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Zeitschriftenartikel zum Thema „Oil stock“

Autor: Grafiati

Veröffentlicht am 1. Juli 2021

Zuletzt aktualisiert am 5. Februar 2022

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1

Yelamanchili, Rama Krishna. "Short-term Economic Indicators, Stock Market Indexes and Indian Oil and Gas Stocks Returns." Indian Journal of Finance and Banking 4, no. 1 (2020): 1–13. http://dx.doi.org/10.46281/ijfb.v4i1.454.

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In this paper we examine the causal relationship between short term economic indicators, stock market indexes and oil and gas stocks returns. We postulate that economic indicators positively and significantly cause and predict stock market indexes and oil and gas stock returns in short run. In addition, we posit that stock market indexes cause and predict oil and gas stock returns in short run. To test our hypotheses we chose four short-term economic indicators, two stock market indexes, and 10 oil and gas companies. Our results indicate that there is no causal relationship between both short-

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Sedighi, Mohammadi, Fard, and Sedighi. "The Nexus between Stock Returns of Oil Companies and Oil Price Fluctuations after Heavy Oil Upgrading: Toward Theoretical Progress." Economies 7, no. 3 (2019): 71. http://dx.doi.org/10.3390/economies7030071.

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This study attempts to discover the nexus between crude oil price fluctuation after heavy oil upgrading and stock returns of petroleum companies in the U.S. Stock Exchange for the years 2008 to 2018. One of the methods of upgrading heavy crude oil is to extract asphaltene from crude oil. Considering the Asphaltene Removal (AR) as a factor in the nexus between oil price and the stock market is an innovation in the literature of energy finance. Asphaltenes cause many problems in the petroleum industry, which increases the cost of oil production and reduces the financial efficiency of oil compani

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Khurshid, Muzammil, and Berna Kirkulak-Uludag. "Shock and volatility spillovers between oil and emerging seven stock markets." International Journal of Energy Sector Management 15, no. 5 (2021): 933–48. http://dx.doi.org/10.1108/ijesm-02-2020-0014.

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Purpose This study aims to examine the volatility spillover effects between oil and stock returns in the emerging seven economies. Design/methodology/approach In this study, the Granger causality test and vector autoregression-generalized autoregressive conditional heteroskedasticity approach to analyze the volatility spillover from 1995 to 2019 were used. The findings provide evidence of significant volatility spillover between oil and Brazil, China, India, Indonesia, Mexico, Russia and Turkey (E7) stock markets. Findings All emerging seven stock markets exhibit positive and low constant cond

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Atiq, Zeeshan, and Muhammad Farhan. "IMPACT OF OIL PRICES ON STOCK RETURNS: EVIDENCE FROM PAKISTAN’S STOCK MARKET." Journal of Social Sciences and Humanities 57, no. 2 (2018): 47–63. http://dx.doi.org/10.46568/jssh.v57i2.31.

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Very few studies have investigated the movement in stock returns that result due to changes in oil prices. In recent years due to cooling down of China, unveiled oil reserves of Iran, decreasing demand worldwide and discovery of shale gases the world has experienced a large fall in the oil prices. These changes are also affecting performance of manufacturing and other associated companies in countries all over the world. Pakistan has also been affected by these changes in many ways. Especially, the returns on stock markets have been affected a lot by the variations in the oil prices. This pape

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Tusiime, Ivan Mugarura, and Man Wang. "Are Islamic stocks subject to oil price risk exposure?" Journal of Risk Finance 21, no. 2 (2020): 181–200. http://dx.doi.org/10.1108/jrf-05-2019-0076.

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Purpose The purpose of this paper is to examine whether oil price risk is a significant determinant of stock returns. Design/methodology/approach Using monthly data on a sample of Islamic stocks listed on the New York Stock Exchanges and National Association of Securities Dealers Automated Quotations System (NASDAQ) over the period from January 1990 to December 2017, the study examines whether oil price risk is a significant determinant of stock returns using Fama–French–Carhart’s four-factor asset pricing model amplified with Brent oil price factor. Findings The results from the cross-section

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Hoque, Mohammad Enamul, Soo-Wah Low, and Mohd Azlan Shah Zaidi. "The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?" Energies 13, no. 15 (2020): 3901. http://dx.doi.org/10.3390/en13153901.

