scholarly journals Determinants of the Long-Term Correlation between Crude Oil and Stock Markets

Energies ◽  
2019 ◽  
Vol 12 (21) ◽  
pp. 4123 ◽  
Author(s):  
Lu Yang ◽  
Lei Yang ◽  
Kung-Cheng Ho ◽  
Shigeyuki Hamori
Keyword(s):  
Crude Oil ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Debt Crisis ◽  
Panel Data Analysis ◽  
Mixed Data ◽  
Data Sampling ◽  
Conditional Correlation ◽  
Macroeconomic Factors

This study employed a dynamic conditional correlation–mixed-data sampling (DCC–MIDAS) approach and panel data analysis to examine the factors that influence the long-term correlation between crude oil and stock markets. Our study shows that there is a positive long-term conditional correlation between oil prices and stock markets, except during the 2008 global financial crisis and the 2011 European debt crisis. We also found that macroeconomic factors have a significant impact on this correlation. Specifically, risk-free rate has a positive effect, whereas economic activity and credit risk has a negative effect. Our results provide useful information for investors and monetary authorities.

scholarly journals The Impacts of the Infectious Disease Epidemic on the Permanent Volatility of Precious Metal and Crude Oil Futures Markets: A Long-Term Perspective

2021 ◽  
Vol 2021 ◽  
pp. 1-12
Author(s):  
Yue Shang ◽  
Xiaodan Chen ◽  
Yifeng Zhang ◽  
Yu Wei
Keyword(s):  
Infectious Disease ◽  
Crude Oil ◽  
Precious Metal ◽  
Futures Markets ◽  
Commodity Futures ◽  
Mixed Data ◽  
Data Sampling ◽  
Oil Futures ◽  
Crude Oil Futures

The aim of this paper is to identify the quantitative impacts of the infectious disease pandemic on the permanent volatility of precious metal and crude oil futures from a long-term perspective by using a recently constructed Infectious Disease Equity Market Volatility Tracker (ID-EMV) to capture the epidemic severity and with a novel mixed data sampling GARCH (GARCH-MIDAS) method. Different from the extant literature only focusing on the short-term influences of the COVID-19 epidemic on commodity futures market, this paper shows that the infectious disease pandemic does have significant and positive impacts on the permanent (long-term) volatilities of precious metal and crude oil futures markets lasting for at least up to 12 months. In addition, these specific impacts on crude oil futures are greater than those on precious metal futures. Finally, we find that the infectious disease epidemic has larger impacts on gold (WTI oil) futures than those on silver (Brent oil) futures. All these findings are robust after controlling the negative influences of lagged long-run realized volatility in commodity futures markets.

Aging and Consumption Patterns in Turkey

2021 ◽  
pp. 149-171
Author(s):  
Reyhan Cafrı Açcı ◽  
Gülsüm Akarsu ◽  
Hanife Bıdırdı
Keyword(s):  
Social Protection ◽  
Population Aging ◽  
Panel Data Analysis ◽  
Aging Population ◽  
Consumption Patterns ◽  
Macroeconomic Factors ◽  
Consumption Expenditures ◽  
Goods And Services ◽  
Using Data

An aging population is one of the most important issues affecting many areas such as labor and capital markets, social protection, social security, housing, and especially the demand for goods and services. Specifically, analysis of consumption patterns has become essential to prepare long-term plans for production structure and investment because consumption preferences and needs may change as a result of the aging population. Therefore, the aim of this study is to analyze how aging affects consumption patterns in Turkey considering regional heterogeneity and the effects of macroeconomic factors over the years. For this, panel data analysis was performed using data on 26 regions of Turkey over 2008-2018. Results show that population aging affects most of the share of items in household consumption expenditures. Thus, Turkey should be prepared and make development and investment plans considering the aging population.

scholarly journals Crisis determination and financial contagion: an analysis of the Hong Kong and Tokyo stock markets using an MSBVAR approach

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Haytem Troug ◽  
Matt Murray
Keyword(s):  
Hong Kong ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Current Data ◽  
Financial Contagion ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Crisis Period ◽  
Dynamic Relationship ◽  
Using Data

