The Impact of Oil Price on Stock Returns in Oil Exporting Countries PDF Download
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Author: Abdulla Alikhanov
Publisher: LAP Lambert Academic Publishing
ISBN: 9783846550229
Category :
Languages : en
Pages : 84
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Book Description
The purpose of our paper is to examine the relationship and interactions between oil price movements and stock markets in main two oil exporting countries - Russia and Norway and test how and to what extent oil prices together with other variables influence stock markets. Some macroeconomic explanatory variables that are directly linked to stock market performance are included to our model, too. The notion of comparative analysis of oil price changes and stock market performance between a developing country- Russia and a developed country- Norway is also one of the major empirical aspects of our master thesis. First, we run simple OLS regression to understand the effect of oil prices on stock returns. In order to examine deeply the interaction and impact among different variables, we employ a VAR model. Results reveal a diverse pattern in all share and industrial level in two markets. Finally, for further analysis, we run asymmetric tests using dummy variables to show the difference between oil price increases and the normal case.
Author: Abdulla Alikhanov
Publisher: LAP Lambert Academic Publishing
ISBN: 9783846550229
Category :
Languages : en
Pages : 84
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Book Description
The purpose of our paper is to examine the relationship and interactions between oil price movements and stock markets in main two oil exporting countries - Russia and Norway and test how and to what extent oil prices together with other variables influence stock markets. Some macroeconomic explanatory variables that are directly linked to stock market performance are included to our model, too. The notion of comparative analysis of oil price changes and stock market performance between a developing country- Russia and a developed country- Norway is also one of the major empirical aspects of our master thesis. First, we run simple OLS regression to understand the effect of oil prices on stock returns. In order to examine deeply the interaction and impact among different variables, we employ a VAR model. Results reveal a diverse pattern in all share and industrial level in two markets. Finally, for further analysis, we run asymmetric tests using dummy variables to show the difference between oil price increases and the normal case.
Author: Jung Wook Park
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages :
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Book Description
This dissertation analyze the relationship between oil price shocks and stock market for the US and 13 European countries with monthly data from 1986.1-2005.12. Three countries (Denmark, Norway and the UK) among 13 European countries are oil exporting countries. Unrestricted multivariate Vector Autoregression (VAR) with 4 variables (interest rates, real oil price changes, industrial production and real stock returns) is estimated as well as impulse response function and variance decomposition. With regard to impact of oil price shocks on the stock market, in most oil importing countries oil price shocks have significantly negative effect on the stock market in the same month or in one month, while among oil exporting countries only Norway shows a significantly positive response of real stock returns to oil price shocks. Comparing the impacts of oil price shocks and interest rate (monetary) shocks on the stock market, in most oil importing countries oil price shocks have a greater impact than interest rate shocks, except for a few countries where monetary policy responds systemically to oil price shocks by raising interest rates, which leads to a decline in real stock returns. Therefore, taking into account the response of monetary policy to oil price shocks, oil prices play a crucial role in the stock market of oil importing countries. On the contrary, in oil exporting countries oil price shocks have a smaller impact on the stock market than interest rate shocks, and monetary policy does not respond to the oil price shocks. According to the literature, oil price shocks have an asymmetric effect on economic activity and the stock market in that oil price increases have a greater impact than oil price decreases. However, in this dissertation, the asymmetric pattern is a little different. In the sub-sample period (1996.5-2005.12) when oil price increases more frequently than oil price decreases and the average magnitude of oil price increases is smaller than that of oil price decreases, stock markets in most countries are more influenced by oil price decreases than oil price increases in the variance decomposition analysis. In particular, statistically significant evidence at the 5% level is found that oil price decreases have a greater impact on real stock returns than oil price increases after the mid 1990's in the US.
