Exploring the nexus between oil prices and sectoral stock prices : nonlinear evidence from Kuwait stock exchange

Khalid M. Kisswani and Mohammad I. Elian

This paper investigates the relationship between oil prices (Brent and West Texas Intermediate (WTI)) and Kuwait Stock Exchange (KSE) prices at the sector level. In a nonlinear autoregressive distributed lag (NARDL) model, ten major sectors in Kuwait are studied using daily data from 3 January 2000 to 9 December 2015 for some sectors, and 14 May 2012 to 9 December 2015 for others. The findings show asymmetric long run effects between oil prices and some Kuwait sectoral stock prices. For these sectors, the empirical results offer evidence of short run asymmetric effect in case of WTI price measure, but no evidence of asymmetry was found in case of Brent price.

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Year of publication:	2017
Authors:	Kisswani, Khalid M. ; Elian, Mohammad I.
Published in:	Cogent economics & finance. - Abingdon : Taylor & Francis, ISSN 2332-2039, ZDB-ID 2773198-4. - Vol. 5.2017, 1, p. 1-17
Subject:	oil price \| Kuwait stock exchange \| nonlinear ARDL \| unit root \| Kuwait \| Ölpreis \| Oil price \| Kointegration \| Cointegration \| Börsenkurs \| Share price \| Einheitswurzeltest \| Unit root test \| Börse \| Bourse

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Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1080/23322039.2017.1286061 [DOI] hdl:10419/194640 [Handle]
Classification:	G12 - Asset Pricing ; F3 - International Finance ; Q43 - Energy and the Macroeconomy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011598070