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This study explores Malaysian oil and gas stocks’ exposure to oil and gas risk factors, paying special attention to subindustry classification, stock size, book-to-market value, and volatility state. The study employs firm-level weekly frequency data of oil and gas firms and several multi-asset pricing models within a GARCH (1,1)-X and Markov-switching framework. The empirical findings reveal that oil price, gas price, and exchange rate exhibit positive effects on the stock returns of all oil and gas sub-industries, but they exhibit negative effects on gas utilities sub-industry stock returns.

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Salisu, Afees Adebare, Raymond Swaray, and Tirimisiyu Oloko. "US stocks in the presence of oil price risk: Large cap vs. Small cap." Economics and Business Letters 6, no. 4 (2018): 116. http://dx.doi.org/10.17811/ebl.6.4.2017.116-124.

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This study queries the act of making generalization about the dynamics of returns and volatility spillovers between oil price and U.S. stocks by merely considering only large cap stocks. It argues that this kind of generalization may be misleading, as the reactions of large cap, mid cap and small cap stocks to change in oil prices are not expected to be uniform. Our findings show that it is correct to make generalization about oil-U.S. stock relationship with large cap stocks when analysing returns spillovers, but the generalization is incorrect when considering stock caps returns volatility s

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Youssef, Manel, and Khaled Mokni. "Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?" Economies 7, no. 3 (2019): 70. http://dx.doi.org/10.3390/economies7030070.

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The impact that oil market shocks have on stock markets of oil-related economies has several implications for both domestic and foreign investors. Thus, we investigate the role of the oil market in deriving the dynamic linkage between stock markets of oil-exporting and oil-importing countries. We employed a DCC-FIGARCH model to assess the dynamic relationship between these markets over the period between 2000 and 2018. Our findings report the following regularities: First, the oil-stock markets’ relationship and that between oil-importing and oil-exporting countries’ stock markets themselves i

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Priambodo, Oktanindita, Hariyadi, Suwarto, and I. Putu Santikayasa. "Influence of Land Use and Rainfall on Carbon Stock Dynamics for Oil Palm and Rubber." Agromet 34, no. 2 (2020): 121–28. http://dx.doi.org/10.29244/j.agromet.34.2.121-128.

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The expansion of agricultural commodities including oil palm plantations potentially causes an increase of greenhouse gas emissions by amplifying carbon dioxide (CO2) in the atmosphere. In the long term, this amplification will alter climate change. However, oil palm also has the potency to reduce greenhouse gas emissions by absorbing CO2 through photosynthesis. This study aims to determine the carbon stock that can be absorbed by oil palm and rubber plants, and to determine the relationship of rainfall with carbon stock in oil palm plants. The study used satellite image data based on Landsat

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Puspitasari, Ardina, Hermanto Siregar, and Trias Andati. "ANALISIS INTEGRASI BURSA SAHAM ASEAN 5." JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN 4, no. 2 (2018): 187–206. http://dx.doi.org/10.29244/jekp.4.2.187-206.

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This study aimed to analyze the integration of the stock markets of ASEAN 5 (Indonesia, Malaysia, Singapore, Thailand, and the Philippines) associated with the event of dropped world oil prices in 2014. This study using Vector Error Correction Model (VECM) to analyze market integration 5 stocks with variable stock market. In this study uses a dummy variable of oil price with the value of 0 for the period 2009 to 2013 where world oil prices are still stable and the value of 1 for the period 2014 to 2015 where a decline in world oil prices. Results from this study shows that there is a relations

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Puspitasari, Ardina, Hermanto Siregar, and Trias Andati. "ANALISIS INTEGRASI BURSA SAHAM ASEAN 5." JURNAL EKONOMI DAN KEBIJAKAN PEMBANGUNAN 4, no. 2 (2018): 187–206. http://dx.doi.org/10.29244/jekp.4.2.2015.187-206.

