scholarly journals Impact of Crude Oil Price Volatility on Southeast Asian Stock Returns

2019 ◽  
Vol 11 (4) ◽  
pp. 40
Author(s):  
Thanh Nam Vu
Keyword(s):  
Crude Oil ◽  
Stock Returns ◽  
Stock Markets ◽  
Negative Impact ◽  
Price Volatility ◽  
Southeast Asian ◽  
Oil Price ◽  
Oil Price Volatility ◽  
Volatility Index ◽  
International Portfolio Diversification

The study investigates the connection between international oil indices and Southeast Asian stock markets. The outcomes of both employed models, namely EGARCH and GARCH-jump, confirm the significant oil-stock linkage in Southeast Asian region. While the oil price fluctuations have positive effect on stock returns, the impacts of the implied crude oil volatility index (OVX) are negative, implying that the increase in level of future oil prices uncertainty leads to downward movement on stock markets. Additionally, the study further reports the existence of GARCH effects in Southeast Asian stock markets. The results from EGARCH models illustrate that the previously negative shocks seem to have greater effects on the current volatility of stock returns in analyzed countries than the positive shocks. Furthermore, the jump effects are found in most markets, as evidenced by the estimates for GARCH-jump models. Generally, the volatility driven by abnormal information positively affects the volatility of return while the jump behavior has negative impact on return in Southeast Asian markets. Providing greater understandings about new markets in Southeast Asian area, the research could be utilized in improving investment decisions and gaining the advantages of international portfolio diversification.

Modeling and forecasting oil price risk: the role of implied volatility index

2017 ◽  
Vol 44 (6) ◽  
pp. 1003-1016 ◽  
Author(s):  
Anupam Dutta
Keyword(s):  
Crude Oil ◽  
Information Content ◽  
Price Volatility ◽  
Oil Price ◽  
Base Line ◽  
Content Type ◽  
Oil Market ◽  
Oil Price Volatility ◽  
Volatility Index ◽  
The Us

Purpose While numerous empirical studies have tried to model and forecast the oil price volatility over the years, such attempts using the crude oil volatility index (OVX) rarely exist. In order to conceal this void, the purpose of this paper is to investigate whether including OVX in the realized volatility (RV) models improve the accuracy of predictions. Design/methodology/approach At the empirical stage, the authors employ several measures to frame the RV of crude oil futures returns. In particular, the authors use three different range-based RV estimators recommended by Parkinson (1980), Rogers and Satchell (1991) and Alizadeh et al. (2002), respectively. Findings The findings reveal that the information content of crude OVX helps to provide more accurate volatility predictions in comparison to the base-line RV model which contains only historical oil volatilities. Besides, the forecast encompassing test further suggests that the modified RV model (when OVX is introduced in the base-line RV model) forecast encompasses the conventional RV forecast in majority of the cases. Practical implications Since forecasting oil price volatility plays a vital role in portfolio optimization, derivatives pricing, optimum asset allocation decisions and risk management, the findings of this study thus carry important implications for energy economists, investors and policymakers. Originality/value This paper adds to the existing literature, since it is one of the initial studies to explore whether OVX is informative about the realized variance of the US oil market returns. The findings recommend that the information content of oil implied volatilities should be taken into account when modeling the US oil market volatility. In addition, range-based measures should be utilized while estimating the RV.

scholarly journals OIL PRICE VOLATILITY AND INFRASTRUCTURAL GROWTH: EVIDENCE FROM AN OIL- DEPENDENT ECONOMY

2019 ◽  
Vol 4 (1) ◽  
pp. 17-28
Author(s):  
Sunday Osahon Igbinedion
Keyword(s):  
Crude Oil ◽  
Inflation Rate ◽  
Negative Impact ◽  
Price Volatility ◽  
Oil Price ◽  
Oil Refining ◽  
Domestic Economy ◽  
External Shocks ◽  
Oil Price Volatility ◽  
Error Correction Modeling

Since the discovery of crude oil in Nigeria in 1957, the Nigerian economy has remained a mono-product economy largely impacted by the effects of oil price volatility with its attendant adverse consequences on the nation’s revenue profile and infrastructural growth. Accordingly, this paper attempts to investigate the nexus between oil price volatility and infrastructural growth in Nigeria, utilizing cointegration and error correction modeling approach for the period 1981-2015. The data for this study were sourced from the Central Bank of Nigeria Statistical Bulletin, 2014 and 2016 editions. The results suggest that both oil price volatility and inflation rate tend to exert negative impact on infrastructural growth, while the appreciation of real exchange rate tend to trigger investment in infrastructure. Accordingly, we recommend, among others, the need to design and implement effective diversification policies with a view to raising the nation’s revenue trajectory, while strengthening local crude oil refining capacity so as to minimize the adverse consequences of such external shocks on the domestic economy.

Crude Oil Price and Food Security Related Variables in Malaysia

2016 ◽  
Vol 4 (2) ◽  
pp. 17-21
Author(s):  
Shri Dewi Applanaidu ◽  
Mukhriz Izraf Azman Aziz
Keyword(s):  
Food Security ◽  
Crude Oil ◽  
Price Index ◽  
Price Volatility ◽  
Food Price ◽  
Oil Price ◽  
Crude Oil Price ◽  
Price Changes ◽  
Oil Price Volatility ◽  
Crude Oil Prices

Objective - This study analyzes the dynamic relationship between crude oil price and food security related variables (crude palm oil price, exchange rate, food import, food price index, food production index, income per capita and government development expenditure) in Malaysia using a Vector Auto Regressive (VAR) model. Methodology/Technique - The data covered the period of 1980-2014. Impulse response functions (IRFs) was applied to examine what will be the results of crude oil price changes to the variables in the model. To explore the impact of variation in crude oil prices on the selected food security related variables forecast error variance decomposition (VDC) was employed. Findings - Findings from IRFs suggest there are positive effects of oil price changes on food import and food price index. The VDC analyses suggest that crude oil price changes have relatively largest impact on real crude palm oil price, food import and food price index. This study would suggest to revisiting the formulation of food price policy by including appropriate weight of crude oil price volatility. In terms of crude oil palm price determination, the volatility of crude oil prices should be taken into account. Overdependence on food imports also needs to be reduced. Novelty - As the largest response of crude oil price volatility on related food security variables food vouchers can be implemented. Food vouchers have advantages compared to direct cash transfers since it can be targeted and can be restricted to certain types of products and group of people. Hence, it can act as a better aid compared cash transfers. Type of Paper - Empirical Keywords: Crude oil price, Food security related variables, IRF, VAR, VDC

The impact of oil price volatility on net-oil exporter and importer countries’ stock markets

2017 ◽  
Vol 7 (2) ◽  
pp. 231-253 ◽  
Author(s):  
Berna Aydoğan ◽  
Gökçe Tunç ◽  
Tezer Yelkenci
Keyword(s):  
Stock Markets ◽  
Price Volatility ◽  
Oil Price ◽  
Oil Price Volatility ◽  
The Impact
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