A Reassessment of Oil Market Volatility and Stock Market Volatility: Evidence from Selected SAARC Countries

Tariq Aziz

doi:10.18778/1508-2008.26.27

Autor

Tariq Aziz Prince Muhammad Bin Fahd University, Finance and Accounting, Khobar, Dhahran Saudi Arabia https://orcid.org/0000-0001-6073-0628

DOI:

https://doi.org/10.18778/1508-2008.26.27

Słowa kluczowe:

giełda, rynek ropy naftowej, przenoszenie zmienności, transmisja informacji, EGARCH

Abstrakt

Przenoszenie zmienności dostarcza informacji, czy informacje na jednym rynku wpływają na informacje na innym rynku. W niniejszym artykule zbadano, czy zmienność rynku ropy naftowej przenosi się na rynki akcji wybranych krajów SAARC. W badaniu wykorzystano dane z okresu od lutego 2013 r. do września 2019 r. w celu uzyskania zaktualizowanych danych na temat przenoszenia zmienności globalnych cen ropy naftowej na rynki akcji państw członkowskich SAARC. Wykorzystano dwuwymiarowy model EGARCH do testowania przenoszenia zmienności z rynku ropy naftowej na rynek akcji. Należy zauważyć, że szoki cenowe na rynku ropy naftowej nie mają znaczącego wpływu na zmienność na rynkach akcji, z wyjątkiem rynku akcji w Bangladeszu. Decydenci mogą wykorzystać te ustalenia przy podejmowaniu decyzji w obszarze polityki.

Pobrania

Brak dostępnych danych do wyświetlenia.

Bibliografia

Arouri, M.E., Nguyen, D.K. (2010), Oil prices, stock markets and portfolio investment: Evidence from sector analysis in Europe over the last decade, “Energy Policy”, 38, pp. 4528–5439, https://doi.org/10.1016/j.enpol.2010.04.007
Google Scholar DOI: https://doi.org/10.1016/j.enpol.2010.04.007

Arouri, M.E.H., Jouini, J., Nguyen, D.K. (2012), On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness, “Energy Economics”, 34 (2), pp. 611–617, https://doi.org/10.1016/j.eneco.2011.08.009
Google Scholar DOI: https://doi.org/10.1016/j.eneco.2011.08.009

Arouri, M.E., Lahiani, A., Nguyen, D.K. (2011), Return and volatility transmission between world oil prices and stock markets of the GCC countries, “Economic Modelling”, 28, pp. 1815–1825, https://doi.org/10.1016/j.econmod.2011.03.012
Google Scholar DOI: https://doi.org/10.1016/j.econmod.2011.03.012

Awartani, B., Maghyereh, A.I. (2013), Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries, “Energy Economics”, 36, pp. 28–42, https://doi.org/10.1016/j.eneco.2012.11.024
Google Scholar DOI: https://doi.org/10.1016/j.eneco.2012.11.024

Beckmann, J., Berger, T., Czudaj, R. (2015), Does gold act as a hedge or a safe haven for stocks? A smooth transition approach, “Economic Modelling”, 48, 1624, https://doi.org/10.1016/j.econmod.2014.10.044
Google Scholar DOI: https://doi.org/10.1016/j.econmod.2014.10.044

Bouri, E. (2015), Oil volatility shocks and the stock markets of oil-importing MENA economies: A tale from the financial crisis, “Energy Economics”, 51, pp. 590–598, https://doi.org/10.1016/j.eneco.2015.09.002
Google Scholar DOI: https://doi.org/10.1016/j.eneco.2015.09.002

Bouri, E., Shahzad, S.J.H., Raza, N., Roubaud, D. (2018), Oil volatility and sovereign risk of BRICS, “Energy Economics”, 70, pp. 258–269, https://doi.org/10.1016/j.eneco.2017.12.018
Google Scholar DOI: https://doi.org/10.1016/j.eneco.2017.12.018

Brooks, C. (2019), Introductory Econometrics for Finance, Cambridge University Press, Cambridge, https://doi.org/10.1017/9781108524872
Google Scholar DOI: https://doi.org/10.1017/9781108524872

Chittedi, K.R. (2012), Do oil prices matters for Indian stock markets? An empirical analysis, “Journal of Applied Economics and Business Research”, 2 (1), pp. 2–10.
Google Scholar

Dedi, L., Yavas, B.F. (2016), Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies, “Cogent Economics & Finance”, 4 (1), 1266788, https://doi.org/10.1080/23322039.2016.1266788
Google Scholar DOI: https://doi.org/10.1080/23322039.2016.1266788

Degiannakis, S., Filis, G., Kizys, R. (2014), The Effects of Oil Price Shocks on Stock Market Volatility: Evidence from European Data, “The Energy Journal”, 35 (1), pp. 35–56, https://doi.org/10.5547/01956574.35.1.3
Google Scholar DOI: https://doi.org/10.5547/01956574.35.1.3

