Exploring the nexus between oil prices and sectoral stock prices: Nonlinear evidence from Kuwait stock exchange

Kisswani, Khalid M.; Elian, Mohammad I.

doi:10.1080/23322039.2017.1286061

Cited by 37 publications

(30 citation statements)

References 48 publications

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“…Hence the net effect is negative and this is consistent with the results of Kisswani and Elian (2017). The longrun significant effects of oil price changes exist in many sectoral stock returns because they are oil-intensive sectors, especially tin and mining, property, industrial and industrial products.…”

Section: Resultssupporting

confidence: 87%

“…Some studies applied the linear autoregressive distributed lags (ARDL) model and the nonlinear ARDL model to capture the short-run against long-run effect and asymmetric effect of oil price changes. Among them include Badeeb and Lean (2016), Liew and Balasubramaniam (2017), Kisswani and Elian (2017), Raza et al (2016) and Bala and Lee (2018). For instance, Liew and Balasubramaniam (2017) conducted a study on the effects of oil prices on Malaysia's manufacturing and industrial outputs.…”

Section: Empirical Findingsmentioning

confidence: 99%

“…But, there are significant negative impacts of the oil price increase and oil price decrease on the manufacturing and industrial outputs. Also, Kisswani and Elian (2017) explored the nexus between oil prices and Kuwait sectoral stock prices by using nonlinear models. The results revealed a symmetric effect between Brent oil prices and the stock prices of banks, consumer services, industrials, and real estate sectors.…”

Section: Empirical Findingsmentioning

confidence: 99%

See 2 more Smart Citations

Examining Asymmetric Oil Price Exposure to Assets Return in Malaysia: A Nonlinear ARDL Approach

2019

JEM

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Oil is one of the most important commodities and its impact on the global economy is evident through many studies. This study is focused on examining the nine sectors of stock returns in Malaysia. The main objective is to investigate the asymmetric effects of oil price changes (oil price increases and decreases) on the sectoral stock returns in Malaysia. Besides, this study also examines the spillover effect among the sectoral stock returns in Malaysia relative to the effects of other factors. By using monthly data from 2000 to 2017, the Non-linear Autoregressive Distributed Lags (NARDL) model is applied to model the asymmetric effect of oil price changes. The study detected the asymmetric effects of oil price changes with negative effect dominant, the positive effect and oil price effect is larger in the oil intensive sectors. However, the oil price is not the main determinant factor. The main factors determining the stock returns are exchange rate, Malaysia stock market return, world stock return and sectoral spillover effect. Among these factors, the exchange rate is the main factor that influenced the stock return.

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Section: Resultssupporting

confidence: 87%

Section: Empirical Findingsmentioning

confidence: 99%

Section: Empirical Findingsmentioning

confidence: 99%

See 1 more Smart Citation

Examining Asymmetric Oil Price Exposure to Assets Return in Malaysia: A Nonlinear ARDL Approach

2019

JEM

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“…Ahmadi, Manera, & Sadeghzadeh, 2016;Chang & Yu, 2013;Cunado & Perez de Gracia 2014;Mollick & Assefa 2013;Shaeri, Adaoglu, & Katircioglu, 2016, for recent examples). One strand of the literature examines the relationship between oil prices and aggregate stock returns (Apergis & Miller, 2009;Ciner, 2001;Cunado & Perez de Gracia, 2014;Driesprong, Jacobsen, & Maat, 2008;Elyasiani, Mansur, & Odusami, 2011;Güntner, 2014;Huang, Masulis, & Stoll, 1996;Jones & Kaul, 1996;Kilian & Park, 2009;Kisswani & Elian, 2017;Lee, Yang, & Huang, 2012;Nandha & Faff, 2008;Narayan & Sharma, 2011;Park & Ratti, 2008;Sadorsky, 1999;Scholtens & Yurtsever, 2012). Another strand examines the effect of oil prices on industry sectors, including the oil and gas sector (Elyasiani et al, 2011;Faff & Brailsford, 1999;Gogineni, 2010;Hammoudeh, Dibooglu, & Aleisa, 2004;Kilian & Park, 2009;Lee et al, 2012;McSweeney & Worthington, 2008;Ramos, Tamouti, Veiga, & Wang, 2017;Ramos & Veiga, 2011;Scholtens & Yurtsever, 2012).…”

Section: What Explains Oil and Gas Stock Returns?mentioning

confidence: 99%

Exploration vs. acquisition of oil and gas reserves: Effect on stock returns

Misund

2018

Cogent Economics & Finance

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This paper examines how oil and gas companies' reserves growth affects their share price returns. In particular we examine three issues affecting the relation between reserves changes and oil and gas firm returns. First, we examine if investors value reserves replacement as a result of exploration activities differently to reserves growth through acquisitions. In the second analysis, we test if reserves replacement of oil reserves impacts stock returns differently than changes in gas reserves do. Third, we examine the impact of the Shale gas revolution and the subsequent oil and gas price divergence on the association between returns and replacement of oil versus gas reserves. The results suggest that investors seem to be indifferent to reserves replacement strategy (exploration or acquisition). However, we find that changes in oil reserves impact oil and gas company returns differently than changes in gas reserves does. Moreover, we find that there has been a structural shift in the relation between returns and changes in gas reserves (but not changes in oil reserves) after 2008, coinciding with the Shale gas revolution and the break in the oil-gas price link. This latter result can be relevant for understanding the impact of the recent fall in oil prices on investor valuation of oil and gas reserves.

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“…In their study, K. M. Kisswani and M. I. Elian (2017) used the non-linear ARDL (NARDL), the Johansen-Juselius Cointegration Test, the Error Correction Model and the Granger Causality Tests to investigate the relationship between the Kuwait Stock Market (10 main sectors) and oil prices (West Texas and Brent). According to the study's findings, the oil prices and some Kuwaiti sectoral stock prices showed asymmetric long-term effects.…”

Section: Literature Reviewmentioning

confidence: 99%

The relationship between Islamic indices and commodity markets in Turkey: Evidence Fourier-based approaches

Sakarya¹,

Zeren²,

Akkuş³

2018

Ekon horizonti

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Affecting a significant portion of the world economy, the commodity market is the world's largest "nonfinancial" market. In addition to the other macroeconomic variables, commodity prices have a special importance for Islamic stock indices, which have improved in recent years because Islamic finance is a financial system based on the profit/loss sharing principle and supports the real sector's activities. In this study, cointegration and the causality relationship between commodity markets (the Gold ounce and Brent oil) and the Participation-30 Index established by taking Islamic criteria into account were investigated in Turkey. As a result of the analysis, no cointegration relation was found between the Participation-30 Index and the commodity markets. According to these results, an investor investing in gold or oil will, in addition to the Participation-30 Index, diversify its portfolio with this commodity investment and minimize its risk. The fact that there is no relation between the variables according to the causality results indicates that the Participation-30 Islamic Indices' structure is independent of commodity markets and conventional stock markets.

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Exploring the nexus between oil prices and sectoral stock prices: Nonlinear evidence from Kuwait stock exchange

Cited by 37 publications

References 48 publications

Examining Asymmetric Oil Price Exposure to Assets Return in Malaysia: A Nonlinear ARDL Approach

Examining Asymmetric Oil Price Exposure to Assets Return in Malaysia: A Nonlinear ARDL Approach

Exploration vs. acquisition of oil and gas reserves: Effect on stock returns

The relationship between Islamic indices and commodity markets in Turkey: Evidence Fourier-based approaches

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