PurposeThe purpose of this paper then, is to add to the existing literature on financial contagion. While a vast amount of the debate has been made using data from the late 1990s, this paper differentiates itself by analysing more current data, centred around the most recent global financial crisis, with specific focus on the stock markets of Hong Kong and Tokyo.Design/methodology/approachEmploying Pearson and Spearman correlation measures, the dynamic relationship of the two markets is determined over tranquil and crisis periods, as specified by an Markov-Switching Bayesian Vector AutoRegression (MSBVAR) model.FindingsThe authors find evidence in support of the existence of financial contagion (defined as an increase in correlation during a crisis period) for all frequencies of data analysed. This contagion is greatest when examining lower-frequency data. Additionally, there is also weaker evidence in some data sub-samples to support “herding” behaviour, whereby higher market correlations persist, following a crisis period.Research limitations/implicationsThe intention of this paper was not to analyse the cause or transmission mechanism of contagion between financial markets. Therefore future studies could extend the methodology used in this paper by including exogenous macroeconomic factors in the MSBVAR model.Originality/valueThe results of this paper serve to explain why the debate of the persistence and in fact existence of financial contagion remains alive. The authors have shown that the frequency of a time series dataset has a significant impact on the level of observed correlation and thus observation of financial contagion.

scholarly journals Nexus between Volatility of Stocks and Macroeconomic Factors during Global Financial Crisis: Evidence from Conventional & Islamic Stocks

2020 ◽  
Vol 6 (2) ◽  
pp. 465-473
Author(s):  
Majid Imdad Khan ◽  
Waheed Akhter ◽  
Muhammad Usman Bhutta
Keyword(s):  
Interest Rate ◽  
Financial Crisis ◽  
Industrial Production ◽  
Stock Markets ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Oil Prices ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
The Relationship

Purpose: The study explores the relationship between the volatility of stock return of markets (Islamic & conventional) and macroeconomic factors by using GARCH in Mean (1,1) model during global financial crisis. Design/Methodology/Approach: monthly data for the period from 04 Jan, 2005 to 31st Dec, 2015. The Islamic stock markets (Dow Jones Islamic Market Malaysia (DJIM), Dow Jones Islamic Market Indonesia (DJII) & Dow Jones world Islamic Index (DJWI)-Benchmark), Conventional stock markets (Shanghai Stock Exchange (SSE),Bombay Stock Exchange (BSE) & Pakistan Stock Exchange (PSE) and Macroeconomic factors (Inflation, Interest Rate, Oil prices and Industrial Production) are taken into consideration. Findings: The results explored that inflation rate influenced the returns of conventional stock markets than Islamic stock markets. Moreover, the volatility components for macroeconomic factors i.e. inflation, interest rate and oil prices are more volatile but larger to industrial production during global financial crisis. Implications/Originality/Value: However, the frequency of market volatility for Islamic stock market is lower than conventional stock markets that mean that the investment in Islamic stock markets seems to be safe flight than conventional stock markets during global financial crisis.

scholarly journals Multi-Time Scale Spillover Effect of International Oil Price Fluctuation on China’s Stock Markets

Energies ◽  
2020 ◽  
Vol 13 (18) ◽  
pp. 4641
Author(s):  
Jingran Zhu ◽  
Qinghua Song ◽  
Dalia Streimikiene
Keyword(s):  
Crude Oil ◽  
Time Scale ◽  
Stock Markets ◽  
Spillover Effect ◽  
Oil Price ◽  
Time Varying ◽  
Price Fluctuation ◽  
The Impact ◽  
Oil Price Fluctuation