Author: Seyedmehdi Hosseini
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This study examines the effect of crude oil and stock market dynamics in a sample of oil-exporting and oil-importing countries at different stages of development. This relationship is also explored in a sample of world equity indices, such as MSCI ACWI, MSCI World, MSCI EAFE, MSCI Emerging Markets, MSCI Europe, and MSCI USA. Particular emphasis is placed on the role of financial distress, as reflected by National Bureau of Economic Research (NBER) recession episodes. The empirical findings show that the Ordinary Least Squares (OLS) approach and a Quantile Regression (QR) approach produce relatively similar results. However, the QR approach is found to offer a greater insight into the relationship between crude oil price changes and stock returns, as it is a more robust and efficient estimator compared to the OLS. For example, the OLS results fail to identify any significant impact of crude oil price changes on stock returns for several oil-exporting countries, irrespective of whether the relationship was negative (Ecuador, Iraq, Mexico, and Venezuela) or positive (Algeria and Brazil). In contrast, the QR approach is able to identify specific quantiles for which crude oil price changes have a significant impact on stock returns, even if the relationship is insignificant at the level of the mean.
Author: Abimifoluwa Olayiwola
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 32
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Book Description
Author: Vivian Randhawa
Publisher: GRIN Verlag
ISBN: 3668702942
Category : Business & Economics
Languages : en
Pages : 30
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Book Description
Seminar paper from the year 2014 in the subject Business economics - Trade and Distribution, grade: 1,7, Hamburg University of Applied Sciences, language: English, abstract: After oil was discovered in the late 19th century, oil prices were primarily determined first by the major petroleum companies and then by the oil-exporting nations, who joined forces in the Organization of Petroleum Exporting Countries (OPEC). In the 1960s, the market-oriented pricing system was adopted and since then oil prices are primarily formed by supply and demand. Oil prices are characterized by permanent price fluctuations. Especially rapid price rises and longer-term fluctuations are at the focus of many scientific work. Because oil is an indispensable resource for the global economy, the question arises after the economic impacts of such price developments. While oil- exporting countries benefit from strong price rises, oil- importing countries, with emerging countries leading the way, are negatively affected. The interplay of these opposite effects and the global economic situation are crucial for the net effect on global economy.
Author: Syed Abul Basher
Publisher:
ISBN:
Category : Petroleum industry and trade
Languages : en
Pages :
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Author: Central Intelligence Agency
Publisher: Simon and Schuster
ISBN: 1628731818
Category : Reference
Languages : en
Pages : 2796
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Book Description
From Afghanistan to Zimbabwe, The CIA World Factbook 2012 offers complete and up-to-date information on the world’s nations. This comprehensive guide is packed with detailed information on the politics, populations, military expenditures, and economics of 2012. For each country, The CIA World Factbook 2012 includes: Detailed maps with new geopolitical data Statistics on the population of each country, with details on literacy rates, HIV prevalence, and age structure New data on military expenditures and capabilities Information on each country’s climate and natural hazards Details on prominent political parties, and contact information for diplomatic consultation Facts on transportation and communication infrastructure And much more! Also included are appendixes with useful abbreviations, international environmental agreements, international organizations and groups, weight and measure conversions, and more. Originally intended for use by government officials, this is a must-have resource for students, travelers, journalists, and business people with a desire to know more about their world.
Author: Riza Demirer
Publisher:
ISBN:
Category :
Languages : en
Pages : 37
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Book Description
The main goal of this paper is to examine whether oil price risk is systematically priced in the cross-section of stock returns in net oil-exporting countries even after controlling for market and firm-level risk factors. Using firm-level data from the Gulf Arab stock markets, we find that stocks that are more sensitive to oil price changes indeed yield significantly higher returns, suggesting that oil price exposure can serve as a return predictor in these stock markets. However, we also find that it is the absolute exposure of a stock that drives returns, suggesting fluctuations in the oil price as a source of stock return premia in these markets. Our tests further suggest that a portfolio strategy based on a stock's absolute exposure to oil price risk yields significant positive subsequent returns as well, suggesting an investment strategy based on the absolute oil price risk exposure of stocks in net exporting nations.
Author: Aktham Issa Maghyereh
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper examines the impact of oil price uncertainty on the stock market returns of ten oil importing and exporting countries in the Middle East and North Africa (MENA) region. The sample contains both oil importing and oil exporting countries that depend heavily on oil production and exports.
Author: Ramazan Gençay
Publisher: Elsevier
ISBN: 0080509223
Category : Business & Economics
Languages : en
Pages : 383
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Book Description
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods
