Query: Crude oil price and stock market

title: Measuring the volatility spill over effects of crude oil prices on the exchange rate and stock market in Ghana
abstract: This paper examines shock and volatility spill over effects from crude oil prices to Ghana's exchange rate and stock market. We employ multivariate GARCH BEKK and TBEKK models using monthly data from January 1991 to December 2015. We address two main issues. First, whether oil price movements affect Ghana's exchange rate and stock market. There are very few previous papers that consider the impact of such volatility spill overs for Ghana and we are the first to do so in a four variable system of equations. Second, whether any oil price effects depend on the treatment of oil prices as exogenous or endogenous. We are the first to consider specifications that treat crude oil price spill over effects as exogenous. We find that oil prices have significant spill over effects on the exchange rate. This result is unaffected by the treatment of oil prices as exogenous or endogenous. However, the relationship between oil prices and Ghana's stock market depends on whether the oil price is exogenous or endogenous. The implication of these results is that internationally diversified portfolio investors in Ghana should use hedging strategies such as currency forwards, futures, and options to protect their investments from exchange rate risk emanating from oil price shocks.

title: THE IMPACT OF CRUDE OIL PRICE SHOCKS ON STOCK PRICES: EVIDENCE FROM THE SERVICE, AGRICULTURE AND MINING INDUSTRIES OF KINGDOM OF SAUDI ARABIA
abstract: The world economies today are highly termed as carbon and technology based economies. In fact, the sustenance and expansion of the world economies are heavily dependent on the energy resources such as the crude oil and natural gases. In this paper, we utilized the Markovian method to conduct research on the Kingdom of Saudi Arabias (KSA) oil market and its association with the stock prices. The results show that the impact of an increase or decrease in oil prices is immediately reflected in the stock market. The reason is that stock prices could be very sensitive to oil price shocks in oil exporting countries. The results shed light to help policymakers and to enrich the academic studies about the impact of crude oil prices on capital markets.

title: DO OIL PRICE SHOCK, AND OTHER MACROECONOMIC VARIABLES AFFECT THE STOCK MARKET: A STUDY OF THE SAUDI STOCK MARKET
abstract: This work aims to find the type of relationship amongst the chosen variables, inflation (INF) short term interest rate (SIR) money supply (M.S. and crude oil price (COP) and oil price shocks represented by DUMMY respectively on the capital market of Saudi Arabia. It will also throw insight to policymaker to find factors which influence the capital market of Saudi Arabia and to take remedial measures to boost investment in the country.  The relationships amongst the Saudi security market, the oil price shock, and the selected macroeconomic variables as mentioned above are determined using the Johansen test of co integration, the vector error correction model, and the Wald test. The research employs the time series data for a period of 2009to 2016, for the study.  The results show a long run equilibrium relationship between the Saudi stock market and the selected variables for the study. The study shows a positive association between the money supply and the stock market, but inflation, short term interest rate, and crude oil price, the result indicates a negative relationship.  The present study can have implications for the policymaker to take corrective measures for better performance of the stock market by controlling inflation and regulating the short term interest rate.As the findings indicate that they have a negative relationship with TASI. This paper will also help the policymaker in identifying the real cause for the decline in the value of the stock price. A good performing stock market means better economic growth and overall economic development. To diversify the economy to have an alternative to the oil driven economy to a more balanced economy by promoting other sectors like manufacturing and tourism. Novelty/Originality of this study: The literature review confirms that all work of oil price shock is related to its effect on the security market return. This work is different from the other study as it includes macroeconomic variables in the study, together with the oil price shocks. The study is unique from other studies as it is broader in approach, by including more variables than earlier studies which mostly included the oil price shocks and its impact on the stock market. There is no work done to investigate the joint effect of macroeconomic variables and oil price shocks on the Saudi stock market.

