Download or read book An Empirical Analysis of the Relationship Between Oil Prices and Stock Markets written by Stelios Markoulis and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the relationship between oil prices and stock market returns for the G7 and the BRIC countries for the period 1991-2016 using co-integration and a vector error correction model. Results reveal that there is no long-run relationship between oil prices and the stock market indices of the G7 countries. However, they also reveal that there is a long-run relationship between oil prices and the stock market indices of three out of the four BRIC countries (Brazil, China and Russia). This result appears to be broadly aligned with the idea that over the past quarter of a century emerging countries have been more exposed to oil prices (either as producers or consumers) than developed ones. Furthermore, from an investments' and international portfolio management perspective, it seems that there might be benefits from diversification when holding the stock market index of a G7 country or India and oil assets since these appear to be segmented. On the other hand, such benefits might not be applicable in the case of the stock markets of Brazil, China or Russia and oil assets as these seem to be integrated.

Download or read book An Empirical Study on the Dynamic Relationship Between Oil Prices and Indian Stock Market written by Tarak Nath Sahu and published by . This book was released on 2017 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Purpose- This study aims to investigate the dynamic relationships between oil price shocks and Indian stock market.Design/methodology/approach- The study used daily data for the period starting from January 2001 to March 2013. In this study, Johansen's cointegration test, vector error correction model (VECM), Granger causality test, impulse response functions (IRFs) and variance decompositions (VDCs) test have been applied to exhibit the long-run and short-run relationship between them.Findings- The cointegration result indicates the existence of long-term relationship. Further, the error correction term of VECM shows a long-run causality moves from Indian stock market to oil price but not the vice versa. The results of the Granger causality test under the VECM framework confirm that no short-run causality between the variables exists. The VDCs analysis revealed that the Indian stock markets and crude oil prices are strongly exogenous. Finally, from the IRFs, analysis revealed that a positive shock in oil price has a small but persistence and growing positive impact on Indian stock markets in short run.Originality/value- The study would enhance the understandings of the interaction between oil price volatilities and emerging stock market performances. Further, the study would enable foreign investors who are interested in Indian stock market helps in understanding the conditional relationship between the variables.

Download or read book Economic Activity of Oil Price Volatility and Stock Market Behaviour written by Saad AlShahrani and published by . This book was released on 2013 with total page 9 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using an auto-regressive distributed lag (ARDL) model approach, this paper empirically attempts to shed light on the dynamic relationship between oil prices and the total real stock prices in Saudi Arabia, one of the fastest growing economies in the Middle East and North Africa and the largest oil producing country in the world, with a large current account surplus. The seemingly unrelated regression estimation (SURE) model is used to study the economic activity of oil price fluctuations on each sector of the stock market sectors. Then, we test the hypothesis of whether the current market value of total stock in Saudi Arabia significantly depends upon the lagged market value of stock and real oil prices, and which sectors of the Stock Market are not significantly influenced by changes in oil prices. Findings suggest that oil price movements affect the macro-economy and oil price movements affect economic activity. Further, this study suggests oil prices can play a big role in explaining stock price movements.

Download or read book Essays on the Linkage Between Oil Price and Stock Market Returns written by Mohan Singh Nandha and published by . This book was released on 2009 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: Oil is a special type of commodity which plays a significant role in modem economic activity. The influence of the oil (crude oil) price on stock markets is often recognised and reported in the financial press. This thesis examines the role of the oil price in explaining stock market returns. By applying different methodologies and datasets, empirical evidence has been gathered on various dimensions of the issue which include short-run and long-run comparisons, cross-country analysis, sector¬focused analysis, cross-sector comparisons and a global view. Four of the studies included in this thesis use multi-country data and four are based on multi-sector equity data. Overall, all countries and all sectors (subject to data availability) have been covered in one or another study. Results of a study focused on India, Pakistan and Sri Lanka (all net oil importers) indicate several industries to be significantly sensitive to the oil price factor in the long-run, whereas very little sensitivity to oil price is detected in the short run. Perhaps, this might be an indication that because of the regulated nature of fuel pricing in all three countries, it could take time before the price change is aJlowed to impact consumers and firms. Cross country and cross sector comparisons suggest that the oil price impact on stock market returns is inconsistent across countries and varies across sectors. These differences might be a consequence of regulatory and structural disparities across countries. Across sector variations may result from differing sector abilities to pass on higher fuel costs to customers. In addition, intensity of a sector to the use of oil and its by-products would also make a difference. Two of the studies are sector focused, covering the 'oil and gas' and 'transportation' sectors. These sectors are special in a sense that oil is the main output for the first sector and a major cost component for the second sector. Evidence from the U.S. market suggests that oil and gas stock returns are positively sensitive to the oil price, but an oil risk premium is not priced in the returns. This finding could suggest that oil price risk is diversifiable or can be effectively hedged by investors in oil and gas stocks. The transport sector focused study provides a global perspective in a sense that all countries are covered. This study is supportive of oil playing a jointly significant role in the transport sector returns for the Developed, Europe and 07 country groups. Finally, a study based on global sector indices is indicative of a negative impact on all sector returns except the mining, and oil and gas sectors. These results are consistent with the theoretical logic that a rise in the oil price is likely to reduce the profitability of firms which use oil and/or by-products of oil. This type of agreement between the theory and empirical evidence may also suggest that globally diversified and sector specific portfolios are the best choice for analysing the oil price sensitivity of stock market returns. Overall, oil appears to have some connectivity with the pricing of equities but various types of cross country and cross sector disparities make the pricing dynamics complex and difficult to quantify in exact terms.

