scholarly journals Sustainability of Global Economic Policy and Stock Market Returns in Indonesia

2021 ◽  
Vol 13 (10) ◽  
pp. 5422
Author(s):  
Shabir Mohsin Hashmi ◽  
Muhammad Akram Gilal ◽  
Wing-Keung Wong
Keyword(s):  
Economic Policy ◽  
Stock Market ◽  
Crude Oil ◽  
Oil Prices ◽  
Time Varying ◽  
Conditional Correlation ◽  
Developed Markets ◽  
Crude Oil Prices ◽  
Rolling Window ◽  
Crude Oil Production

Interdependence in trade and financial globalization has increased the vulnerability of developed and developing countries to external shocks alike, whereas emerging markets are more vulnerable to the shocks originating from the world’s leading economies. This paper investigates the impact of the uncertainty from the global economic policy on the return of the Indonesian stock market by using the time-varying correlation based on the rolling window method and time-varying built dynamic conditional correlation method. Both the rolling window and condition correlation estimates indicate that the correlation between global policy uncertainty and Indonesian stock returns is time-varying. The results of the autoregressive distributed lag-based regression indicate that inflation, global crude oil prices, gross domestic product, and world crude oil production have significant impacts on the dynamic conditional correlation. The average negative estimate of time-varying correlation suggests that investors when faced with liquidity constraints in one country may sell off their assets in another country to raise funds in order to meet their future financial needs. This also indicates that the rise in the uncertainty of economic policy in developed markets has a negative impact on the shocks faced by the Indonesian stock market. Based on our empirical findings, it is recommended that Indonesian policymakers should place more focus on the sustainability of the economic growth, pay close attention to volatile crude oil prices, world crude oil production, and inflation so as to avoid dynamic interaction between the uncertainty of economic policy in the developed markets and the return of the Indonesian stock market.

scholarly journals The Dynamic Relationship between Crude Oil Prices and Stock Market Price Volatility in Nigeria: A Cointegrated VAR-GARCH Model

2019 ◽  
pp. 1-12
Author(s):  
David Adugh Kuhe
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Market Price ◽  
Garch Model ◽  
Price Volatility ◽  
Oil Prices ◽  
Market Prices ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run

This study investigates the dynamic relationship between crude oil prices and stock market price volatility in Nigeria using cointegrated Vector Generalized Autoregressive conditional Heteroskedasticity (VAR-GARCH) model. The study utilizes monthly data on the study variables from January 2006 to April 2017 and employs Dickey-Fuller Generalized least squares unit root test, simple linear regression model, unrestricted vector autoregressive model, Granger causality test and standard GARCH model as methods of analysis. Results shows that the study variables are integrated of order one, no long-run stable relationship was found to exist between crude oil prices and stock market prices in Nigeria. Both crude oil prices and stock market prices were found to have positive and significant impact on each other indicating that an increase in crude oil prices will increase stock market prices and vice versa. Both crude oil prices and stock market prices were found to have predictive information on one another in the long-run. A one-way causality ran from crude oil prices to stock market prices suggesting that crude oil prices determine stock prices and are a driven force in Nigerian stock market. Results of GARCH (1,1) models show high persistence of shocks in the conditional variance of both returns. The conditional volatility of stock market price log return was found to be stable and predictable while that of crude oil price log return was found to be unstable and unpredictable, although a dependable and dynamic relationship between crude oil prices and stock market prices was found to exist. The study provides some policy recommendations.

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 An Empirical Analysis of Financial Sector Development and Savings Mobilization in Nigeria: ECM Analysis

2019 ◽  
pp. 1-11
Author(s):  
Ikubor Ofili Jude
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Oil Prices ◽  
Financial Sector ◽  
The Other ◽  
Domestic Saving ◽  
Financial Sector Development ◽  
Crude Oil Prices ◽  
Domestic Savings ◽  
Short Run

This study employs Error Correction Model (ECM) and Co-integration analysis to study the relationship between financial sector development and savings mobilization in Nigeria 1986 to 2017. As expected from a developing country like Nigeria, a short-run positive relationship is observed between the Nigerian stock market and crude oil prices and the direction is from crude oil prices to the Nigerian stock market but not the other way round. The short run, interest rate earning has a positive and significant impact on domestic savings while the other variables have no significant impact domestic savings in Nigeria. Government should therefore consolidate on past financial sector reforms to improve domestic saving mobilization to reduce the dependence of Nigeria on foreign savings to finance domestic investment.

scholarly journals Volatility in Crude Oil Prices and its Impact on Indian Stock Market Evidence from BSE Sensex#

2018 ◽  
Vol 9 (1) ◽  
pp. 1-23
Author(s):  
S. Sathyanarayana ◽  
S.N. Harish ◽  
Sudhindra Gargesha ◽  
◽  
◽  
...  
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Oil Prices ◽  
Crude Oil Prices ◽  
Indian Stock Market

scholarly journals Time-varying relationship between Ukrainian corn and world crude oil prices

2020 ◽  
Vol 184 (7-8) ◽  
pp. 49-57
Author(s):  
Mariusz Hamulczuk ◽  
◽  
Oksana Makarchuk ◽  
Keyword(s):  
Crude Oil ◽  
Corn Oil ◽  
Oil Prices ◽  
Developed Countries ◽  
Correlation Technique ◽  
Time Varying ◽  
Policy Reforms ◽  
Crude Oil Prices ◽  
The World ◽  
Corn Prices

Corn belongs to the most important feed and industrial grains in the world being utilized for bioethanol production. Ukraine does not produce biofuels and does not pursue an active renewable energy policy. However, due to significant share of exports, corn prices in Ukraine can be shaped under the influence of biofuel policies pursued by developed countries, as well as under the influence of world energy markets. Therefore, the aim of the paper is to investigate the mechanisms linking Ukrainian export corn prices with Brent oil prices, as well as to quantitatively assess the nature of this relationship. We were especially interested in possible time-varying relationship between the prices. The price analysis was carried out on the basis of monthly data for the period 2001-2020 with the use of rolling correlation technique and rolling causality tests. The results of this research indicate on time-varying co-movements of Ukrainian corn and Brent crude oil prices. The strongest positive correlations and significant bidirectional causality were observed in 2007-2011. However, in most of sub-periods there were no significant relationships between these prices. Among factors strengthening the price linkages are the low corn-oil price ratios, dynamic increase of corn utilized for ethanol production and depletion of the world corn stocks. The conducted analysis confirmed that changes in biofuel demand in other countries can affect Ukrainian corn market due to horizontal integration of grain markets worldwide. Biofuel policy reforms in the EU aiming at decreasing mandatory blending of conventional biofuels in favor of advanced biofuels can lead to decrease in demand for corn in Ukraine after 2021, leading, in turn, to further weakening of linkage between corn and crude oil prices.

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