An Influence of the High Oil Price Periods for Two Stock Market Returns: Empirical Study of the Thailand and the Philippine's Stock Markets

PurposeThis paper investigates the relative importance of local macroeconomic and global factors in the explanation of twelve MENA (Middle East and North Africa) stock market returns across the different quantiles in order to determine their degree of international financial integration.Design/methodology/approachThe authors use both ordinary least squares and quantile regressions from January 2007 to January 2018. Quantile regression permits to know how the effects of explanatory variables vary across the different states of the market.FindingsThe results of this paper indicate that the impact of local macroeconomic and global factors differs across the quantiles and markets. Generally, there are wide ranges in degree of international integration and most of MENA stock markets appear to be weakly integrated. This reveals that the portfolio diversification within the stock markets in this region is still beneficial.Originality/valueThis paper is original for two reasons. First, it emphasizes, over a fairly long period, the impact of a large number of macroeconomic and global variables on the MENA stock market returns. Second, it examines if the relative effects of these factors on MENA stock returns vary or not across the market states and MENA countries.

Download Full-text

Oil price shocks and stock market returns

Accounting ◽

10.5267/j.ac.2016.2.005 ◽

2016 ◽

pp. 103-108 ◽

Cited By ~ 2

Author(s):

Maryam Orouji

Keyword(s):

Stock Market ◽

Oil Price ◽

Oil Price Shocks ◽

Market Returns ◽

Price Shocks ◽

Stock Market Returns

Download Full-text

Financial contagion and 2016 oil crisis: a factor analysis

10.31124/advance.12973832.v1 ◽

2020 ◽

Author(s):

Turki Maya

Keyword(s):

Stock Market ◽

Stock Markets ◽

Principal Component ◽

Financial Contagion ◽

Market Returns ◽

Component Structure ◽

Stock Market Returns ◽

Oil Crisis ◽

Market Indexes ◽

Variance Explained

The paper tries to answer the following question: could the 2016 oil price crisis generate financial contagion among stock markets? The study period is composed of two sub-periods; a quiet one from 3/01/2012 to 01/08/2014 and turbulent one from 04/08/2014 to 25/05/2016. Raw data consists of daily international stock market indexes prices. The co-movements of the stock market returns are analyzed through a principal component analysis (PCA). The results revealed that the KMO index (Kaiser-Mayer-Olkin) is higher during the turbulent period than during the quiet one and that the proportion of variance explained by the first component during the turbulent period reached 35% while during the quiet one it represented only 26,7%.Regarding the component structure, for the turbulent period, three factors are able to explain the stock markets indexes movements while for the quiet period four factors are required. The findings give more credit to the thesis supporting the linkage between cross correlation and financial contagion and classify the 2016 oil crisis, as just a coupling episode and not an extreme one.

Download Full-text

Effects of the COVID-19 pandemic on stock market returns and volatilities: evidence from selected emerging economies

Studies in Economics and Finance ◽

10.1108/sef-09-2020-0389 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Bijoy Rakshit ◽

