Macro shocks and the Japanese stock market

Huang, Ying Sophie; Guo, Feng

doi:10.1080/09603100701720393

Cited by 15 publications

(9 citation statements)

References 28 publications

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“…Odusami (2009) showed that returns on crude oil futures have a negative impact on the US stock market returns. Similar results provide Faff and Brailsford (1999) for Australia, Papapetrou (2001) and Hondroyiannis and Papapetrou (2001) for Greeceas well as Huang & Guo (2008) for Japan. But Cong et al (2008) documented that oil price shocks have not a statistically significant impact on the stock market indices in China, with the exception of the manufacturing index and some oil companies.…”

Section: Literature Reviewsupporting

confidence: 73%

The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries

Asteriou¹,

Dimitras²,

Lendewig³

2013

IJBM

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The aim of this paper is to study the impact of oil price fluctuations on the stock markets and the interest rates from oil importing and oil exporting countries. To this end, Vector Autoregressive (VAR) models are estimated and pairwise Granger Causality tests are performed to the stationary series in order to analyse the short-term relationships among the variables. Also, the Johansen approach for multiple equations is carried out in order to test for cointegration among the series. Finally, the existence of cointegration set the estimation of Vector Error-Correction Models (VECMs) to investigate the long-term links between the financial variables and the oil prices. The major findings of this paper include: first, the interaction between the oil prices and the stock markets is much stronger than with the interest rates in the short and in the long-run. Second, the impact on oil importing countries is more significant than on oil exporting countries. Finally, it might be possible that the fluctuations in oil prices have different effects on developed and developing countries.

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Section: Literature Reviewsupporting

confidence: 73%

The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries

Asteriou¹,

Dimitras²,

Lendewig³

2013

IJBM

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“…Similarly, Park and Ratti (2008) show that an increase in oil price volatility significantly depresses real stock returns for 12 European countries. A negative relationship between oil price behavior and stock market returns is reported in numerous studies, such as Miller and Ratti (2009) for six OECD countries, Papapetrou (2001) for Greece, and Huang et al (2005), and Huang and Guo (2008) for Japan.…”

Section: Literature Reviewmentioning

confidence: 95%

Symmetric and Asymmetric Causal Relationship between Oil Prices and G7 Stock Markets: A Bootstrap Rolling-Window Granger Causality Test

Mokni

Nakhli²,

Mnari³

et al. 2021

Journal of Economic Integration

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This study examines the causal relationships between oil prices and the MSCI stock index of G7 countries between September 2004 and October 2020. This study is novel in implementing symmetric and asymmetric time-varying causality tests based on the bootstrap rolling-window approach. The results reveal that the causal link between oil prices and G7 stock markets is time-dependent. The periods of bidirectional causality roughly coincide with the global financial crisis and the ongoing COVID-19 pandemic. When asymmetry is accounted for, the results suggest an asymmetric causality between the two markets expressed by different patterns regarding positive and negative oil shocks. The results also indicate symmetric causality during the COVID-19 pandemic. These findings have implications for portfolio design and hedging strategies that are important to both policymakers and investors.

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“…Most of the existing research on the relationships between energy prices and the macro economy has mainly focused on the relationship between crude oil prices and economic growth (Hamilton, 2003;Bachmeier, 2008). However, it is surprising that only a relatively small amount of the literature has studied the relationship between oil price shocks and stock markets (Jones and Kaul, 1996;Huang et al, 1996;Huang and Guo, 2008). These studies fail to reach a unanimous conclusion.…”

Section: Introductionmentioning

confidence: 95%

Non-linear cointegration between crude oil and stock markets: evidence from Asia-Pacific countries

Zhu

Rong

2013

IJGEI

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This paper aims to investigate the possible linkage and non-linear interaction between crude oil and stock markets using cointegration and causality tests. Daily data on world crude oil prices and the stock indices of Japan, Taiwan, South Korea, Australia, Indonesia, India, Singapore and Malaysia are selected for this study. Unlike the previous literature, by conducting a non-linear cointegration analysis, we obtain evidence of non-linear long-term equilibrium between crude oil and stock markets for the eight Asia-Pacific markets. The Granger causality tests demonstrate the existence of bidirectional short-run Granger causality between crude oil and these Asia-Pacific stock markets. The long-run Granger causality between them is unidirectional. However, the speed of adjustment toward long-run equilibrium is relatively slow.

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Macro shocks and the Japanese stock market

Cited by 15 publications

References 28 publications

The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries

The Influence of Oil Prices on Stock Market Returns: Empirical Evidence from Oil Exporting and Oil Importing Countries

Symmetric and Asymmetric Causal Relationship between Oil Prices and G7 Stock Markets: A Bootstrap Rolling-Window Granger Causality Test

Non-linear cointegration between crude oil and stock markets: evidence from Asia-Pacific countries

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