With the continuous increase of China’s foreign-trade dependence on crude oil and the accelerating integration of the international crude oil market and the Chinese finance market, the spillover effect of international oil price fluctuation on China’s stock markets increasingly attracts the attention of the public. In order to explore the impact of international oil price fluctuation on China’s stock markets and the time-varying spillover differences of industry sectors, this study proposes three research hypotheses and constructs a multi-time scale analysis framework based on wavelet analysis and a time-varying t-Copula model. In this paper, we use the Shanghai Composite Index as the representative of a general trend of the stock market, and we use the stock index of the China Securities Industry as the counterpart of industrial sectors. Based on the data from 5 January 2005 to 31 May 2020, this paper measures and analyzes the spillover effect of international oil price fluctuation on China’s stock markets, under different volatility periods. The results show that, firstly, the spillover effect of international oil price fluctuation on the Chinese stock markets is different. In the short and medium volatility period, the changes in international oil price are ahead of the changes in the Chinese stock markets, while the latter is ahead of the former under long-term fluctuations. Secondly, the spillover effect of international oil price fluctuation on China’s industry stock indexes is persistent. As the time scale increases, the tail dependency will increase. Finally, the impact of risk events aggravates the volatility of the stock markets in the short-term, while the mid- to long-term impact mainly affects the volatility trend. Investment risk control can make overall arrangement on the basis of the characteristics of oil price impact under different fluctuation stages.

Dynamic implications of GDP, interest rates, taxes, income, foreign direct investments, housing prices on property NPLs

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Kuen-Wei Tham ◽  
Rosli Said ◽  
Yasmin Mohd Adnan
Keyword(s):  
Interest Rates ◽  
Global Financial Crisis ◽  
Housing Prices ◽  
Economic Environment ◽  
Macroeconomic Factors ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Long Run ◽  
First Time

Purpose The study on how macroeconomic factors affect non-performing loans (NPLs) have not been focussed on property loans, which had been amongst the largest contributor of NPLs in many countries. At the same time, whilst there are many studies that focusses on NPLs during the recession and financial crises, not many studies focus on how macroeconomic factors affect property NPLs in a recovering economic environment. The purpose of this study seeks to fill the gap by analysing the relationships between gross domestic product (GDP), interest rates, income, foreign direct investments (FDI), housing prices and taxes on property NPLs with Malaysia as a case study in which NPLs rose for the first time after declining for almost a decade since the 2008–2009 global financial crisis. This study aims to understand the dynamics and direction of causation in relationships. Design/methodology/approach The author uses the auto regressive distribution lag analysis between the independent variables of GDP, interest rates, housing prices, service taxes, percapita income and FDI affecting the dependent variable of property NPLs from 2009 to 2017, during a unique period of recovering economic environment where NPLs rose for the first time in almost a decade of decline. Findings This study found that interest rates, housing prices, income, GDP and service taxes were found to possess long cause effects and long run elasticity with NPLs. At the same time, interest rates were found to implicate property NPLs significantly in longer periods, followed by GDP, housing prices, service taxes and income. FDIs were found to be insignificantly negative in implicating property NPLs in the long run. Research limitations/implications This paper allows policymakers to understand the dynamic implications of crucial macroeconomic factors in affecting NPLs so that appropriate strategic monetary policies could be formulated towards addressing them. More focus shall be given to addressing the long term implications of these factors on NPLs. Practical implications Appropriate strategic monetary policy making can be channelled towards addressing these factors via understanding the short and long term implications of macroeconomic variables on property NPLs. Policymakers can take note of the long cause effects and long run elasticity of average interest rates, housing prices, income levels, GDP and service taxes with property NPLs so that appropriate long term policies can be addressed to control the rise of property NPLs in the country. At the same time, priority should be given towards strengthening of the GDP of the country due to its strongest impact in long term effects with reduction of NPLs in the country. Social implications The insights from the present study suggest policymakers interested in bringing stability in the real estate finance system need to account for the various macroeconomic variables found in this study. Originality/value The paper is novel on at least two dimensions. First, this study involves focussing on a unique period of recovering economic environment where NPLs rose for the first time after a decade of decline since recovering from the 2008–2009 global financial crisis. At the same time, this study focusses on property NPLs, which is unique in nature compared to general NPLs. This study had enabled policymakers to better understand the dynamic implications of several macroeconomic variables affecting property NPLs and assist them in strategic monetary policy making.