Download or read book Oil Price Shocks and Stock Market Behavior written by Jung Wook Park and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation analyze the relationship between oil price shocks and stock market for the US and 13 European countries with monthly data from 1986.1-2005.12. Three countries (Denmark, Norway and the UK) among 13 European countries are oil exporting countries. Unrestricted multivariate Vector Autoregression (VAR) with 4 variables (interest rates, real oil price changes, industrial production and real stock returns) is estimated as well as impulse response function and variance decomposition. With regard to impact of oil price shocks on the stock market, in most oil importing countries oil price shocks have significantly negative effect on the stock market in the same month or in one month, while among oil exporting countries only Norway shows a significantly positive response of real stock returns to oil price shocks. Comparing the impacts of oil price shocks and interest rate (monetary) shocks on the stock market, in most oil importing countries oil price shocks have a greater impact than interest rate shocks, except for a few countries where monetary policy responds systemically to oil price shocks by raising interest rates, which leads to a decline in real stock returns. Therefore, taking into account the response of monetary policy to oil price shocks, oil prices play a crucial role in the stock market of oil importing countries. On the contrary, in oil exporting countries oil price shocks have a smaller impact on the stock market than interest rate shocks, and monetary policy does not respond to the oil price shocks. According to the literature, oil price shocks have an asymmetric effect on economic activity and the stock market in that oil price increases have a greater impact than oil price decreases. However, in this dissertation, the asymmetric pattern is a little different. In the sub-sample period (1996.5-2005.12) when oil price increases more frequently than oil price decreases and the average magnitude of oil price increases is smaller than that of oil price decreases, stock markets in most countries are more influenced by oil price decreases than oil price increases in the variance decomposition analysis. In particular, statistically significant evidence at the 5% level is found that oil price decreases have a greater impact on real stock returns than oil price increases after the mid 1990's in the US.

Download or read book The relationship between oil prices and bond stock market written by Juan Iris Huang and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Impact of Oil Price on Stock Returns in Oil Exporting Countries written by Abdulla Alikhanov and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of our paper is to examine the relationship and interactions between oil price movements and stock markets in main two oil exporting countries - Russia and Norway and test how and to what extent oil prices together with other variables influence stock markets. Some macroeconomic explanatory variables that are directly linked to stock market performance are included to our model, too. The notion of comparative analysis of oil price changes and stock market performance between a developing country- Russia and a developed country- Norway is also one of the major empirical aspects of our master thesis. First, we run simple OLS regression to understand the effect of oil prices on stock returns. In order to examine deeply the interaction and impact among different variables, we employ a VAR model. Results reveal a diverse pattern in all share and industrial level in two markets. Finally, for further analysis, we run asymmetric tests using dummy variables to show the difference between oil price increases and the normal case.

Download or read book The Correlation Between Physical and Financial Crude Oil Markets written by Johannes Sailer and published by GRIN Verlag. This book was released on 2012-03-26 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2012 in the subject Business economics - Miscellaneous, grade: 1,6, Humboldt-University of Berlin (School of Business and Economics ), course: Power Games in Energy Markets, language: English, abstract: Crude oil is currently the most important source of energy in the world. Thanks to advanced production and extraction methods, and due to new discoveries, the available reserves have grown over the last ten years. During this period of time, oil prices rose considerably. These increases in price are associated with the increasing energy demands of growing economies across the planet and a shifting of weight between the physical and financial oil market. The goal of this work is to examine the correlation between physical and financial crude oil markets as well as establish an explanation for the drastic increase in crude oil price in the past decade. The work is organized as follows: To begin, the characteristics of crude oil as well as its value chain are presented and examined. This is followed by an explanation of the physical and financial oil trade. To conclude, the fundamentals of the world oil market and the financial oil trade are examined to determine the relevance of causation with respect to the recent price increase.