title: OIL PRICE SHOCKS, STOCK MARKET BEHAVIOR, AND PORTFOLIO RISK MANAGEMENT: EVIDENCE FROM MAJOR OIL IMPORTING EXPORTING MARKETS
abstract: The paper reaches the impact of the oil crisis on stock market returns from Major Oil Importing Exporting Markets and examines the utility of cross oil stock market linkages in portfolio risk management. A VARBEKKGARCH approach was employed to model the above hypothesis based on daily data from January 2000 to December 2017 from four selected countries: Saudi Arabia and Russia, known as the largest oil exporting countries in the world and two oil importing countries which are the United States and China. Results indicated that stock returns and the volatility spillover from crude oil return to oil importing and oil exporting stock market returns are significant in our data sample. Besides, after the petroleum crisis in 2014, this level of integration is increased with time for the dynamics correlations and however becomes less strong for the conditional variance.

title: Multifractal analysis of the WTI crude oil market, US stock market and EPU
abstract: This paper adopts multifractal methods to analyze the nonlinear correlations among economic policy uncertainty (EPU) the crude oil market and the stock market. First, using multifractal detrended fluctuation analysis (MF DFA) we find that each of the three series shows multifractality, and the sources of multifractality are all from long range correlations and fat tailed distributions. However, for the stock and oil price series, the long range correlation has a greater impact, while the fat tailed distribution contributes more to EPU multifractality. Furthermore, we apply multifractal detrended cross correlation analysis (MF DCCA) to analyze the cross correlation multifractal features among the three series. The generalized Hurst exponents of any two series are significantly greater than 0.5, and the stock and oil price series have the strongest cross correlation values. Coupling detrended fluctuation (CDFA) analysis of the three series shows that the coupling correlation among the three sequences is also multifractal. The chi squared statistic reveals that the contribution of the stock market to the multifractality of the coupling correlation is greater than that of other series, and EPU has the smallest influence on the coupling correlation. Finally, we employ multiscale multifractal analysis (MMA) to visualize the dynamic behaviors of the correlations among the series. The results show that the cross correlation of stock with the oil price has some symmetry at small and large scale fluctuations. Additionally, the influence of EPU on the overall coupling features is mainly reflected under small scale fluctuations, and at large scales, the coupling correlation of the three series remains similar to the Hurst surface of stock with the oil price. These results are useful for building predictive models.

title: The Influence of World Crude Oil Prices and Selected Macroeconomic Factors on Stock Market by Sector in Malaysia
abstract: The objective of this study is to analyze the influence of macroeconomic variables (volatility foreign exchange rates, foreign exchange rate returns inflation rates) and world crude oil price factors on stock market returns for nine selected sectors in Malaysia. By adapting the Ordinary Least Square Method (OLS) in developing the estimating modeling, the monthly frequency time series data from September 2003 to November 2016 is used. The results showed that world crude oil prices have different influences across sectors. World crude oil prices have a positive and significant impact on the Plantation sector .315, .01) On the contrary, it exerted a negative and significant influence on the Trade Services .076, .01) Technology .591, .01) Real Estate .184, .01) Mining .251, .01) Industrial .0327, .01) Consumer Products .151, .01) and Construction .079, .01) In addition, the findings show macroeconomic variables also give different roles across sectors. In conclusion, most of the sector's returns in Malaysia are influenced by the world crude oil price factor. However, there is no doubt that macroeconomic factors such as rate volatility, foreign exchange and inflation rates can also have an impact on sector returns in Malaysia. The implication of this study is important for investors and prospective investors, as it can help in making investment decisions for a sector.