Volatility spillover from crude oil and gold to BRICS equity markets

2018 ◽  
Vol 45 (2) ◽  
pp. 426-440 ◽  
Author(s):  
Vikas Pandey ◽  
Vipul Vipul
Keyword(s):  
Financial Crisis ◽  
Crude Oil ◽  
Stock Markets ◽  
Equity Markets ◽  
Multivariate Garch ◽  
Volatility Spillover ◽  
Conditional Correlation ◽  
Price Shocks ◽  
Content Type ◽  
Dynamic Relationship

Purpose The purpose of this paper is to investigate the volatility spillover from crude oil and gold to the BRICS stock markets, after removing the effect of co-movement of prices of crude oil and gold. Design/methodology/approach Three multivariate GARCH models (dynamic conditional correlation, constant conditional correlation, and Baba, Engle, Kraft and Kroner) are used to capture the dynamic relationship between the crude oil and gold returns. The innovations from gold and oil are orthogonalized, and the EGARCH model is employed for the spillover analysis. The influences of oil price shocks and gold price shocks are tested on the returns of each of the BRICS equity markets. Findings There is evidence of volatility spillover from both the crude oil and gold to the BRICS stock markets. A sub-sample analysis suggests that the volatility spillover from gold was not significant before the financial crisis of 2008, but became significant post-crisis. The volatility asymmetry, which was not significant before the crisis, also became significant after it. Originality/value This study examines the volatility spillover to the BRICS stock markets from crude oil and gold, after accounting for the co-movement in their prices. It can help equity investors to judge whether gold can provide incremental diversification benefit, if used in conjunction with crude oil. The study also provides insights into the changes caused by the 2008 financial crisis on this volatility spillover mechanism.

Gold Price, Crude Oil, Exchange Rate and Stock Markets

2016 ◽  
Vol 3 (2) ◽  
pp. 1-13
Author(s):  
Shailesh Rastogi
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Stock Markets ◽  
World Order ◽  
Crude Oil Prices ◽  
Internal Parameters ◽  
Exchange Rate Movements ◽  
Degree Of Association ◽  
Globalized World

In the globalized world of 21st century, the world order has become dynamic. But the parameters of success are same. A country having only internal success cannot sustain for long and similarly for external success. External success is largely dependent upon exchange rate movements and its management by central banks especially for emerging economies. Internal success is reflected in the stock markets of the nations. In this paper long-term association between external and internal parameters, have been explored. For external parameters, not only exchange rate but crude oil prices and gold prices have also been taken. For internal success, stock markets have been taken as a parameter. Johansen's Cointegration test, error-correction model and neural network have been deployed to find out the association among internal and external parameters of success for nations. The results have demonstrated the long-term association among the parameters but degree of association has been found to be weak.

scholarly journals Post Financial Crisis and Macroeconomic Fundamentals on Household Debt in Advanced Economies

2017 ◽  
Vol 2 (3) ◽  
pp. 36-41
Author(s):  
Siti Aminah Mainal ◽  
Catherine S F Ho ◽  
Jamaliah Mohd Yusof
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Panel Data Analysis ◽  
Control Variable ◽  
Housing Price ◽  
Household Debt ◽  
Macroeconomic Factors ◽  
Crisis Period ◽  
Advanced Economies ◽  
Macroeconomic Fundamentals

Objective - The unwarranted household debt initiated the global financial crisis which led to severe worldwide financial instability. Deleveraging process which has been taking place since the crisis has been slow and there is no quick fix to the debt issue. The lack of study on the effect of financial crisis on household debt justifies the objective to investigate macroeconomic fundamentals and financial crisis on household debt. Methodology/Technique - This study applies panel data analysis in ten advanced economies from 2001 to 2013. The random effect (RE) generalized least square estimator is used in the regression to examine macroeconomic factors and post financial crisis period as control variable on household debt. Findings - Findings confirm that post financial crisis period has significant negative effect on household debt which affirmed the deleveraging process in most advanced economies. Economic growth and household disposable income too have negative relation with household debt. Nonetheless, macroeconomic factors such as inflation, housing price and household consumption encourage household debt in advanced economies. Novelty - This study suggests that empirical evidence support that household avert from borrowing post financial crisis. Intensification of housing price and other consumption expenditure, if left unrestrained, may elicit another debt crisis. These are challenges faced by policy makers to curb household debt which entail risks for households, the financial system and the wider economy. Type of Paper: Empirical Keywords: Household Debt; Post Financial Crisis; Macroeconomic Factors. JEL Classification: G01, G02.

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