Ewing, B.T., Malik, F. (2016), Volatility spillovers between oil prices and the stock market under structural breaks, “Global Finance Journal”, 29, pp. 12–23, https://doi.org/10.1016/j.gfj.2015.04.008
Google Scholar DOI: https://doi.org/10.1016/j.gfj.2015.04.008

Fayyad, A., Daly, K. (2011), The impact of oil price shocks on stock market returns: Comparing GCC countries with the UK and USA, “Emerging Markets Review”, 12 (1), 6178, https://doi.org/10.1016/j.ememar.2010.12.001
Google Scholar DOI: https://doi.org/10.1016/j.ememar.2010.12.001

Filis, G., Degiannakis, S., Floros, C. (2011), Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries, “International Review of Financial Analysis”, 20 (3), pp. 152–164, https://doi.org/10.1016/j.irfa.2011.02.014
Google Scholar DOI: https://doi.org/10.1016/j.irfa.2011.02.014

Fowowe, B. (2017), Return and volatility spillovers between oil and stock markets in South Africa and Nigeria, “African Journal of Economic and Management Studies”, 8 (4), pp. 484–497, https://doi.org/10.1108/AJEMS-03-2017-0047
Google Scholar DOI: https://doi.org/10.1108/AJEMS-03-2017-0047

Gbatu, A.P., Wang, Z., Wesseh Jr., P.K., Tutdel, I.Y.R. (2017), The impacts of oil price shocks on small oil-importing economies: Time series evidence for Liberia, “Energy”, 139, pp. 975–990, https://doi.org/10.1016/j.energy.2017.08.047
Google Scholar DOI: https://doi.org/10.1016/j.energy.2017.08.047

Guesmi, K. (2014), Comovements and Volatility Spillovers Between Oil Prices and Stock Markets: Further Evidence for Oil-Exporting and Oil-Importing Countries, [in:] M. Arouri, S. Boubaker, D. Nguyen (eds.), Emerging Markets and the Global Economy, Elsevier, Oxford, pp. 371–382, https://doi.org/10.1016/B978-0-12-411549-1.00016-8
Google Scholar DOI: https://doi.org/10.1016/B978-0-12-411549-1.00016-8

Hamilton, J.D. (1983), Oil and the Macroeconomy since World War II , “Journal of Political Economy”, 91 (2), pp. 228–248, https://doi.org/10.1086/261140
Google Scholar DOI: https://doi.org/10.1086/261140

Hamilton, J.D., Herrera, A.M. (2004), Comment: Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy, “Journal of Money, Credit and Banking”, 36 (2), pp. 265–286, https://doi.org/10.1353/mcb.2004.0012
Google Scholar DOI: https://doi.org/10.1353/mcb.2004.0012

Hoffmann, A.O., Post, T., Pennings, J.M. (2013), Individual investor perceptions and behavior during the financial crisis, “Journal of Banking & Finance”, 37 (1), pp. 60–74, https://doi.org/10.1016/j.jbankfin.2012.08.007
Google Scholar DOI: https://doi.org/10.1016/j.jbankfin.2012.08.007

Jebran, K., Iqbal, A. (2016), Dynamics of volatility spillover between stock market and foreign exchange market: evidence from Asian Countries, “Financial Innovation”, 2 (1), 3, https://doi.org/10.1186/s40854-016-0021-1
Google Scholar DOI: https://doi.org/10.1186/s40854-016-0021-1

Jones, C.M., Kaul, G. (1996), Oil and the Stock Markets, “The Journal of Finance”, 51 (2), pp. 463–491, https://doi.org/10.1111/j.1540-6261.1996.tb02691.x
Google Scholar DOI: https://doi.org/10.1111/j.1540-6261.1996.tb02691.x

Kanas, A. (2000), Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence, “Journal of Business Finance & Accounting”, 27 (3–4), pp. 447–467, https://doi.org/10.1111/1468-5957.00320
Google Scholar DOI: https://doi.org/10.1111/1468-5957.00320

Kang, S.H., McIver, B., Yoon, S.M. (2017), Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets, “Energy Economics”, 62, pp. 19–32, https://doi.org/10.1016/j.eneco.2016.12.011
Google Scholar DOI: https://doi.org/10.1016/j.eneco.2016.12.011

Khalfaoui, R., Boutahar, M., Boubaker, H. (2015), Analyzing volatility spillovers and hedging between oil and stock markets: Evidence from wavelet analysis, “Energy Economics”, 49, pp. 540–549, https://doi.org/10.1016/j.eneco.2015.03.023
Google Scholar DOI: https://doi.org/10.1016/j.eneco.2015.03.023

Kilian, L. (2008), The Economic Effects of Energy Price Shocks, “Journal of Economic Literature”, 46 (4), pp. 871–909, https://doi.org/10.1257/jel.46.4.871
Google Scholar DOI: https://doi.org/10.1257/jel.46.4.871

Kilian, L. (2009), Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market, “American Economic Review”, 99 (3), pp. 1053–1069, https://doi.org/10.1257/aer.99.3.1053
Google Scholar DOI: https://doi.org/10.1257/aer.99.3.1053