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This study aimed to analyze the integration of the stock markets of ASEAN 5 (Indonesia, Malaysia, Singapore, Thailand, and the Philippines) associated with the event of dropped world oil prices in 2014. This study using Vector Error Correction Model (VECM) to analyze market integration 5 stocks with variable stock market. In this study uses a dummy variable of oil price with the value of 0 for the period 2009 to 2013 where world oil prices are still stable and the value of 1 for the period 2014 to 2015 where a decline in world oil prices. Results from this study shows that there is a relations

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Farhan, Muhammad, and Syed Shahid Zaheer Zaidi. "Oil Price Shocks and Stock Market Performance: A comparison between Oil Exporting and Oil Importing Nations." South Asian Journal of Management Sciences 15, no. 2 (2021): 118–34. http://dx.doi.org/10.21621/sajms.2021152.01.

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The paper explores the impact of shocks in oil prices on the stock market for the oil importing and exporting nations. As Pakistan is heavily dependent on imports of oil therefore, we focus on Pakistan as an oil importing nation and have taken Iran, as an oil exporting nation because, it is considered to be among top ten nations of the world that exports oil. Various studies in Pakistan have investigates the relationship between shocks in prices of oil and return on the stock but none of the study has examined the association between shocks in oil prices and return on the stock market by compa

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13

Safitri, Yunita Dewi, and Robiyanto Robiyanto. "KORELASI DINAMIS ANTARA PERGERAKAN HARGA MINYAK DUNIA DAN INDEKS HARGA SAHAM SEKTORAL DI BURSA EFEK INDONESIA." Jurnal Ekonomi Bisnis dan Kewirausahaan 9, no. 3 (2020): 188. http://dx.doi.org/10.26418/jebik.v9i3.42949.

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Changes in the situation that move very quickly on the commodity market have an impact on financial markets, one of which is the stock market in Indonesia. Therefore this study aims to examine the dynamic correlation between the movement of world oil prices and the Sectoral Stock Price Index listed on the Indonesia Stock Exchange (IDX). The data used is obtained from secondary data in the form of daily closing price data for world oil prices and Sectoral Stock Price Index from January 2017 to June 2020. The analysis technique used is Dynamic Conditional Correlation-Generalized Autoregressive C

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14

JONES, CHARLES M., and GAUTAM KAUL. "Oil and the Stock Markets." Journal of Finance 51, no. 2 (1996): 463–91. http://dx.doi.org/10.1111/j.1540-6261.1996.tb02691.x.

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15

Van Hecke, T. "Optimal planning of oil stock." Journal of Statistics and Management Systems 14, no. 2 (2011): 289–94. http://dx.doi.org/10.1080/09720510.2011.10701557.

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16

Guesmi, Khaled, Heni Boubaker, and Van Son Lai. "From Oil to Stock Markets." Journal of Economic Integration 31, no. 1 (2016): 103–33. http://dx.doi.org/10.11130/jei.2016.31.1.103.

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17

Chen, Chun-Da, Chiao-Ming Cheng, and Rıza Demirer. "Oil and stock market momentum." Energy Economics 68 (October 2017): 151–59. http://dx.doi.org/10.1016/j.eneco.2017.09.025.

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18

Hoque, Mohammad Enamul, and Soo-Wah Low. "Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework." Mathematics 8, no. 10 (2020): 1732. http://dx.doi.org/10.3390/math8101732.

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This study employs a mean semi-variance asset pricing framework to examine the influence of risk factors on stock returns of oil and gas companies. This study also examines how downside risk is priced in stock performance. The time-series estimations expose that market, size, momentum, oil, gas, and exchange rate have significant impacts on oil and gas stock returns, but effects are heterogeneous depending on an individual stock. The two-stage cross-section estimations provide new insights about investors’ risk-return trade-off when facing downside risks. The results show that downside risk ex

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Ghosh, T. P. "Oil Dependency of GCC Stock Markets: Co-integration of GCC Stock Market Indices and Oil Price." International Journal of Business and Management 12, no. 1 (2016): 188. http://dx.doi.org/10.5539/ijbm.v12n1p188.

