Oil price and stock market index in exporting and importing countries: evidence from MENA

2012 ◽  
Vol 2 (4) ◽  
pp. 363
Author(s):  
Hussein Mohammad Salameh ◽  
Bashar Al Zu' ◽  
N.A. bi ◽  
Khaled Abdelal Al Zubi ◽  
Ihab Khaled Magableh
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Stock Market Index ◽  
Market Index

Local Stock Market Integration with International Gold and Oil Price

2021 ◽  
Vol 1 (1) ◽  
Author(s):  
Kanon Kumar Sen ◽  
◽  
Md. Thasinul Abedin ◽  
Ratan Ghosh ◽  
◽  
...  
Keyword(s):  
Stock Market ◽  
Market Integration ◽  
Oil Price ◽  
Policy Implications ◽  
Bounds Testing ◽  
Stock Market Index ◽  
Data Set ◽  
Stock Market Integration ◽  
Market Index ◽  
Short Run

We look for the integration of Bangladesh Stock Market with international gold and oil price using most recent monthly data set from January 2003 to December 2020 (2003m1-2020m12). We employ the bounds-testing approach to cointegration between stock market index (DSEX) and international gold and oil price and eventually find an integration and dynamic significant impact of international gold and oil price on DSEX in the long and short-run. We discuss the important policy implications of the dynamic impact of international gold and oil price on stock market index.

scholarly journals Linkages Between Brent Oil Price And Iran Stock Market: New Evidence From The Corona Pandemic

2021 ◽  
Author(s):  
Vida Varahrami ◽  
Masoumeh Dadgar
Keyword(s):  
Stock Market ◽  
Oil And Gas ◽  
Causal Effect ◽  
Oil Prices ◽  
Jel Classification ◽  
Oil Price ◽  
Stock Index ◽  
Impulse Response Functions ◽  
Stock Market Index ◽  
Market Index

Abstract This article reviews the relationship between the oil market and the stock market during the Corona outbreak. This study aims to analyze the stock market and the effect of oil prices on this market during the corona pandemic. The hypothesis of this paper is whether while oil prices shocks happen due to business cycle fluctuations and some other reasons like political reasons, occur; The correlations between changes in Brent oil prices and stock market indices tend to be affected by named corona indexes. Forecasting the stock market in each period has been difficult and the value of stock index has been affected by various factors. Among these factors has been the oil and gas sector, especially in countries dependent on the revenue from their sales. On the other hand, the outbreak of Covid-19 pandemic has led to profound changes in both areas. This study examines relationship between Brent oil price and Iran stock market Index during the outbreak of corona pandemic. Research method is, vector autoregression model (VAR) which using daily data covering the period from February 20, 2020 to August 21,2020. The findings of this study suggest that a negative causal effect from Brent oil price changes to the Iran stock market Index. Also, the results of impulse response functions and variance decompositions showed that some corona pandemic indicators have significant effects on the stock index.JEL Classification: I18, E44, Q4, C5

Modeling the relationships among gold price, oil price, foreign exchange, and the stock market index in Thailand

2021 ◽  
Vol 18 (2) ◽  
pp. 261-272
Author(s):  
Supachok Thakolsri
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Foreign Exchange ◽  
Gold Price ◽  
Foreign Exchange Rate ◽  
Oil Price ◽  
Asset Markets ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run

This study examines the relationship among the price variables in the Thailand stock market, the foreign exchange market, the international gold market, and the crude oil market. Specifically, the study investigates whether (1) there exists a long-run equilibrium among oil price, gold price, foreign exchange, and the stock market index in Thailand, and (2) there is any dynamic effect of each asset market on other asset markets. All asset price series have shown both upward and downward trends over the study period. All monthly series in four markets from January 2000 to December 2018 are nonstationary and are integrated of order one. Then, the Johansen cointegration test is employed. The normalized cointegrating coefficients are negative. Such empirical result reveals that a significant long-run relationship exists among price variables in all asset markets, so that each asset class acts as a hedge against each other. The Granger causality test shows that the causations run from the stock price to the foreign exchange rate and the international gold price to the foreign exchange rate. Other short-run relationships have no significant causal links.