Korhonen, I., Ledyaeva, S. (2010), Trade linkages and macroeconomic effects of the price of oil, “Energy Economics”, 32 (4), pp. 848–856, https://doi.org/10.1016/j.eneco.2009.11.005
Google Scholar DOI: https://doi.org/10.1016/j.eneco.2009.11.005

Lin, B., Wesseh Jr., P.K., Appiah, M.O. (2014), Oil price fluctuation, volatility spillover and the Ghanaian equitymarket: Implication for portfolio management and hedging effectiveness, “Energy Economics”, 42, pp. 172–182, https://doi.org/10.1016/j.eneco.2013.12.017
Google Scholar DOI: https://doi.org/10.1016/j.eneco.2013.12.017

Maghyereh, A.I., Awartani, B., Bouri, E. (2016), The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes, “Energy Economics”, 57, pp. 78–93, https://doi.org/10.1016/j.eneco.2016.04.010
Google Scholar DOI: https://doi.org/10.1016/j.eneco.2016.04.010

Malmendier, U., Nagel, S. (2011), Depression Babies: Do Macroeconomic Experiences Affect Risk Taking?, “The Quarterly Journal of Economics”, 126 (1), pp. 373–416, https://doi.org/10.1093/qje/qjq004
Google Scholar DOI: https://doi.org/10.1093/qje/qjq004

Mork, K.A. (1989), Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton’s Results, “Journal of Political Economy”, 97 (3), pp. 740–744, https://doi.org/10.1086/261625
Google Scholar DOI: https://doi.org/10.1086/261625

Noor, M.H., Dutta, A. (2017), On the relationship between oil and equity markets: evidence from South Asia, “International Journal of Managerial Finance”, 13 (3), pp. 287–303, https://doi.org/10.1108/IJMF-04-2016-0064
Google Scholar DOI: https://doi.org/10.1108/IJMF-04-2016-0064

Park, J., Ratti, R. (2008), Oil price shocks and stock markets in the U.S. and 13 European countries, “Energy Economics”, 30 (5), pp. 2587–2608, https://doi.org/10.1016/j.eneco.2008.04.003
Google Scholar DOI: https://doi.org/10.1016/j.eneco.2008.04.003

Pesaran, M.H., Shin, Y., Smith, R.J. (2001), Bounds testing approaches to the analysis of level relationships, “Journal of Applied Econometric”, 16, pp. 289–326, https://doi.org/10.1002/jae.616
Google Scholar DOI: https://doi.org/10.1002/jae.616

Ping, L., Ziyi, Z., Tianna, Y., Qingchao, Z. (2018), The relationship among China’s fuel oil spot, futures and stock markets, “Finance Research Letters”, 24, pp. 151–162, https://doi.org/10.1016/j.frl.2017.09.001
Google Scholar DOI: https://doi.org/10.1016/j.frl.2017.09.001

Raza, N., Jawad Hussain Shahzad, S., Tiwari, A.K., Shahbaz, M. (2016), Asymmetric impact of gold, oil prices and their volatilities on stock prices of emerging markets, “Resources Policy”, 49, pp. 290–301, https://doi.org/10.1016/j.resourpol.2016.06.011
Google Scholar DOI: https://doi.org/10.1016/j.resourpol.2016.06.011

Sadorsky, P. (2001), Risk factors in stock returns of Canadian oil and gas companies, “Energy Economics”, 23 (1), pp. 17–28, https://doi.org/10.1016/S0140-9883(00)00072-4
Google Scholar DOI: https://doi.org/10.1016/S0140-9883(00)00072-4

Singhal, S., Ghosh, S. (2016), Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models, “Resources Policy”, 50, pp. 276–288, https://doi.org/10.1016/j.resourpol.2016.10.001
Google Scholar DOI: https://doi.org/10.1016/j.resourpol.2016.10.001

Tiwari, A.K., Sahadudheen, I. (2015), Understanding the nexus between oil and gold, “Resources Policy”, 46, pp. 85–91, https://doi.org/10.1016/j.resourpol.2015.09.003
Google Scholar DOI: https://doi.org/10.1016/j.resourpol.2015.09.003

Trabelsi, N. (2017), Tail dependence between oil and stocks of major oil-exporting countries using the CoVaR approach, “Borsa Istanbul Review”, 17 (4), pp. 228–237, https://doi.org/10.1016/j.bir.2017.07.001
Google Scholar DOI: https://doi.org/10.1016/j.bir.2017.07.001

Wang, Y., Liu, L. (2016), Crude oil and world stock markets: volatility spillovers, dynamic correlations, and hedging, “Empirical Economics”, 50 (4), pp. 1481–1509, https://doi.org/10.1007/s00181-015-0983-2
Google Scholar DOI: https://doi.org/10.1007/s00181-015-0983-2

Wei, C. (2003), Energy, the Stock Market, and the Putty-Clay Investment Model, “American Economic Review”, 93 (1), pp. 311–323, https://doi.org/10.1257/000282803321455313
Google Scholar DOI: https://doi.org/10.1257/000282803321455313