Dynamics between Strategic Commodities and Financial Variables

Le, Ha Thai

doi:10.2139/ssrn.2311352

Cited by 4 publications

(5 citation statements)

References 16 publications

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“…Thus, the alternative hypothesis is accepted as to existence of long-term integration among selected variables in the study. The results of our study are consistent with the results of Le and Chang (2011) and Horng and Huang (2013), establishing long-term relationship among variables, but it matches more closely with the outcomes of Sujit and Kumar (2011), representing a long-term but weak relationship among variables under study.…”

Section: Empirical Results and Discussionsupporting

confidence: 92%

“…Preliminary examination suggested the possibility of cointegration among these variables indicating co-movements, although the spillover effects were found to be very small. Le and Chang (2011) tested cointegration between the prices of two strategic commodities (oil and gold) and the financial variables (interest rates, exchange rates and stock prices) of Japan. The data were analyzed using natural log transformation of oil prices, gold prices, interest rates, stock prices and exchange rates.…”

Section: Literature Reviewmentioning

confidence: 99%

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Understanding Dynamic Relationship among Gold Price, Exchange Rate and Stock Markets: Evidence in Indian Context

Shiva¹,

Sethi²

2015

Global Business Review

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The purpose of research in this article is to investigate the relationship among gold prices, Bombay Stock Exchange’s Sensex, National Stock Exchange’s Standard and Poor’s (S&P) Financial Services LLC CNX NIFTY1 (S&P CNX NIFTY) and US dollar/Indian rupee (USD/INR) exchange rate for the period January 1998–April 2014. The relationship among these variables has been studied by applying vector error correction model (VECM) in order to check the long-run and short-run causality. Johansen cointegration test has been applied to find out the long-term cointegration among variables in the study. In further analysis, Wald’s coefficient diagnosis and residual analysis revealed that gold prices, SENSEX, USD/INR and S&P CNX NIFTY are in equilibrium in the short run and long run. Granger causality test finally confirms the presence of unidirectional causality that runs from gold prices to S&P CNX NIFTY and also from gold prices to USD/INR exchange rate at current prices.

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Section: Empirical Results and Discussionsupporting

confidence: 92%

Section: Literature Reviewmentioning

confidence: 99%

Understanding Dynamic Relationship among Gold Price, Exchange Rate and Stock Markets: Evidence in Indian Context

Shiva¹,

Sethi²

2015

Global Business Review

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“…Penelitian Le & Chang (2011) Sedangkan penelitian oleh Mensi (2019) mengenai manajemen risiko portofolio dan pergerakan dinamis antara minyak mentah dan pasar saham sektor Saudi menunjukkan pergerakan yang signifikan antara minyak mentah dan pasar sektor saham dari waktu ke waktu dan lintas frekuensi. Selain itu, pergerakan tersebut semakin meningkat setelah krisis keuangan global 2008-2009.…”

Section: Hubungan Harga Minyak Dengan Pasar Sahamunclassified

Korelasi Dinamis Antara Pergerakan Harga Minyak Dunia Dan Indeks Harga Saham Sektoral Di Bursa Efek Indonesia

Safitri

Robiyanto

2020

JEBIK

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Changes in the situation that move very quickly on the commodity market have an impact on financial markets, one of which is the stock market in Indonesia. Therefore this study aims to examine the dynamic correlation between the movement of world oil prices and the Sectoral Stock Price Index listed on the Indonesia Stock Exchange (IDX). The data used is obtained from secondary data in the form of daily closing price data for world oil prices and Sectoral Stock Price Index from January 2017 to June 2020. The analysis technique used is Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH), due to previous studies mostly using a static approach. The results of this study show that the DCC-GARCH value between world oil prices (Brent and WTI) and Sectoral Stock Price Index tends to be very weak. A negative dynamic correlation was also found in the Consumer Goods Sector. This research can be a reference for investors who want to invest stocks in Indonesia by looking at the correlation between world oil prices and the Sectoral Stock Price Index.

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“…This is based on the idea that oil is one of the main energy sources used by the industry, even, oil is seen as a major factor in determining the world stock price indexes (Souèek, 2013;Ratti & Vespignani, 2015). Researchers such as Soytas et al (2009), Le & Chang (2011), and Guesmi & Fattoum (2014) agreed that oil is a strategic commodity for the global economy and can affect the world economy (Papież & Śmiech, 2012;Creti, Ftiti, & Guesmi, 2014). Lin, Wesseh, & Opiah (2014) stated that oil is the most important commodity in the global financial market, so when the world oil market and financial market are on the same period with high volatility, it is very possible to create shock transmission between those two markets.…”

Section: |mentioning

confidence: 99%

The Dynamic Correlation between ASEAN-5 Stock Markets and World Oil Prices

Robiyanto

2018

Jurnal Keuangan Dan Perbankan

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Various studies on the relationship between world oil prices and stock markets that have been done previously mostly still done by using a static approach or an approach to test whether there is a short-term or long-term relationship. This research scrutinizes the dynamic relationship between world oil price change with the return of ASEAN's main stock markets such as Indonesia, Singapore, Malaysia, the Philippines, and Thailand by using Dynamic Conditional Correlation-Generalized Autoregressive Conditional Heteroscedasticity (DCC-GARCH). The result shows that the correlation between world oil price's change with the return of ASEAN's main stock market was not static but change according to the stock market and commodity market's condition. During the normal period, DCC-GARCH is in the narrow range and stable, but during the period of stock market and commodity market turbulence, DCC-GARCH could alter extremely from positive to negative in some ASEAN countries. Generally, it is concluded that the use of static approach was not appropriate especially for rapidly changing in financial market and commodity market. Keywords

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Dynamics between Strategic Commodities and Financial Variables

Cited by 4 publications

References 16 publications

Understanding Dynamic Relationship among Gold Price, Exchange Rate and Stock Markets: Evidence in Indian Context

Understanding Dynamic Relationship among Gold Price, Exchange Rate and Stock Markets: Evidence in Indian Context

Korelasi Dinamis Antara Pergerakan Harga Minyak Dunia Dan Indeks Harga Saham Sektoral Di Bursa Efek Indonesia

The Dynamic Correlation between ASEAN-5 Stock Markets and World Oil Prices

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