to June 2015 by using the autoregressive-distributed lag (ARDL) model with dummy variables of the economic crisis. The results revealed that the crude oil prices had positive impacts on VN-Index and HNX-Index in short-run, but negatively in long-run. In addition, the study also found that the economic crisis has affected the relationship between the crude oil prices and the stock market index in the short-run. During the crisis period, the crude oil prices related to the VN-Index and HNX-index more closely than the other stages. However, in the long-run the relationship between oil prices and stock market index was not affected by the economic crisis.

Oil Price Volatility, Exchange Rate Movements and Stock Market Reaction: The Nigerian Experience (1985-2017)

2018 ◽  
Vol 3 (1) ◽  
pp. 12-25
Author(s):  
Onyemachi Maxwell Ogbulu
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Price Volatility ◽  
Market Prices ◽  
Oil Market ◽  
Crude Oil Prices ◽  
Exchange Rate Movements ◽  
Dollar Price ◽  
Pass Through

Given the observed volatility in crude oil prices in the international oil market and the role which oil and gas play in the Nigerian economy, this paper is an attempt to investigate the impact of crude oil prices and foreign exchange rate movements on stock market prices in Nigeria. In addition, the paper examined whether there is any volatility pass-through between the dollar price of Nigerian crude oil, foreign exchange rate of the Naira and stock market prices respectively. Data employed for the study are monthly values of the Nigerian Stock Exchange (NSE) All-Share Index (ASI), Dollar price of Nigerian Crude Oil (DPO) and the Official Exchange Rate of the Naira to the US Dollar (FXR) from January, 1985 to August, 2017. The methodology adopted for the study include the ADF unit root tests, Johansen co-integration tests, the ECM technique, Granger causality tests, variance decomposition as well as the GARCH(1,1) to model the volatility relationships among the variables. Findings reveal that there is one long-run dynamic co-integrating relationship among the variables ASI, DPO and FXR while the ECM results indicate that Crude oil price (DPO) significantly impact on Stock market prices. The Granger causality test reports a bi-directional causality relationship between ASI and DPO and a unidirectional causality running from FXR to ASI. The ARCH-GARCH volatility analysis demonstrates vividly that stock market prices in the NSE exhibit ARCH effect with a significant and positive first order ARCH term. The GARCH term is also positive and significant indicating that previous month’s stock market price volatility significantly influences current stock market volatility in the NSE. In addition, findings show that the volatility of dollar price of Nigerian oil (DPO) in the world oil market is significantly transmitted to the volatility of stock market prices in Nigeria.  The pass-through effect of the volatility of exchange rate (FXR) to the volatility of stock market prices is also positive and significant. These findings offer significant informational signal to policy makers, portfolio managers/advisors and the investing public in achieving optimal asset and portfolio profile.

A dynamic relationship between crude oil price and Indian equity market: an empirical study with special reference to Indian benchmark index Sensex

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Nikhil Yadav ◽  
Priyanka Tandon ◽  
Ravindra Tripathi ◽  
Rajesh Kumar Shastri
Keyword(s):  
Crude Oil ◽  
Serial Correlation ◽  
Oil Prices ◽  
Crude Oil Price ◽  
Content Type ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
Indian Stock Market