title: A dynamic quantile regression model for the relationship between oil price and stock markets in oil importing and oil exporting countries
abstract: This paper investigates the relationship between oil price and stock markets in the major oil exporting (Russia, Norway, Canada) and oil importing (USA, China, Japan) countries. We apply a time varying asymmetric quantile regression (TV AQR) that conducts to provides a more comprehensive picture of the oil stock market nexus by accounting for the time varying propriety and the asymmetric effect of oil price on the stock returns under different market conditions. Using weekly data from January 2000 to October 2018, our results reveal that the reaction of market returns to crude oil is time varying and highly heterogeneous across conditional stock returns' distribution. Moreover, the relationship between oil and stock markets is asymmetrical, and the stock markets respond to negative oil price changes more intensively than to positive changes. We also find that the two considered markets are highly dependent during the financial crisis. These results carry crucial implications for investors as well as for policymakers regarding investment strategies and decision making.

title: Spillover and quantile linkage between oil price shocks and stock returns: new evidence from G7 countries
abstract: The link between crude oil price and stock returns of the Group of Seven (G7) countries (Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States) was analyzed in this study using monthly data from January 1999 to March 2020. We adopt a similar approach to Kilian ( 2009) and construct a structural vector autoregression framework to decompose crude oil price shocks into oil supply shock, oil aggregate demand shock, and oil specific demand shock. We then explore the distinct effects of different kinds of oil price shocks from various sources. Based on the decomposed oil price shocks, we apply the connectedness approach and QQ regression to find time varying co movements and tail dependence between oil price shocks and G7 stock returns. There is no general correlation between the decomposed oil prices and stock returns in these countries. The effects of oil price shocks on stock returns across different stock market conditions appear to be heterogeneous. Oil supply shock appears to be a net transmitter of spillover effects for all G7 countries within the sample period.

title: Volatility Spillovers Between Oil and Stock Market Returns in G7 Countries: A VAR DCC GARCH Model
abstract: The oil prices declined from a peak of $115 per barrel to under $35 between June 2014 and February 2016. This decline was due to the decision of the Organization of Petroleum Exporting Countries (OPEC) to maintain an oversupply in November 2014, despite declining demand for crude oil and the United States' growing shale capacity. We examine whether the decline in oil prices can be attributed to the impact of OPEC oversupply on stock market volatility in the G7 countries. We apply a vector autoregressive model in a multivariate generalized autoregressive setting with the dynamic conditional correlation. The results indicate bilateral volatility spillovers since the beginning of the 2014 oversupply period. Dynamic correlations between oil and stock prices started to increase but, in the middle of 2016, started to decrease again after rebalancing. Oil price decreases seemed to increase the conditional correlations between oil and the stock market in the USA, Europe, Japan, and Canada as investors responded positively to oil price declines. Analyzing hedge ratios calculated from the conditional correlations and portfolios we establish, we find that optimal oil stock portfolios outperforms index investment.

title: Systemic risk spillovers between crude oil and stock index returns of G7 economies: Conditional value at risk and marginal expected shortfall approaches
abstract: In this study, we examine systemic risk and dependence between oil and stock market indices of G7 economies between January 2003 and November 2017. Coincidentally, this timeframe covers different distress periods in financial and energy markets. We use several time constant, time varying and time varying Markov copula models to examine the dependence. Further, we use the delta conditional value at risk (DCoVaR) of Adrian and Brunnermeier (2016) and marginal expected shortfall (MES) of Acharya et al. (2012) to captures the risk spillover effects and give evidence of systemic risk. From the copula analysis, we find dissimilar dependence structure between returns series of oil and the G7 stock markets. For France, Germany and Japan, the dependence is Markov switching time varying, while it is time varying for the United States and Canada, constant for the United Kingdom and around zero for Italy. Our empirical evidence on systemic risk indicates that oil price dynamics contributes significantly more to the G7 stock market returns during volatile times than during tranquil times. In particular, the Canada stock market appears more sensitive and vulnerable to negative external shocks emerging from the crude oil market than the other markets. Further, the country risk rankings identified using MES and DCoVaR may not be identical. In addition, the analysis results suggest that the crude oil market can be a good diversifier for investors in Japan and France and that the investors in the rest of G7 countries must act more carefully.