scholarly journals Oil price volatility and stock returns: Evidence from three oil‐price wars

2022 ◽  
Author(s):  
Mushtaq Hussain Khan ◽  
Junaid Ahmed ◽  
Mazhar Mughal ◽  
Imtiaz Hussain Khan
Keyword(s):  
Stock Returns ◽  
Price Volatility ◽  
Oil Price ◽  
Oil Price Volatility ◽  
Price Wars

scholarly journals Oil price volatility and stock returns in the G7 economies

2016 ◽  
Vol 54 ◽  
pp. 417-430 ◽  
Author(s):  
Elena Maria Diaz ◽  
Juan Carlos Molero ◽  
Fernando Perez de Gracia
Keyword(s):  
Stock Returns ◽  
Price Volatility ◽  
Oil Price ◽  
Oil Price Volatility

scholarly journals Impact of Crude Oil Price Volatility on Southeast Asian Stock Returns

2019 ◽  
Vol 11 (4) ◽  
pp. 40
Author(s):  
Thanh Nam Vu
Keyword(s):  
Crude Oil ◽  
Stock Returns ◽  
Stock Markets ◽  
Negative Impact ◽  
Price Volatility ◽  
Southeast Asian ◽  
Oil Price ◽  
Oil Price Volatility ◽  
Volatility Index ◽  
International Portfolio Diversification

The study investigates the connection between international oil indices and Southeast Asian stock markets. The outcomes of both employed models, namely EGARCH and GARCH-jump, confirm the significant oil-stock linkage in Southeast Asian region. While the oil price fluctuations have positive effect on stock returns, the impacts of the implied crude oil volatility index (OVX) are negative, implying that the increase in level of future oil prices uncertainty leads to downward movement on stock markets. Additionally, the study further reports the existence of GARCH effects in Southeast Asian stock markets. The results from EGARCH models illustrate that the previously negative shocks seem to have greater effects on the current volatility of stock returns in analyzed countries than the positive shocks. Furthermore, the jump effects are found in most markets, as evidenced by the estimates for GARCH-jump models. Generally, the volatility driven by abnormal information positively affects the volatility of return while the jump behavior has negative impact on return in Southeast Asian markets. Providing greater understandings about new markets in Southeast Asian area, the research could be utilized in improving investment decisions and gaining the advantages of international portfolio diversification.

scholarly journals Economic Diversification and the State of Oil Dependency of UAE Stock Returns-An Analysis of ADX Indices 2014-2019

2019 ◽  
Vol 8 (4) ◽  
pp. 199
Author(s):  
T.P. Ghosh
Keyword(s):  
Stock Returns ◽  
Stock Return ◽  
Model Misspecification ◽  
Price Volatility ◽  
Commodity Price ◽  
Oil Price ◽  
Abu Dhabi ◽  
Causality Test ◽  
Oil Price Volatility ◽  
General Index

Impact of commodity price risk on stock return remains an important forecasting parameters across stock markets of developed and emerging markets. In recent times the subdued oil price poses a challenge to the economic imbalance among oil producing countries, and thus non-oil diversification has been adopted as an economic solution. Amongst the GCC countries, the intensity of non-oil diversification has been found to be  higher in the UAE which prompted to conduct a separate study of impact of oil price volatility on stock returns of Abu Dhabi Securities Market General Index and various sectoral indices. This study examines whether UAE stock returns are still associated with changes in oil price as reported in earlier research despite significant improvements in non-oil sector GDP contributions. The empirical assessment is based on weekly returns of the Abu Dhabi Stock Market General Index and four sectoral indices, namely, banking, industrial, energy and real estate in relation to variations in weekly WTI prices for the period between 1st week of 2012 to 29th week of 2019, i.e., for a period of  392 weeks applying Vector Error Correction model and Granger Causality test. It is found that there exists both long run and short run association between oil price volatility and stock return except model misspecification in respect of industrial and energy sectors arising out of serial correlation. Two lagged weekly oil price movements are found to be strong explanatory variables of stock returns. 

scholarly journals The sensitivity of GCC firms’ stock returns to exchange rate, interest rate, and oil price volatility

2020 ◽  
Vol 17 (4) ◽  
pp. 35-50
Author(s):  
Mariam Alenezi ◽  
Ahmad Alqatan ◽  
Obby Phiri
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Returns ◽  
Price Volatility ◽  
Interest Rate Risk ◽  
Oil Price ◽  
Exchange Rate Risk ◽  
Oil Price Volatility ◽  
Gcc Countries ◽  
Rate Risk