PurposeThe purpose of the study is to investigate the long-run and short-run dynamic relationship between crude oil prices and the movement of Sensex for the period of 2000–2018.Design/methodology/approachThe study uses the augmented Dickey–Fuller test for the presence of unit root, Johansen cointegration test for estimating the cointegration among the variables. Further, in the case of no cointegration found, the study employed the vector autoregression (VAR) model to estimate the long-run relationship and the Granger causality/Wald test for short-run relationship. The study also conducted tests for the prerequisites of the model: serial correlation, heteroskedasticity and normality of data.FindingsThe study found that both the variables, crude oil prices and Sensex are integrated of order 1, that is, I (1), and there is no cointegration between them. Further, the results proliferated from the VAR model unfold the marked effect of previous month crude oil prices (lag 1) on the movement of Indian stock market represented by Sensex considered as the benchmark index. Furthermore, VAR–Granger causality/block exogeneity Wald tests results indicated that there is a causal relationship between the crude oil prices and Sensex under the VAR environment. The model does not have any serial correlation and heteroskedasticity indicating toward the unbiased and robust estimates.Research limitations/implicationsThe study is conducted till the year 2018, and data for the present period (post-2018) is excluded due to ongoing trade issues between the USA and oil-exporting countries such as Iran. The current COVID-19 outbreak has also put serious issues. Due to limited time and availability of standardized data, researchers have considered Sensex as equity index only, but for more generalized research outcome few other equity indexes could have been taken for study.Originality/valueThe study is completely original in nature and is an extensive study of the relationship between the crude oil price and Indian stock market with reference to causality between the variables.

scholarly journals Comparative Modelling of Price Volatility in Nigerian Crude Oil Markets Using Symmetric and Asymmetric GARCH Models

2021 ◽  
pp. 35-54
Author(s):  
Deebom Zorle Dum ◽  
Mazi Yellow Dimkpa ◽  
Chims Benjamin Ele ◽  
Richard Igbudu Chinedu ◽  
George Laurretta Emugha
Keyword(s):  
Crude Oil ◽  
Garch Model ◽  
Price Volatility ◽  
Oil Prices ◽  
Garch Models ◽  
Crude Oil Prices ◽  
Oil Markets ◽  
Egarch Model ◽  
Asymmetric Garch ◽  
Student’S T

The study aimed at developing an appropriate GARCH model for modelling in Nigerian Crude Oil Prices Markets using symmetric and Asymmetric GARCH models while the specific objectives of the study include to: build an appropriate Symmetric and asymmetric Generalized Autoregressive Conditional Heteroskedacity (GARCH) model for Nigerian Crude Oil Prices, compare the advantage of using Symmetric and Asymmetric GARCH.  The data for the study was extracted from the Central Bank of Nigeria online statistical database starting from January, 1982 to December, 2018. The software used in estimating the parameters of the model is Econometric view (Eview) software version ten (10). Two classes of models were used in the study; they are symmetric and Asymmetric GARCH models. The results of the estimated models revealed that Asymmetric GARCH model (EGARCH (1,1) in student’s-t error assumption gave a better fit than the first order Symmetric GARCH models. Also, Using EGARCH (1,1) models with their corresponding error distribution in estimating crude oil price was found that the larger the size of the estimated news components of the model, the higher the negative news associated with high impact of volatility. This means that conditional volatility estimated using EGARCH model has strong asymmetric characteristic which is prone to news sensitivity. Based on the above findings, recommendations were made in the study.

scholarly journals AN EMPIRICAL STUDY ON THE DYNAMIC RELATIONSHIP BETWEEN CRUDE OIL PRICES AND NIGERA STOCK MARKET

2016 ◽  
Vol 4 (9) ◽  
pp. 157-169
Author(s):  
Rabia Najaf ◽  
Khakan Najaf
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Exchange ◽  
Oil Prices ◽  
Securities And Exchange Commission ◽  
Exchange Rate Policy ◽  
Trading System ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Oil Crisis

In this paper, we have examined the crude oil price on the performance of Nigerian stock exchange and exchange rate act as the plausible countercyclical tool .we have applied the different models and collected the results that crude oil prices have direct impact on the stock exchange of Nigeria. The   Nigeria stock exchange is regulated by the Securities and Exchange Commission .Nigeria stock exchange has the automated trading system. The basic facility of Nigeria trading system is (ATS),it is helpful to remote trading system.Consequently, most of the investorsdo trade with the method of ATS.This study is also proving that Nigeria stock exchange has influenced on the performance of the economy, Impact of oil crisis on the Nigeria stock exchange, Impact of crude oil crisis on the development of country, Effect of exchange rate policy on the performance of Nigeria stock exchange.

Sign in / Sign up

Export Citation Format

Share Document