scholarly journals Explaining the Nonlinear Response of Stock Markets to Oil Price Shocks

2020 ◽  
Author(s):  
Diego Escobari ◽  
Shahil Sharma
Keyword(s):  
Stock Markets ◽  
Nonlinear Response ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks

scholarly journals Explaining the nonlinear response of stock markets to oil price shocks

Energy ◽  
2020 ◽  
Vol 213 ◽  
pp. 118778
Author(s):  
Diego Escobari ◽  
Shahil Sharma
Keyword(s):  
Stock Markets ◽  
Nonlinear Response ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks

COMPARING THE IMPACTS OF OIL PRICE SHOCKS ACROSS STOCK MARKETS

2015 ◽  
Vol 77 (20) ◽  
Author(s):  
Siok Kun Sek ◽  
Zhan Jian Ng ◽  
Wai Mun Har
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Spillover Effect ◽  
Spillover Effects ◽  
Oil Price ◽  
Multivariate Garch ◽  
Oil Price Shocks ◽  
Price Shocks ◽  
Long Run ◽  
Short Run

We conduct empirical analyses on comparing the spillover effects of oil price shocks on the volatility of stock returns between oil importing and oil exporting countries. In particular, we seek to study how the nature of oil price shocks differs due to the oil dependency factor and how the stock markets react to such shocks. Applying the multivariate GARCH-BEKK(1,1) model, our results detect spillover effects between crude oil price and stock returns for all countries. The short run persistencies of shocks are smaller but the persistencies of shocks are very high in the long run. The results hold for both groups of countries. The results imply larger spillover effect from oil price shock into stock market in the oil importing countries.

Oil price shocks and stock markets: testing for non-linearity

2014 ◽  
Vol 48 (3) ◽  
pp. 1079-1102 ◽  
Author(s):  
Rebeca Jiménez-Rodríguez
Keyword(s):  
Stock Markets ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Price Shocks

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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