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Oil dependent economies of GCC countries had passed through various cycles of boom and trough of oil price. In the aftermath of the economic recession of 2008 and oil price, the GCC countries have been pursuing plans for diversifying to non-oil revenues. The oil of 2014-16 raised the issue of stock market cointegration to oil price movement in the background of non-oil diversification.This research study analyzes long term cointegration of oil price and GCC stock indices, and also cointegration among the GCC stock indices per se in an attempt to investigate if there is any early sign of disint

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BenMabrouk, Houda. "Cross-herding behavior between the stock market and the crude oil market during financial distress." Managerial Finance 44, no. 4 (2018): 439–58. http://dx.doi.org/10.1108/mf-09-2017-0363.

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Purpose The purpose of this paper is to investigate herding behavior around the crude oil market and the stock market and the possible cross-herding behavior between the two markets. The analysis examines also the herding behavior during financial turmoil and includes the investor sentiment and market volatility. Design/methodology/approach The authors use a modified version of the cross-sectional standard deviation and the cross-sectional absolute deviation to include investor sentiment, financial crisis and market volatility. Findings The authors find that the volatility of the stock market

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Asif, Muhammad, Sharif Ullah Jan, and Shahid Iqbal. "OIL PRICES MOVEMENTS AND INDUSTRY STOCK RETURNS: EVIDENCE FROM PAKISTAN STOCK EXCHANGE (PSX)." March 2021 37, no. 01 (2021): 84–96. http://dx.doi.org/10.51380/gujr-37-01-08.

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The recent financial and economic recessions have chiefly increased the importance of risk management and forecasting for business firms. Capital markets being the main pillar of economy are affected the most in such circumstances. The current study has attempted to investigate the impact of oil prices on the returns and volatility of Pakistani listed firms using the GARCH (1,1) model. Furthermore, this relationship has been investigated by categorizing the existing sectors of the Pakistan Stock Exchange (PSX) into oil producers, oil users, and oil substitutes for the period from January 2015

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Chandra, Kristian. "THE EFFECT OF INFLATION LEVELS AND OIL PRICES ON STOCK RETURN FOOD AND BEVERAGE." Business and Entrepreneurial Review 17, no. 2 (2019): 135. http://dx.doi.org/10.25105/ber.v17i1.5192.

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<p>This study aims to synthesize to see the consequences of inflation and oil prices on stock returns. The shares observed in this study are stocks that are included in the food and beverage section listed on the Indonesia Stock Exchange (IDX) during the year 2010-2015. To determine the sample sorted in this study is to use Purposive Sampling techniques to obtain samples that match the parameters that have been used as a benchmark. The number of food and beverage industry samples that meet the criteria are 13 listed on the Indonesia Stock Exchange in 2010-2015. Regression analysis using

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Oskooe, Seyyed Ali Paytakhti. "Oil price shocks and stock market in oil-exporting countries: evidence from Iran stock market." OPEC Energy Review 36, no. 4 (2012): 396–412. http://dx.doi.org/10.1111/j.1753-0237.2012.00217.x.

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24

Wu, Maoguo, and Daimin Lu. "Volatility Spillover Effect of International Crude Oil Futures and China-Russia Stock Market: A Multivariate BEKK-GARCH Model Based on Wavelet Multiresolution Analysis." Asian Journal of Finance & Accounting 11, no. 1 (2019): 183. http://dx.doi.org/10.5296/ajfa.v11i1.14348.

