A measure of market volatility based on F–transform

Troiano, Luigi; Mejuto-Villa, E.

doi:10.1016/j.fss.2019.07.012

Cited by 1 publication

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“…Global oil price volatility has received considerable attention from scholarly publications in economic discipline. Accordingly, this has led to varied conceptualizations of what constitutes 'volatility' (Troiano & Villa, 2020;Hachula & Rieth, 2020). Several scholars have argued that volatility in oil prices refers to the dispersion of the price of oil in the global market from its average over a given period as argued (Sauter & Awerbuch, 2003;Gulen & Michot, 2012;Ebrahim, Inderwildi & King, 2014).…”

Section: Introductionmentioning

confidence: 99%

Global Oil Price Volatility and Foreign Direct Investment Inflows in Kenya

2021

JESD

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External capital flows play a crucial role in driving investment and economic growth in financial resource constrained countries such as Kenya. As such, the vulnerability of a country's foreign direct investment flows to external shocks is a key area of research interest. In the past, studies on Kenya's vulnerability to oil price volatility have focused on its pass-through effects through inflation and the exchange rate. To date, there is a gap in literature with regard to assessment of how oil price volatility impacts foreign direct investment flows into Kenya and this has been premised on Kenya being an oil importing economy. In August 2019, however, Kenya made its first commercial sale of oil in the global market selling 200, 000 barrels and realizing USD 12.0 million (Kes 1.2 billion) in proceeds. The first objective was to establish the trend of global oil price volatility between 1970 and 2016 and to investigate the effect of global oil price volatility FDI inflows in Kenya. The study used GARCH model encompassing Kenya's FDI inflows as the endogenous variable and exchange rate, external balance, inflation, net exports, real interest rate and gross domestic product growth as exogenous variables. The GARCH model entailed estimating two equations, the mean and the variance equations, at the same time with the residuals of the former allowing one to model the volatility of exogenous variables. Multiple linear regression analysis was used to establish strength of linear relationship between the selected macroeconomic variables and FDI inflows in Kenya. The findings of the first objective using ARCH (1, 1) model, yielded a statistically significant coefficient for the lag, 1=1.032, the second objective, the results of multiple linear regression analysis established that only Global Price of Oil (USD per Barrel) 7969894 and External Balance (USD) 0.158033were statistically significant at 5% level. The findings provide important insights for economic policy implementers regarding how to take necessary measures to counter the effect of global oil price volatility in order to realize sustainable inflow of FDI in the country.

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Section: Introductionmentioning

confidence: 99%

Global Oil Price Volatility and Foreign Direct Investment Inflows in Kenya

2021

JESD

View full text Add to dashboard Cite

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A measure of market volatility based on F–transform

Cited by 1 publication

References 27 publications

Global Oil Price Volatility and Foreign Direct Investment Inflows in Kenya

Global Oil Price Volatility and Foreign Direct Investment Inflows in Kenya

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