The lead of oil price rises on US equity market beliefs and preferences

2021 ◽  
Author(s):  
Jonathan Dark
Keyword(s):  
Equity Market ◽  
Oil Price ◽  
Market Beliefs

scholarly journals Exploring relationship between crude oil price volatility and stock indices movement using wavelet analysis: evidence from India and China

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Shekhar Mishra ◽  
Sathya Swaroop Debasish
Keyword(s):  
Time Series ◽  
Wavelet Transform ◽  
Crude Oil ◽  
Equity Market ◽  
Oil Price ◽  
Discrete Wavelet ◽  
Crude Oil Price ◽  
Content Type ◽  
India And China

Purpose This study aims to explore the linkage between fluctuations in the global crude oil price and equity market in fast emerging economies of India and China. Design/methodology/approach The present research uses wavelet decomposition and maximal overlap discrete wavelet transform (MODWT), which decompose the time series into various frequencies of short, medium and long-term nature. The paper further uses continuous and cross wavelet transform to analyze the variance among the variables and wavelet coherence analysis and wavelet-based Granger causality analysis to examine the direction of causality between the variables. Findings The continuous wavelet transform indicates strong variance in WTIR (return series of West Texas Instrument crude oil price) in short, medium and long run at various time periods. The variance in CNX Nifty is observed in the short and medium run at various time periods. The Chinese stock index, i.e. SCIR, experiences very little variance in short run and significant variance in the long and medium run. The causality between the changes in crude oil price and CNX Nifty is insignificant and there exists a bi-directional causality between global crude oil price fluctuations and the Chinese equity market. Originality/value To the best of the authors’ knowledge, very limited work has been done where the researchers have analyzed the linkage between the equity market and crude oil price fluctuations under the framework of discrete wavelet transform, which overlooks the bottleneck of non-stationarity nature of the time series. To bridge this gap, the present research uses wavelet decomposition and MODWT, which decompose the time series into various frequencies of short, medium and long-term nature.

scholarly journals MACROECONOMIC VARIABLES AND STOCK MARKET MOVEMENT IN NIGERIA (1988 – 2019)

2021 ◽  
Vol 8 (1) ◽  
pp. 86-95
Author(s):  
Olaolu O. ◽  
◽  
Nwankpa C. ◽  
Keyword(s):  
Time Series ◽  
Interest Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Inflation Rate ◽  
Equity Market ◽  
Oil Price ◽  
Portfolio Investment ◽  
Crude Oil Price ◽  
Foreign Portfolio Investment

The goal of this study was to analyse empirically the effect on the stock market movement of five selected macro-economic variables, including the exchange rate, inflation rate, interest rate, crude oil price, and foreign portfolio investment. For the movement of the stock market, stock market capitalizations were used as a reference. Information from the annual time series covering the period between 1988 and 2019 was used. The analysis started with examining stochastic characteristics of each time series by testing their stationarity using Augmented Dickey Fuller (ADF) test. The findings show that only equity market capitalization and crude oil price was found stationary at level, while the other time series were found stationary at first difference. The bounds cointegration test procedure indicates that the variables have long-run equilibrium relationship amongst themselves. Analysis from the study showed that foreign exchange rate, interest rate, inflation rate, crude oil, and foreign portfolio investment are all significant in determining the performance of equity market capitalisation. They were all found to have a significant effect on stock market movement in Nigeria. Based on these findings, the study recommended that there is need to formulate sustainable macro-economic policies to curtail depreciation of the Naira, high inflation, and interest rate while attracting long-term foreign portfolio investors into Nigeria. Aggressive diversification of the economy should be made from its mono-cultural dependence on oil whose price over which Nigeria has no control.

Monetary policy and the effect of the transfer of oil prices to inflation

2020 ◽  
pp. 41-50
Author(s):  
Ph. S. Kartaev ◽  
I. D. Medvedev
Keyword(s):  
Monetary Policy ◽  
Inflation Targeting ◽  
Dynamic Models ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Negative Effects ◽  
Price Shocks ◽  
Policy Regime ◽  
The Impact

The paper examines the impact of oil price shocks on inflation, as well as the impact of the choice of the monetary policy regime on the strength of this influence. We used dynamic models on panel data for the countries of the world for the period from 2000 to 2017. It is shown that mainly the impact of changes in oil prices on inflation is carried out through the channel of exchange rate. The paper demonstrates the influence of the transition to inflation targeting on the nature of the relationship between oil price shocks and inflation. This effect is asymmetrical: during periods of rising oil prices, inflation targeting reduces the effect of the transfer of oil prices, limiting negative effects of shock. During periods of decline in oil prices, this monetary policy regime, in contrast, contributes to a stronger transfer, helping to reduce inflation.

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