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The increasingly prominent strategic position of crude oil determines its high impact on macro-economy. The value of crude oil is reflected in the price of crude oil futures. Stock market is the barometer of macro economy. To what extent does international crude oil futures price affect stock market? China and Russia are the biggest importer and exporter of crude oil, respectively. Crude oil is of strategic value to both countries. This study empirically investigates the volatility spillover effect of international crude oil futures and China-Russia stock market from April 24th, 2015 to April

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Alqahtani, Abdullah, Amine Lahiani, and Ali Salem. "Crude oil and GCC stock markets." International Journal of Energy Sector Management 14, no. 4 (2020): 745–56. http://dx.doi.org/10.1108/ijesm-06-2019-0013.

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Purpose This paper aims to investigate the transmission of international oil prices to the stock market indices of the Gulf Cooperation Council (GCC) countries over the weekly period from April 07, 2004, to August 15, 2018. Design/methodology/approach The authors use the augmented Dickey–Fuller (ADF) unit root test to check the order of integration of data series. Afterward, the authors use the ordinary least square method to determine the spillover of international oil prices to the stock markets of GCC countries while accounting for the time-varying volatility of oil and stock market returns

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Teulon, Frederic, and Khaled Guesmi. "Dynamic Spillover Between The Oil And Stock Markets Of Emerging Oil-Exporting Countries." Journal of Applied Business Research (JABR) 30, no. 1 (2013): 51. http://dx.doi.org/10.19030/jabr.v30i1.8280.

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<p>The paper investigates the time-varying correlations between stock market returns and oil prices in oil-exporting countries. A multivariate GARCH-DCC process is employed to evaluate this relationship based on data from Venezuela, the United Arab Emirates, Saudi Arabia and Kuwait. The results show that there are time-varying correlations between the oil and stock markets in emerging, oil-producing countries, indicating that they are affected by conditions in world markets. In addition, the relationship between oil prices and stock returns is found to be influenced by the origin of shoc

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Wan, Jok-Tong, Evan Lau, and Rayenda Khresna Brahmana. "CONTAGIOUS EFFECTS OF OIL PRICES ON ASIAN STOCK MARKETS’ BEHAVIOUR." Journal of Indonesian Economy and Business 31, no. 1 (2016): 141. http://dx.doi.org/10.22146/jieb.15275.

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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 o

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Güntner, Jochen H. F. "HOW DO INTERNATIONAL STOCK MARKETS RESPOND TO OIL DEMAND AND SUPPLY SHOCKS?" Macroeconomic Dynamics 18, no. 8 (2013): 1657–82. http://dx.doi.org/10.1017/s1365100513000084.

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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

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Viroja, Dharmendra H., and Ruhi D. Viroja. "Study of Dynamic Linkage between Stock-Market and Crude Oil." International Journal of Trend in Scientific Research and Development Volume-1, Issue-1 (2016): 51–55. http://dx.doi.org/10.31142/ijtsrd102.

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Yusmia, Liza, and Abitur Asianto. "DETERMINANT ANALYSIS OF FINANCIAL SECTOR STOCK IN INDONESIA STOCKS EXCHANGE." Dinasti International Journal of Economics, Finance & Accounting 1, no. 5 (2020): 850–64. http://dx.doi.org/10.38035/dijefa.v1i5.621.

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These research had purposed to examine related to macroeconomic variables on financial sector stock index in Indonesia Stock Exchange. This research used Vector Error Correction Model (VECM) method with monthly data from financial sector stock index as the dependent variable and the GDP quarterly data, as well as monthly data on inflation, BI interest rates, exchange rates, the Fed interest rate, gold prices, oil prices,and also the S&P 500 index as independent variable with data range from January 2014 to August 2019. These results that obtained from this research were the shocks in BI in

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Samsuar, Alfan, and Pardomuan Sihombing. "DETERMINANT ANALYSIS IN PROPERTY STOCKS INDEX AT INDONESIA STOCK EXCHANGE." Dinasti International Journal of Management Science 2, no. 2 (2020): 255–67. http://dx.doi.org/10.31933/dijms.v2i2.453.

