Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model

Khan, Muhammad Imran; Teng, Jian-­Zhou

doi:10.1371/journal.pone.0218289

Cited by 33 publications

(23 citation statements)

References 58 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Their short-run results are not statistically significant. Khan et al (2019) also find a statistically significant negative effect of oil price increases on Shanghai Stock Exchange and positive effect of oil price decreases in the long-run and negative effect has a higher coefficient in terms of absolute value. According to their results, in the short-run the positive effect of oil price on stock prices is not statistically significant but the coefficient is statistically significant and positive for the reverse case.…”

Section: Discussionmentioning

confidence: 68%

Cementing the Asymmetric Confluence of Exchange Rate and Stock Prices: NARDL Modeling for Kuwait

Şahin¹,

Mohamed²

2020

Cankiri Karatekin Universitesi Iktisadi Ve Idari Bilimler Fakultesi Dergisi

View full text Add to dashboard Cite

show abstract

Section: Discussionmentioning

confidence: 68%

Cementing the Asymmetric Confluence of Exchange Rate and Stock Prices: NARDL Modeling for Kuwait

Şahin¹,

Mohamed²

2020

Cankiri Karatekin Universitesi Iktisadi Ve Idari Bilimler Fakultesi Dergisi

View full text Add to dashboard Cite

show abstract

“…In addition to this, another research found that in the long-run oil price, similar to interest rates and real effective exchange rates, has a negative impact on Malaysia's stock returns, while industrial production has a positive impact [40]. Results of another study using ARDL confirm that both in the long-and short-run there is a negative relationship between Shanghai stock returns and oil price [41].…”

Section: Methodsmentioning

confidence: 87%

Oil Price and Stock Prices of EU Financial Companies: Evidence from Panel Data Modeling

et al. 2019

View full text Add to dashboard Cite

Crude oil is an indispensable resource for the world economy and European Union (EU) countries are strongly dependent on oil imports. In a framework defined by generally positive correlations between oil and stock prices, the paper investigates the relationship between financial companies’ stock prices and crude oil price using a sample of major financial companies headquartered in the EU. The link between stock prices and oil price risk is modelled using a set of macroeconomic variables that includes local stock market indices, the EUR/USD exchange rate, the oil imports dependency, inflation rate, and global volatility indices. We employ panel data as the base econometric model and an ARDL extension that is more appropriated for our research objectives. Our findings show that the EU financial sector is pervasively exposed to oil price changes over the long-run and this exposure is a component of financial companies’ exposure to real economy risk factors, which points towards the key role of the financial sector in the EU economy in transmitting systemic shocks. At the same time, we detect signs of a different behavior of market investors over the short-versus the long-run concerning the valuation of financial companies’ stock prices in relation to oil price and other macroeconomic variables, which raises distressing challenges for financial authorities.

show abstract

“…Authors document the usefulness of crude oil in portfolio diversification but for the short term. Khan et al (2019) study association of oil and Shanghai Stock Exchange (China) for a period 2000-2018 and finds a negative relationship by using ARDL technique. The results of negative association (for the short run) are confirmed by Hsiao et al (2019) after studying the relationship between oil and renewable energy stocks in china for a period 2014-2018.…”

Section: Literature Reviewmentioning

confidence: 99%

Relationship Between Oil and Stock Markets: Evidence From Pakistan Stock Exchange

Hanif¹

2020

IJEEP

View full text Add to dashboard Cite

This study documents the impact of price variations in global markets, specifically oil, on stock returns at Pakistan stock exchange (PSX). We select three global markets (oil, gold and currency exchange) and two PSX indices (conventional and Islamic) for a period 2009-2020 to provide evidence. Monthly data for the selected time series is used for analysis. Analysis techniques include descriptive statistics, stationarity testing, Johansen cointegration, correlation and regression analysis. Findings suggest joint long-run co-movements of selected markets. Regression results indicate the significance of oil prices at 1% level, with positive signs, in the stock return generation process at PSX (for both indices conventional and Islamic). Other selected markets (gold and currency exchange) are although significant but at a higher degree, with negative signs. For the oil market, results confirm the demand-pull inflation hypothesis in Pakistani market. Results also confirm shifting to gold market by investors in the period of reductions in stock returns. Finally, depreciation of domestic currency discourages investors in buying stocks. We recommend investors to have an eye on oil, gold and currency markets while making investment decisions at PSX. We also recommend to policymakers to take timely actions for exchange rate stability, to avoid the outflow of capital. To the best of our knowledge, this is the only study documenting the influence of global markets on stock returns at PSX in recent years.

show abstract

Asymmetric impact of oil prices on stock returns in Shanghai stock exchange: Evidence from asymmetric ARDL model

Cited by 33 publications

References 58 publications

Cementing the Asymmetric Confluence of Exchange Rate and Stock Prices: NARDL Modeling for Kuwait

Cementing the Asymmetric Confluence of Exchange Rate and Stock Prices: NARDL Modeling for Kuwait

Oil Price and Stock Prices of EU Financial Companies: Evidence from Panel Data Modeling

Relationship Between Oil and Stock Markets: Evidence From Pakistan Stock Exchange

Contact Info

Product

Resources

About