The dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price

2013 ◽  
Vol 94 ◽  
pp. 277-294 ◽  
Author(s):  
Shawkat Hammoudeh ◽  
Ramazan Sari ◽  
Mehmet Uzunkaya ◽  
Tengdong Liu
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Country Risk ◽  
Oil Price ◽  
Domestic Stock

The Dynamics of BRICS's Country Risk Ratings and Stock Markets, U.S. Stock Market and Oil Price

2011 ◽  
Author(s):  
Shawkat M. Hammoudeh ◽  
Ramazan Sari ◽  
Tengdong Liu ◽  
Mehmet Uzunkaya
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Country Risk ◽  
Oil Price

The optimal thermal causal path analysis on the relationship between international crude oil price and stock market

Kybernetes ◽  
2018 ◽  
Vol 47 (6) ◽  
pp. 1242-1261 ◽  
Author(s):  
Can Zhong Yao ◽  
Peng Cheng Kuang ◽  
Ji Nan Lin
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Markets ◽  
Oil Prices ◽  
Oil Price ◽  
Chinese Stock Market ◽  
Crude Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
Causal Path

Purpose The purpose of this study is to reveal the lead–lag structure between international crude oil price and stock markets. Design/methodology/approach The methods used for this study are as follows: empirical mode decomposition; shift-window-based Pearson coefficient and thermal causal path method. Findings The fluctuation characteristic of Chinese stock market before 2010 is very similar to international crude oil prices. After 2010, their fluctuation patterns are significantly different from each other. The two stock markets significantly led international crude oil prices, revealing varying lead–lag orders among stock markets. During 2000 and 2004, the stock markets significantly led international crude oil prices but they are less distinct from the lead–lag orders. After 2004, the effects changed so that the leading effect of Shanghai composite index remains no longer significant, and after 2012, S&P index just significantly lagged behind the international crude oil prices. Originality/value China and the US stock markets develop different pattens to handle the crude oil prices fluctuation after finance crisis in 1998.

scholarly journals Oil Dependency of GCC Stock Markets: Co-integration of GCC Stock Market Indices and Oil Price

2016 ◽  
Vol 12 (1) ◽  
pp. 188
Author(s):  
T. P. Ghosh
Keyword(s):  
Stock Market ◽  
Stock Markets ◽  
Economic Recession ◽  
Oil Price ◽  
Integrated Analysis ◽  
Data Series ◽  
Stock Indices ◽  
Gcc Countries ◽  
Per Se ◽  
Johansen Cointegration Test

Oil dependent economies of GCC countries had passed through various cycles of boom and trough of oil price. In the aftermath of the economic recession of 2008 and oil price, the GCC countries have been pursuing plans for diversifying to non-oil revenues. The oil of 2014-16 raised the issue of stock market cointegration to oil price movement in the background of non-oil diversification.This research study analyzes long term cointegration of oil price and GCC stock indices, and also cointegration among the GCC stock indices per se in an attempt to investigate if there is any early sign of disintegration of GCC stock markets from oil price cyclicality. The study period is linked to cyclicality of oil price: the first period comprising of Jan 2006- Dec. 2011 that covers oil price cycle during economic recession of 2008, and the second period comprising of Jan 2012 –September 2016 which covers the post-economic recession oil price cycle. The null hypotheses is that oil price and stock market indices are co-integrated.Based on Johansen Cointegration test on Box Cox transformed data of oil price and seven stock market indices of GCC countries, it is found that oil price and GCC stock markets are co-integrated. Analysis using Augmented Dickey- Fuller test and Phillips –Perron test shows that data series are all I (1). This study establishes that efforts to reduce oil dependency in GCC countries is yet to result in decoupling of financial markets from oil price cyclicality. This study also establishes that GCC stock markets per se are co-integrated but factors of cointegration beyond oil price are not explored.

scholarly journals Time–Scale Relationship between Securitized Real Estate and Local Stock Markets: Some Wavelet Evidence

2019 ◽  
Vol 12 (1) ◽  
pp. 16 ◽  
Author(s):  
Kim Hiang Liow ◽  
Xiaoxia Zhou ◽  
Qiang Li ◽  
Yuting Huang
Keyword(s):  
Real Estate ◽  
Stock Market ◽  
Time Scale ◽  
Stock Markets ◽  
Real Estate Markets ◽  
Long Run ◽  
Short Run ◽  
The Relationship ◽  
Local Stock ◽  
Domestic Stock