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This research aims to determine those influence of inflation, interest rates, exchange rates, world oil prices and world gold prices against the property sector stock index which registered In Indonesia Stock Exchange. These population of research were all activities from monthly movement of property sector stock index, inflation, exchange rates, BI interest rates, world oil prices and world gold prices. The sample chosen method by purposive sampling where the researcher gathered its data based on proficiency strategies or personal considerations, selecting data based on these following criter

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Çevik, Emrah, Erdal Atukeren, and Turhan Korkmaz. "Oil Prices and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis." Energies 11, no. 10 (2018): 2848. http://dx.doi.org/10.3390/en11102848.

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This study examines the Granger-causal relationships between oil price movements and global stock returns by using time-varying Granger-causality tests in mean and in variance. We use the daily returns from Morgan Stanley Capital International (MSCI) G7 and the MSCI Emerging Stock Market Indexes to distinguish between the effects of daily oil price movements on G7 countries’ and emerging market countries’ stock markets. We further divide the emerging markets into two groups as oil-exporting and oil-importing countries. For the oil market, we use both the West Texas Intermediate (WTI) and Brent

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Ghorbel, Achraf, Mouna Abbes Boujelbene, and Younes Boujelbene. "Behavioral explanation of contagion between oil and stock markets." International Journal of Energy Sector Management 8, no. 1 (2014): 121–44. http://dx.doi.org/10.1108/ijesm-09-2012-0007.

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Purpose – This paper aims to investigate empirical evidence of behavioral contagion between oil market, US market and stock markets of oil-importing and oil-exporting countries, during the oil shock and US financial crisis period of 2008-2009, after controlling for fundamentals-driven co-movements. Design/methodology/approach – To examine the volatility spillover among oil market and stock markets, the conditional variance of the trivariate BEKK-GARCH model includes three variables: oil returns, US index returns, and the respective individual market returns of 22 oil-importing and exporting co

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Suroso, Arif Imam, Hansen Tandra, Yusman Syaukat, and Mukhamad Najib. "The issue in Indonesian palm oil stock decision making: Sustainable and risk criteria." Decision Science Letters 10, no. 3 (2021): 241–46. http://dx.doi.org/10.5267/j.dsl.2021.4.001.

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The palm oil industry has a strategic role in economic development in Indonesia, especially in alleviating poverty and creating other businesses that can support the industry. Operational activities in the palm oil industry are closely related to environmental issues (deforestation, land-use change, and air pollution) and social conflict. The certification program is an effort for the palm oil industry to implement sustainable development. The certified palm oil industry will increase industrial profitability in the long run to increase investor interest in the future. The decision to choose p

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Bachmeier, Lance J., and Soheil R. Nadimi. "Oil shocks and stock return volatility." Quarterly Review of Economics and Finance 68 (May 2018): 1–9. http://dx.doi.org/10.1016/j.qref.2018.01.001.

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Chen, An-Sing, and Che-Ming Yang. "Oil price thresholds and stock returns." Investment Analysts Journal 48, no. 2 (2019): 125–45. http://dx.doi.org/10.1080/10293523.2019.1638078.

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Ready, Robert C. "Oil Prices and the Stock Market*." Review of Finance 22, no. 1 (2017): 155–76. http://dx.doi.org/10.1093/rof/rfw071.

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Cheema, Muhammad A., and Frank Scrimgeour. "Oil prices and stock market anomalies." Energy Economics 83 (September 2019): 578–87. http://dx.doi.org/10.1016/j.eneco.2019.08.003.

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Mezghani, Taicir, and Mouna Boujelbène. "The contagion effect between the oil market, and the Islamic and conventional stock markets of the GCC country." International Journal of Islamic and Middle Eastern Finance and Management 11, no. 2 (2018): 157–81. http://dx.doi.org/10.1108/imefm-08-2017-0227.

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PurposeThis study aims to investigate the transmission of shock between the oil market and the Islamic and conventional stock markets of the Gulf Cooperation Council (GCC) countries during the oil shocks of 2008 and 2014.Design/methodology/approachThis study uses two models. First, the dynamic conditional correlation–generalized autoregressive conditionally heteroskedastic model has been used to capture the fundamental contagion effects between the oil market and the Islamic and conventional stock markets during the tranquil and turmoil-crisis periods of 2008-2014. Second, the filter of Kalman

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Hamma, Wajdi, Bassem Salhi, Ahmed Ghorbel, and Anis Jarboui. "Conditional dependence structure between oil prices and international stock markets." International Journal of Energy Sector Management 14, no. 2 (2019): 439–67. http://dx.doi.org/10.1108/ijesm-04-2019-0010.

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Purpose The purpose of this paper is to analyze the optimal hedging strategy of the oil-stock dependence structure. Design/methodology/approach The methodology consists to model the data over the daily period spanning from January 02, 2002 to May 19, 2016 by a various copula functions to better modeling the dependence between crude oil market and stock markets, and to use dependence coefficients and conditional variance to calculate optimal portfolio weights and optimal hedge ratios, and to suggest the best hedging strategy for oil-stock portfolio. Findings The findings show that the Gumbel co

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Osei, Prince Mensah, and Anokye M. Adam. "Quantifying the Information Flow between Ghana Stock Market Index and Its Constituents Using Transfer Entropy." Mathematical Problems in Engineering 2020 (August 28, 2020): 1–10. http://dx.doi.org/10.1155/2020/6183421.

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We quantify the strength and the directionality of information transfer between the Ghana stock market index and its component stocks as well as observe the same among the individual stocks on the market using transfer entropy. The information flow between the market index and its components and among individual stocks is measured by the effective transfer entropy of the daily logarithm returns generated from the daily market index and stock prices of 32 stocks ranging from 2nd January 2009 to 16th February 2018. We find a bidirectional and unidirectional flow of information between the GSE in

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Darmawan, Indra, Hermanto Siregar, Dedi Budiman Hakim, and Adler Haymans Manurung. "The Effect of Crude Oil Price Shocks on Indonesia Stock Market Performance." Jurnal Organisasi dan Manajemen 16, no. 1 (2020): 11–23. http://dx.doi.org/10.33830/jom.v16i1.785.2020.

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The main purpose of this study is to observe the effects of the crude oil price shocks on Indonesia stock market performance to complete the literature on Indonesia stock market behavior. We examined the effects of the crude oil price shocks on Indonesia stock market performance through the cointegration relationship mechanism between IHSG and the crude oil price and between IHSG and the global stock market indices. The Brent crude oil price data taken from FRED economic data, the Federal Reserve Bank of St.Lois, and the stock market indices data taken from yahoo.finance.com. By using a vector

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MALIK, MUHAMMAD IRFAN, and ABDUL RASHID. "RETURN AND VOLATILITY SPILLOVER BETWEEN SECTORAL STOCK AND OIL PRICE: EVIDENCE FROM PAKISTAN STOCK EXCHANGE." Annals of Financial Economics 12, no. 02 (2017): 1750007. http://dx.doi.org/10.1142/s2010495217500075.

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This paper aims to investigate the return and volatility spillover between world oil prices and the sectoral stock of Pakistan. We estimate a bivariate VAR(1)-AGARCH (1,1) model using weekly data sampled from January 1, 2001 to December 31, 2015. The model results are used to estimate the optimal portfolio weights and hedge ratios. The empirical findings suggest no short-run price transmission between world oil prices and stock sectors of Pakistan Stock Exchange. Only the past unexpected shocks in world oil prices has significant effect on the volatility of sectoral stock returns of Pakistan S

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Hanif, Muhammad. "RELATIONSHIP BETWEEN OIL AND STOCK MARKETS: EVIDENCE FROM PAKISTAN STOCK EXCHANGE." International Journal of Energy Economics and Policy 10, no. 5 (2020): 150–57. http://dx.doi.org/10.32479/ijeep.9653.

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Hammoudeh, Shawkat, and Huimin Li. "Oil sensitivity and systematic risk in oil-sensitive stock indices." Journal of Economics and Business 57, no. 1 (2005): 1–21. http://dx.doi.org/10.1016/j.jeconbus.2004.08.002.

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Belhassine, Olfa, and Amira Ben Bouzid. "Oil price risk in the Eurozone: a sectoral analysis." Problems and Perspectives in Management 15, no. 3 (2017): 108–18. http://dx.doi.org/10.21511/ppm.15(3).2017.09.

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This study investigates how oil price movements impact the main Eurozone industry supersectors returns. We use a multifactor market model in which we incorporate oil price changes as an additional risk factor. In order to account for possible breaks in the relationship, we use the Bai and Perron (1998, 2003) breakpoints identification methodology. We find evidence of the presence of structural instabilities on the relationship between sector stock returns and oil price changes. Different breakpoints are identified, particularly the 2003 Iraq invasion year, the 2008 subprime crisis and the 2012

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Lu, Xunfa, Kai Liu, Kin Keung Lai, and Hairong Cui. "The Relationship between Crude Oil Futures Market and Chinese/US Stock Index Futures Market Based on Breakpoint Test." Entropy 23, no. 9 (2021): 1172. http://dx.doi.org/10.3390/e23091172.

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Combined with the B-P (breakpoint) test and VAR–DCC–GARCH model, the relationship between WTI crude oil futures and S&P 500 index futures or CSI 300 index futures was investigated and compared. The results show that breakpoints exist in the relationship in the mean between WTI crude oil futures market and Chinese stock index futures market or US stock index futures market. The relationship in mean between WTI crude oil futures prices and S&P 500 stock index futures, or CSI 300 stock index futures is weakening. Meanwhile, there is a decreasing dynamic conditional correlation between the

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Djamaluddin, Said, Riki Ardoni, and Aty Herawati. "STOCK PRICE INDEX (CSPI)IN INDONESIA STOCK EXCHANGE (IDX) PERIOD 2014-2018." Dinasti International Journal of Economics, Finance & Accounting 1, no. 1 (2020): 40–53. http://dx.doi.org/10.38035/dijefa.v1i1.205.

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This study aims to determine the effect of the BI rate, the dollar exchange rate, the yuan exchange rate, the Dow Jones index, the Shanghai index and world oil prices on the composite stock price index (CSPI). The data used is the period from January 2014 to December 2018 with the multiple regression analysis method. The results showed that the BI rate, Dollar Exchange, Yuan Exchange, Dow Jones, SSE Composite Index and WTI were able to explain the 91.8% effect on CSPI and the remaining 8.2% explained by other variables not examined. T test results show that partially BI interest rates, the yua

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Bastianin, Andrea, and Matteo Manera. "HOW DOES STOCK MARKET VOLATILITY REACT TO OIL PRICE SHOCKS?" Macroeconomic Dynamics 22, no. 3 (2017): 666–82. http://dx.doi.org/10.1017/s1365100516000353.

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We study the impact of oil price shocks on the U.S. stock market volatility. We jointly analyze three different structural oil market shocks (i.e., aggregate demand, oil supply, and oil-specific demand shocks) and stock market volatility using a structural vector autoregressive model. Identification is achieved by assuming that the price of crude oil reacts to stock market volatility only with delay. This implies that innovations to the price of crude oil are not strictly exogenous, but predetermined with respect to the stock market. We show that volatility responds significantly to oil price

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Muhtaseb, Buthaina M. A., and Ghazi Al-Assaf. "Oil Price Fluctuations and Their Impact on Stock Market Returns in Jordan: Evidence from an Asymmetric Cointegration Analysis." International Journal of Financial Research 8, no. 1 (2016): 172. http://dx.doi.org/10.5430/ijfr.v8n1p172.

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This paper examines whether Amman stock market returns responds asymmetrically to oil price fluctuations for the quarterly period 2000-2015 by applying asymmetric cointegration. Using both TAR and MTAR specification of Enders and Siklos’s (2001) models, and based on the asymmetric ECM, the results provide evidence that stock returns react to oil price variations in an asymmetric manner. In particular, rising oil prices has a larger impact on stock returns; this implies that increases in oil prices have a significant effect on the behavior of stock market in Jordan. The significant relationship

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