Yadawananda Neog

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Emerging Economies ◽

Market Performance ◽

Exchange Rate Volatility ◽

Oil Price ◽

Market Returns ◽

Stock Market Returns ◽

Content Type ◽

Stock Market Performance

Purpose The purpose of this paper is to investigate the effects of exchange rate volatility, oil price return and COVID-19 cases on the stock market returns and volatility for selected emerging market economies. Additionally, this study compares the market performance in the emerging economies during the COVID-19 pandemic with the pre-COVID and global financial crisis (GFC) period. Design/methodology/approach The authors apply the arbitrage pricing theory to model the risk-return relationship between the risk-based factors (exchange rate volatility and COVID-19 cases) and stock market returns. By applying the exponential generalized autoregressive conditional heteroskedasticity model, the study captures the asymmetric volatility spillover from the stock markets to foreign exchange markets and vice versa. Findings Findings reveal that exchange rate volatility exerts a negative and significant effect on the market returns in Brazil (BOVESPA), Chile (S&P CLX IPSA), India (SENSEX), Mexico (S&P BMV IPC) and Russia (MOEX) during the coronavirus pandemic. Regarding the effect of oil price returns, the authors find a positive relationship between oil price and stock market returns across all the economies in the study. The market returns of Russia, India, Brazil and Peru appeared more volatile during the pandemic than the GFC period. Practical implications As the exchange rate volatility is causing higher risk and uncertainty in the stock market’s performance, the central bank’s effort to maintain a stabilizing effect on the exchange rate sale can be proven crucial for the economies under consideration. Emphasized should also be given to boost investors’ confidence in the stock market, and for this, the government policy actions in reducing the transmission of the disease are the need of the hour. Originality/value While a large volume of literature on stock market performance in times of COVID-19 has emerged from developed economies, this study adds to the literature by exploring the emerging economies’ stock market performance during the COVID-19 pandemic. Unlike previous literature, this study examines the volatility spillover between stock and exchange rate markets in the worst affected emerging economies during the crisis.

Download Full-text

A GARCH Modelling of Volatility and M-GARCH Approach of Stock Market Linkages of North America

Global Business Review ◽

10.1177/0972150918793554 ◽

2018 ◽

Vol 19 (6) ◽

pp. 1538-1553 ◽

Cited By ~ 3

Author(s):

Ajaya Kumar Panda ◽

Swagatika Nanda

Keyword(s):

North America ◽

Stock Market ◽

Stock Markets ◽

Market Integration ◽

Return Volatility ◽

Sample Period ◽

Market Returns ◽

Stock Market Returns ◽

Current Period ◽

Highly Sensitive

The present study attempts to capture the return volatility and the extent of dynamic conditional correlation between the stock markets of North America region. The data contain weekly stock market returns spanning from the second week of 1995 to the fourth week of June 2016. Using univariate ARCH and GARCH approaches, the study finds evidence of return volatility and its persistence within the region. Mexican stock market neither reacts intensely to immediate market fluctuations nor the part of the realized past volatility spill over to the current period, whereas the stock markets of Canada and USA experience high persistence of return volatility and Bermuda stock market returns are highly sensitive to the immediate market fluctuations. Using MGARCH-DCC, this article finds that emerging markets are less linked to the developed market in terms of return and that there also exists a weak co-movement between the stock markets. There is no evidence of market integration throughout the sample period. Correlations tend to spread out equally throughout the sample period, but the co-variances were found to be more volatile during 2008–2010. This article reveals that changes in co-movement are not due to a change in the correlations between markets but is simply due to volatility.

Download Full-text

Opportunity or Crisis? Volatility and Leverage Effect in the World’s Largest Economies

International Journal of Accounting and Financial Reporting ◽

10.5296/ijafr.v9i4.15609 ◽

2019 ◽

Vol 9 (4) ◽

pp. 1

Author(s):

Amalendu Bhunia ◽

Devrim Yaman

Keyword(s):

Stock Market ◽

Stock Markets ◽

Market Volatility ◽

Future Market ◽

Market Returns ◽

Stock Market Returns ◽

The Us ◽

The World ◽

The Impact ◽

The Relationship

This paper examines the relationship between asset volatility and leverage for the three largest economies (based on purchasing power parity) in the world; US, China, and India. Collectively, these economies represent Int$56,269 billion of economic power, making it important to understand the relationship among these economies that provide valuable investment opportunities for investors. We focus on a volatile period in economic history starting in 1997 when the Asian financial crisis began. Using autoregressive models, we find that Chinese stock markets have the highest volatility among the three stock markets while the US stock market has the highest average returns. The Chinese market is less efficient than the US and Indian stock markets since the impact of new information takes longer to be reflected in stock prices. Our results show that the unconditional correlation among these stock markets is significant and positive although the correlation values are low in magnitude. We also find that past market volatility is a good indicator of future market volatility in our sample. The results show that positive stock market returns result in lower volatility compared to negative stock market returns. These results demonstrate that the largest economies of the world are highly integrated and investors should consider volatility and leverage besides returns when investing in these countries.

Download Full-text