Download or read book NBER Macroeconomics Annual 2001 written by Ben S. Bernanke and published by MIT Press. This book was released on 2002 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: Current issues in macroeconomics.

Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

Download or read book Volatility of Oil Prices written by Peter Wickham and published by International Monetary Fund. This book was released on 1996-08 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the behavior of crude oil prices since 1980, and in particular the volatility of these prices. The empirical analysis covers “spot” prices for one of the key internationally traded crudes, namely Dated Brent Blend. A GARCH (generalized autoregressive conditional heteroscedastic) model, which allows the conditional variance to be time-variant, is estimated for the period which includes the oil price slump of 1986 and the surge in prices in 1990 as a result of the Iraqi invasion of Kuwait. The paper also discusses the growth of futures and derivative markets and the dynamic links between spot and futures markets.

Download or read book Oil Price and Stock Market Index in Exporting and Importing Countries written by Hussein Salameh and published by . This book was released on 2019 with total page 17 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the empirical literature, only few studies have focused on the relationship between oil prices and stock markets in both exporting and importing countries. Previous studies have focused almost exclusively on oil exporting countries; in this paper we encounter this issue through implementing new panel unit-root tests to examine the long-term relationship between variables and the convergence across these variables. As a further safeguard, Granger Causality and the Johansen maximum likelihood co-integration technique have been employed. Using monthly data sets covering the period from June 2007 to December 2009, we show solid statistical evidence that the causal relationship is consistently bi-directional. Furthermore, we find evidence to indicate that there are long run relationships across all the variables in our study. The findings from our research are important; however, we believe that further research based on our findings is necessary.

Download or read book Long Run Association of Oil Prices and Stock Prices written by Venkata Sai Srinivasa Rao Muramalla and published by . This book was released on 2020 with total page 8 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study was aimed to investigate the long-run association of oil prices with the stock market index of Indonesia. The research consisted of crude oil prices as regressor, stock market index as regressand, GDP growth and inflation as control variables; and for these variables data were collected from 1990 to 2018. Meanwhile, for empirical investigation, ARDL and Granger Causality was applied to identify the long-run and short-run association of the oil crude oil prices with the stock market index in Indonesia. The findings of the study suggest that there is no long-run and short-run association of the crude oil prices with the stock index of Indonesia. However, a bi-directional association between the stock market and GDP growth but at 10%, the empirical study also suggested that GDP growth has unidirectional relation with inflation at 10%; whereas at 5% only stock market granger cause economic growth.

Download or read book Oil Price Uncertainty written by Apostolos Serletis and published by World Scientific Publishing Company Incorporated. This book was released on 2012 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The relationship between the price of oil and the level of economic activity is a fundamental issue in macroeconomics. There is an ongoing debate in the literature about whether positive oil price shocks cause recessions in the United States (and other oil-importing countries), and although there exists a vast empirical literature that investigates the effects of oil price shocks, there are relatively few studies that investigate the direct effects of uncertainty about oil prices on the real economy. The book uses recent advances in macroeconomics and financial economics to investigate the effects of oil price shocks and uncertainty about the price of oil on the level of economic activity.

Download or read book The Interrelationship Between Financial and Energy Markets written by Sofia Ramos and published by Springer. This book was released on 2014-08-09 with total page 315 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the last decade, energy markets have developed substantially due to the growing activity of financial investors. One consequence of this massive presence of investors is a stronger link between the hitherto segmented energy and financial markets. This book addresses some of the recent developments in the interrelationship between financial and energy markets. It aims to further the understanding of the rich interplay between financial and energy markets by presenting several empirical studies that illustrate and discuss some of the main issues on this agenda.

Download or read book Oil Prices and the Global Economy written by Mr.Rabah Arezki and published by International Monetary Fund. This book was released on 2017-01-27 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a simple macroeconomic model of the oil market. The model incorporates features of oil supply such as depletion, endogenous oil exploration and extraction, as well as features of oil demand such as the secular increase in demand from emerging-market economies, usage efficiency, and endogenous demand responses. The model provides, inter alia, a useful analytical framework to explore the effects of: a change in world GDP growth; a change in the efficiency of oil usage; and a change in the supply of oil. Notwithstanding that shale oil production today is more responsive to prices than conventional oil, our analysis suggests that an era of prolonged low oil prices is likely to be followed by a period where oil prices overshoot their long-term upward trend.

Download or read book The Price of Oil and the Stock Market written by SiYuan Wang and published by . This book was released on 2010 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: