Oil Price Risk And Emerging Stock Markets Pdf

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Oil prices and stock returns: Evidence from emerging markets

While two different streams of literature exist investigating 1 the relationship between oil prices and emerging market stock prices and 2 the relationship between oil prices and exchange rates, relatively little is known about the dynamic relationship between oil prices, exchange rates and emerging market stock prices. This paper proposes and estimates a structural vector autoregression model to investigate the dynamic relationship between these variables. Impulse responses are calculated in two ways standard and projection based methods. The model supports stylized facts. In particular, positive shocks to oil prices tend to depress emerging market stock prices and US dollar exchange rates in the short run. The model also captures stylized facts regarding movements in oil prices. A positive oil production shock lowers oil prices while a positive shock to real economic activity increases oil prices.

Hae DSpacesta. JavaScript is disabled for your browser. Some features of this site may not work without it. Oil prices and stock returns: Evidence from emerging markets Manukyan, Kristina The study is done from the standpoint of a Euro Zone investor or an international investor who has a Euro trading account. There is a lot of financial researches investigating mentioned dependency, however only few is focused on emerging market economies.

We provide some preliminary estimates about the behaviour of oil-stock nexus during COVID pandemic. Consequently, we conduct distinct analyses for periods before and after the announcement of the pandemic. A panel Vector Autoregressive pVAR model is constructed to analyse the response of oil and stocks to shocks. A panel Logit model is also formulated to evaluate the probability of having negative oil price and stock returns between the two data samples. The pVAR analyses suggest that both oil and stock markets may experience greater initial and prolonged impacts of own and cross shocks during the pandemic than the period before it.

Oil price risk and emerging stock markets

This study investigates the transmission of volatility between OPEC-oil and sector stock returns in Pakistan. The issue of volatility spillovers across the oil and sector stocks is a crucial part of risk management and portfolio designs, as all firms are not expecting to be equally affected by changes in oil price. We also analyze the optimal weights and hedge ratios for oil-stock portfolio holdings based on our model results. Our findings reveal that negative and significant spillover effects from the oil market to agriculture, energy, and machinery sector stocks are present. However, our findings show that volatility spillover effects are insignificant from stock returns to oil. The findings of the study illustrate that development of stock market will motivate highly polluting firms to invest more in renewable and clean energy, which will help reduce carbon emissions. This is a preview of subscription content, access via your institution.

Oil price risk and emerging stock markets

The approach taken in this paper uses an international multi-factor model that allows for both unconditional and conditional risk factors to investigate the relationship between oil price risk and emerging stock market returns. This paper, thus, represents one of the first comprehensive studies of the impact of oil price risk on emerging stock markets. In general we find strong evidence that oil price risk impacts stock price returns in emerging markets.

This paper assesses the impact of gold and oil price fluctuations on the volatility of the South African stock market and its component indices or sectors — namely, the financial, industrial and resource sectors — to infer the link between the commodity and stock markets in South Africa. Moreover, the paper assesses the magnitude of the optimal portfolio weight, hedge ratio and hedge effectiveness for portfolios constituted of a pair of assets, namely oil-stock and gold-stock pairs. The findings of the study show that there is significant volatility spillover between the gold and stock markets, and the oil and stock markets. This finding suggests the importance of the link between the commodity and stock markets, which is essential for portfolio management. With reference to portfolio optimization and the possibility of hedging when using the pairs of assets under study, the findings suggest the importance of combining gold and stocks as the best strategy to hedge against stocks risk, especially during financial crises.

This study aims to establish the dynamic relationship between international crude oil prices and Indian stock prices represented by the Bombay Stock Exchange BSE energy index. Considering vector autoregression estimation, the present study analyzes the relationship between the variables and tries to make a valid conclusion. The result of the co-integration test exhibits the presence of a long-term association between these two macro-economic variables during the period under study. Also, in the short-run VEC Granger causality result reveals that the movement of international crude oil price significantly influences the Indian stock price. To get a more robust result the study can be further extended by taking a longer time period with data of shorter time-frequency such as daily or weekly and further by using more sophisticated econometric and statistical tools.

Outlook on Emerging Markets

 - Включи свет. - Прочитаешь за дверью.

 Хватит врать! - крикнул Стратмор.  - Где. Хейл сдавил горло Сьюзан. - Выпустите меня, или она умрет. Тревор Стратмор заключил в своей жизни достаточно сделок, когда на кону были высочайшие ставки, чтобы понимать: Хейл взвинчен и крайне опасен.

Два человека…. И вот Халохот уже за спиной жертвы. Как танцор, повторяющий отточенные движения, он взял чуть вправо, положил руку на плечо человеку в пиджаке цвета хаки, прицелился и… выстрелил. Раздались два приглушенных хлопка. Беккер вначале как бы застыл, потом начал медленно оседать.

Это. - Si. Беккер попросил дать ему картонную коробку, и лейтенант отправился за .

Стены туннеля начали обретать форму. И сразу же из-за поворота выехала миниатюрная машина, ослепившая ее фарами. Сьюзан слегка оторопела и прикрыла глаза рукой. Ее обдало порывом воздуха, и машина проехала мимо.

3 Response
  1. Riley T.

    What was good for the global equity markets in the fourth quarter was even better for emerging markets.

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