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The impact of changes in oil price on stock market: Evidence from Africa
Kelikume, Ikechukwu; Muritala, Omotayo - In: International Journal of Management, Economics and … 8 (2019) 3, pp. 169-194
producing countries with stock market presence, from Q1:2010 to Q4:2018, the study deployed dynamic panel analysis technique for … findings, an adverse effect of oil prices existed on stock markets in Africa, attributable to fragmented and underdeveloped …
Persistent link: https://www.econbiz.de/10012112828
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Threshold effects in the capital asset pricing model using panel smooth transition regression (PSTR) : evidence from net oil export and import groups
Nieh, Chien-chung; Yao, Hsueh-chu - In: Advances in management & applied economics 3 (2013) 2, pp. 179-192
In this study, we used the PSTR (panel smooth transition regression) model to investigate the nonlinear relationship … ; panel smooth transition regression model (PSTR) ; Schwarz's inequality ; triangle inequality …
Persistent link: https://www.econbiz.de/10009718901
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Exploring the nexus between oil prices and sectoral stock prices : nonlinear evidence from Kuwait stock exchange
Kisswani, Khalid M.; Elian, Mohammad I. - In: Cogent economics & finance 5 (2017) 1, pp. 1-17
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...
Persistent link: https://www.econbiz.de/10011598070
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Subsampling Hypothesis Tests for Nonstationary Panels with Applications to Exchange Rates and Stock Prices
Choi, In; Chue, Timothy K. - 2005
This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross-sectionally correlated … the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special … shown that subsampling provides asymptotic distributions that are equivalent to the asymptotic distributions of the panel …
Persistent link: https://www.econbiz.de/10014027534
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Impact of Crude Oil Price and Exchange Rate on Performance of Indian Stock Market
Singh, Saurabh - 2016
This paper attempts to investigate empirically the dynamic relationship among crude oil price, exchange rate and Indian stock market. Using daily data of Crude oil price, Dollar-Rupee value and Nifty returns from April 2010 to March 2015, correlation, regression and Granger-causality approach in...
Persistent link: https://www.econbiz.de/10012999793
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Exchange rate and oil price interactions in selected CEE countries
Drachal, Krzysztof - In: Economies : open access journal 6 (2018) 2, pp. 1-21
This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland, the Czech Republic, Hungary, Romania, and Serbia. The results are compared with a benchmark analysis in which U.S. monthly data are used, and time periods are selected according...
Persistent link: https://www.econbiz.de/10011854772
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The U.S. dollar exchange rate and the demand for oil
De Schryder, Selien; Peersman, Gert - 2013
Using recent advances in panel data estimation techniques, we find that an appreciation of the US dollar exchange rate … appreciation compared to a depreciation of the US dollar. -- oil demand ; US dollar exchange rate ; panel data ; nonlinearities …
Persistent link: https://www.econbiz.de/10009707558
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Exchange rate policy and falling crude oil prices : effect on the Nigerian stock market
Abraham, Terfa Williams - In: CBN journal of applied statistics 7 (2016) 1, pp. 111-123
This paper examines the effect of crude oil price movement on the Nigerian stock market and the role of exchange rate as a plausible countercyclical policy tool. Daily data on All Share Index of the Nigerian stock market, crude oil prices and exchange rate, were collected for two periods:...
Persistent link: https://www.econbiz.de/10011460340
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Empirical Analysis of Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates Using Panel Data Econometric Methods
Rezitis, Anthony N. - 2015
thirty selected international agricultural prices and five international fertilizer prices using panel econometric methods …
Persistent link: https://www.econbiz.de/10013019281
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The Sensitivity of GCC Firms’ Stock Returns to Exchange Rate, Interest Rate, and Oil Price Volatility
Alenezi, Marim - 2020
This study seeks to investigate the sensitivity of stock returns to exchange rate, interest rate and oil price volatility in the Gulf Cooperation Council (GCC) countries. It employs both the multivariate ordinary least square (OLS) regression and the exponential generalized autoregressive...
Persistent link: https://www.econbiz.de/10012834658