: This study revisits the relationship between securitized real estate and local stock markets by focusing on their time-scale co-movement and contagion dynamics across five developed countries. Since securitized real estate market is an important capital component of the domestic stock market in the respective economies, it is linked to the stock market. Earlier research does not have satisfactory results, because traditional methods average different relationships over various time and frequency domains between securitized real estate and local stock markets. According to our novel wavelet analysis, the relationship between the two asset markets is time–frequency varying. The average long run real estate–stock correlation fails to outweigh the average short run correlation, indicating the real estate markets examined may have become increasingly less sensitive to the domestic stock markets in the long-run in recent years. Moreover, securitized real estate markets appear to lead stock markets in the short run, whereas stock markets tend to lead securitized real estate markets in the long run, and to a lesser degree medium-term. Finally, we find incomplete real estate and local stock market integration among the five developed economies, given only weaker long-run integration beyond crisis periods.

scholarly journals CONTAGIOUS EFFECTS OF OIL PRICES ON ASIAN STOCK MARKETS’ BEHAVIOUR

2016 ◽  
Vol 31 (1) ◽  
pp. 141
Author(s):  
Jok-Tong Wan ◽  
Evan Lau ◽  
Rayenda Khresna Brahmana
Keyword(s):  
Hong Kong ◽  
Stock Market ◽  
South Korea ◽  
Stock Markets ◽  
East Asian ◽  
Oil Prices ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
East Asian Stock Markets

The main objective of this study is to examine the stock markets’ shock due to the effect of the price of oil in the East Asia Region. Particularly, this study examines if there is stock market interdependence during global oil price shocks (sudden changes) for a sample of five total oil importers (the Philippines, Hong Kong SAR, Taiwan, South Korea, and Japan), four net oil importers (Indonesia, Singapore, Thailand, and China), and one net oil exporter (Malaysia) between 1999 and 2014. From the result, an oil price change is collectively found to have a small but significant positive impact on the stock markets, in particular where a sudden decrease in oil prices tends to cause a stock market downturn and volatility. The world economy’s spending, financial investments in oil futures and foreign investment by oil rich nations are some underlying motives for inducing this oil-stock positive relation. The same direction of time-varying conditional correlations is found across East Asian stock markets during negative oil price shocks. The integration among East Asian stock markets is inducing the oil shock contagion to be transmitted from direct oil-affected countries (South Korea, Hong Kong, and Singapore) to non-direct oil affected countries’ (Japan and Taiwan) stock markets. In spite of a long practiced ASEAN+3 macroeconomics surveillance process and Early Warning System (EWS) which can be customized for stock markets to prevent or detect the oil risk, hedging against initial oil-affected stock markets and a stronger influence by the East Asian countries in the global world of oil and capital investment are strongly suggested.Keywords: oil price; capital market integration; stock market behaviour

scholarly journals HOW DO INTERNATIONAL STOCK MARKETS RESPOND TO OIL DEMAND AND SUPPLY SHOCKS?

2013 ◽  
Vol 18 (8) ◽  
pp. 1657-1682 ◽  
Author(s):  
Jochen H. F. Güntner
Keyword(s):  
Stock Market ◽  
Stock Returns ◽  
Stock Markets ◽  
Structural Var ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Demand And Supply ◽  
Supply Shocks ◽  
Oil Demand

Building on Kilian and Park's (2009) structural VAR analysis of the effects of oil demand and supply shocks on the U.S. stock market, this paper focuses on the differences and commonalities of stock price responses in oil exporting and importing economies in 1974–2011. Structural oil price shocks add to our understanding of the 2008 stock market crash. I find that unexpected reductions in world oil supply do not affect stock returns in any of six OECD countries. Although an increase in global aggregate demand consistently raises oil prices and cumulative real stock returns, the effect is more persistent for oil exporters. Other, e.g., precautionary oil demand shocks have a detrimental impact on stock markets in oil-importing countries, a statistically insignificant effect for Canada, and a significantly positive effect for Norway. Oil price shocks account for a larger share of the variation in aggregate international stock returns than in national stock returns.

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