This study seeks to investigate the sensitivity of stock returns to exchange rate, interest rate and oil price volatility in the Gulf Cooperation Council (GCC) countries. It employs both the multivariate ordinary least square (OLS) regression and the exponential generalized autoregressive conditional heteroscedastic in mean (EGARCH-M) models to analyse the data collected from Bloomberg and DataStream on the GCC countries (Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates) for the period January 2007 to June 2012. The study shows that stock returns in GCC countries are influenced by the exchange rate risk, interest rate risk and oil price risk. However, the exposure is highest for exchange rate risk and lowest for interest rate risk. While the effects of these risks were mixed, overall, exchange rate risk and oil price risk showed a positive and significant relationship as compared to the interest rate risk that showed a negative significant effect on firm values. The level of the effect of these risks also differed from country to country. Further, foreign operations and firm size had a significant influence on the extent of the firms’ exposure to all three risks. The study findings suggest that the volatility of stock returns affected by changes in the risk factors could indicate non-prioritisation of risk management by firms. This has implications in terms of consideration of the long-term exposure of firms to these three risks and thus, the need for effective risk management strategies.

scholarly journals The Influence of Oil Price on Renewable Energy Stock Prices: An Analysis for Entrepreneurs

2020 ◽  
Vol 30 (2) ◽  
pp. 24-35
Author(s):  
Georgiana Vrînceanu ◽  
Alexandra Horobeț ◽  
Consuela Popescu ◽  
Lucian Belaşcu
Keyword(s):  
Renewable Energy ◽  
Stock Returns ◽  
Stock Prices ◽  
Price Volatility ◽  
Oil Prices ◽  
Oil Price ◽  
Causality Test ◽  
Volatility Clustering ◽  
Oil Price Volatility ◽  
Oil Markets

AbstractThis study investigates the relationship between oil price fluctuations and renewable energy stock returns using daily data on Brent crude oil prices and global renewable energy stock market indices between 29 November 2010 and 18 February 2020. The investigation is based on the existing evidence on positive correlations between stock prices and oil prices, but it also considers the shift from non-renewable to renewable sources of energy. A two-stage GARCH(1,1) model and a Granger causality test were applied. Our results show that volatility clustering is present in the renewable energy companies‘ stock prices, but, oil price volatility does not seem to induce any significant effects on returns‘ volatility. This might suggest that oil markets and renewable energy markets are rather disconnected, which means that the development of renewable energy businesses is less affected by potential shocks in the oil prices and markets. As a result, the exposure of companies and entrepreneurs in the renewable sector to an important source of macroeconomic volatility is reduced.

Crude Oil Price and Food Security Related Variables in Malaysia

2016 ◽  
Vol 4 (2) ◽  
pp. 17-21
Author(s):  
Shri Dewi Applanaidu ◽  
Mukhriz Izraf Azman Aziz
Keyword(s):  
Food Security ◽  
Crude Oil ◽  
Price Index ◽  
Price Volatility ◽  
Food Price ◽  
Oil Price ◽  
Crude Oil Price ◽  
Price Changes ◽  
Oil Price Volatility ◽  
Crude Oil Prices

Objective - This study analyzes the dynamic relationship between crude oil price and food security related variables (crude palm oil price, exchange rate, food import, food price index, food production index, income per capita and government development expenditure) in Malaysia using a Vector Auto Regressive (VAR) model. Methodology/Technique - The data covered the period of 1980-2014. Impulse response functions (IRFs) was applied to examine what will be the results of crude oil price changes to the variables in the model. To explore the impact of variation in crude oil prices on the selected food security related variables forecast error variance decomposition (VDC) was employed. Findings - Findings from IRFs suggest there are positive effects of oil price changes on food import and food price index. The VDC analyses suggest that crude oil price changes have relatively largest impact on real crude palm oil price, food import and food price index. This study would suggest to revisiting the formulation of food price policy by including appropriate weight of crude oil price volatility. In terms of crude oil palm price determination, the volatility of crude oil prices should be taken into account. Overdependence on food imports also needs to be reduced. Novelty - As the largest response of crude oil price volatility on related food security variables food vouchers can be implemented. Food vouchers have advantages compared to direct cash transfers since it can be targeted and can be restricted to certain types of products and group of people. Hence, it can act as a better aid compared cash transfers. Type of Paper - Empirical Keywords: Crude oil price, Food security related variables, IRF, VAR, VDC

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