scholarly journals Oil Price And Stock Market Linkages In A Small And Oil Dependent Economy: The Case Of Greece

2010 ◽  
Vol 26 (4) ◽  
Author(s):  
Katrakilidis Constantinos ◽  
Lake Andreas Ektor ◽  
Mardas Dimitrios
Keyword(s):  
Stock Market ◽  
Oil Price ◽  
Causal Effects ◽  
Font Size ◽  
Stock Market Index ◽  
Market Returns ◽  
Stock Market Returns ◽  
Market Index ◽  
Causality Tests ◽  
Of Greece

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt; mso-pagination: none;"><span style="font-family: Times New Roman;"><span style="color: black; font-size: 10pt; mso-ansi-language: EN-US; mso-themecolor: text1;">We </span><span style="color: black; font-size: 10pt; mso-ansi-language: EN-GB; mso-themecolor: text1;" lang="EN-GB">investigate the dynamic linkages between oil prices and the stock market behaviour in a small and oil dependent economy. Particularly, we analyse empirically the relationships among stock market returns, the volatility of the stock market index, the oil price and the volatility of oil price in Greece. We employ VAR modelling in conjunction with Granger-causality tests. Contrary to the majority of the internationally reported evidence, our findings show the existence of significant positive causal effects from oil price changes on the stock market.</span></span><strong style="mso-bidi-font-weight: normal;"><span style="color: black; font-size: 10pt; mso-ansi-language: EN-US; mso-themecolor: text1;"></span></strong></p>

scholarly journals The Impact of Palm Oil Price on the Malaysian Stock Market Performance

2014 ◽  
Vol 6 (1) ◽  
pp. 1-9 ◽  
Author(s):  
Sabariah Nordin ◽  
Rusmawati Ismail .
Keyword(s):  
Stock Market ◽  
Palm Oil ◽  
Commodity Prices ◽  
Oil Price ◽  
Stock Market Index ◽  
Market Index ◽  
Long Run ◽  
Stock Market Performance ◽  
Short Run ◽  
The Impact

The performance of a stock market has always become the center of attention for market analysts and investors. Due to its significant role in the economy of a country, the performance of the stock market is always associated with the economic condition of a country. Because of that, this study intends to examine the impact of commodity prices in influencing the behavior of the stock market index specifically by focusing on the palm oil prices. Since Malaysia is one of the major producers of palm oil, the behavior of the palm oil price is expected to have an influence on the Malaysian stock market index. In pursuing the objective, we have adopted the bounds test approach to analyze the existence of cointegration relationship among the underlying variables of the Malaysian stock market index, interest rate, exchange rate and the price of palm oil. Using monthly data for the period of 1997M12 to 2012M9, results of an ARDL test indicates that all the variables employed are significant in influencing the Malaysian stock market index in the long run as well as in the short run.

scholarly journals A Markov Switching Vector Error Correction Model on Oil Price and Gold Price Effect on Stock Market Returns

2013 ◽  
Vol 5 (7) ◽  
pp. 331-336
Author(s):  
Seuk Wai Phoong ◽  
Siok Kun Sek .
Keyword(s):  
Stock Market ◽  
Error Correction ◽  
Markov Switching ◽  
Oil Price ◽  
Vector Error Correction Model ◽  
Stock Market Index ◽  
Correction Model ◽  
Vector Error Correction ◽  
Market Index ◽  
Vector Error

Stock market index represent a country growth and always as an interest for economist and statisticians. In this paper, the effect of oil price and gold price on stock market index on Malaysia, Singapore, Thailand and Indonesia are investigated and a two-regime Markov Switching Vector Error Correction model is used to examine the nonlinear properties model. Moreover, a two regime mean adjusted Markov Switching Vector Error Correction model is used in the study to capture the filtered and smoothed probabilities of the time series sequence in the economic model. Results found that the oil price and gold price affect the movement of the Malaysia, Singapore, Thailand and Indonesia stock market index and there is an asymmetric cycle since 97% of the total sample size is recorded in the growth state.

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