Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea

Masih, Rumi; Peters, Sanjay; Mello, Lurion De

doi:10.1016/j.eneco.2011.03.015

Cited by 181 publications

(95 citation statements)

References 40 publications

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“…They pointed out that the results show that emerging countries are subject to greater influence in the oil market as more intensive use of energy than advanced economies mainly because of the greater efficiency achieved. Similar strong reaction of stock returns on oil price changes have been documented by studies such as Evangelia [5], Masih et al [9] and Mohanty et al [7] but only partial evidence has been documented by Jones and Kaul [4] who find that the reaction of Canadian and US stock prices to oil price shocks can be completely accounted for by the impact of these shocks on real cash flows but not fully accounted for Japan and the UK. …”

Section: Literature Reviewmentioning

confidence: 70%

“…On the other hand, Sadorsky [14] finds that either an oil price change or its volatility has an impact on real stock returns. On the issue of volatility, Arouri et al [8] examine Gulf Cooperation Council (GCC) countries over the period 2005-2010 and Masih et al [9] on Korean market provide support on the importance of volatility in testing the relationship between the two variables. Also using data on GCC in examining impact of oil prices changes on stock returns from June 2005 to December 2009, Mohanty et al [7] find that except for Kuwait, stock return for other five GCC countries react positively to changes in oil prices.…”

Section: Source: Energy Information Administration (Eia) Internationamentioning

confidence: 99%

“…Hence, warrants further studies to be undertaken on this topic. A strand of literature related to oil prices focuses on the effect of oil price volatility on the volatility of stock markets (Arouri, Lahiani and Nguyen [8] and Masih, Peters & De Mello [9]. While the general impacts of oil price volatility on economic and stock markets remains to be demonstrated, an analysis of the impact of oil price volatility on the volatility of stock returns in emerging market such as Malaysia, is worth conducting for two principal reasons.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect

Janor¹,

Abdul-Rahman²,

Housseinidoust³

et al. 2013

JOEBM

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Abstract-This study examines the impact of oil price volatility on firm performance in the context of an emerging market, Malaysia. The effect of crude oil price on the performance is examined for the period of January 1986 to December 2011 using GARCH and EGARCH models reflecting the evaluation on volatility and asymmetric effects. Results indicate the significant effect of oil price volatility on stock market volatility and also the asymmetric effects. For policy makers, the findings help to clarify the dilemma of whether the government should subsidize or totally depend on global oil prices in ensuring the sustainability and competitiveness of Malaysian companies. In addition, the results may assist businessmen in managing cost structures in the event of rising oil prices in relation to both short term and long term planning and provide investors with a better picture of the exposure to oil price risks when investing in Malaysian companies.

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Section: Literature Reviewmentioning

confidence: 70%

Section: Source: Energy Information Administration (Eia) Internationamentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect

Janor¹,

Abdul-Rahman²,

Housseinidoust³

et al. 2013

JOEBM

View full text Add to dashboard Cite

show abstract

“…The results show that changes in the crude oil price significantly explain changes in the stock returns. Masih et al [10] reported that volatility of oil price determines real stock returns.…”

Section: Review Of Related Empirical Literaturementioning

confidence: 99%

Effects of Crude Oil and Gold Prices on US Stock Market: Evidence for USA from ARDL Bounds Testing

Rahman

Mustafa

2018

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This paper explores the effects of changes in crude oil and gold prices on US Stock market movement. Daily data are used from the first business day of January, 1986 to December 30, 2016. Efficient unit root tests (DF-GLS and Ng-Perron) are applied to examine the time series property of the variables in terms of stationarity or non-stationarity. ARDL Bounds Testing is applied for co-integration. Both DF-GLS and Ng-Perron tests confirm non-stationarity of each variable and depict behavior of all the variables in log-levels, included in this study. The ARDL-Bounds testing confirms co-integration among the variables. There is evidence of long-run convergence among all these variables with very tepid adjustment towards the equilibrium. Short-run negative effects of changes in gold and crude oil prices on US stock market returns are observed. The effect is statistically significant from gold price changes, but insignificant from crude oil price changes.

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“…Masih et al [6] studies the volatility impact of oil price on stock market return in Korea and the results estimated that there are the strong effects of oil price volatility on real stock market returns. Creti et al [7] identified the relationship between 25 commodities including crude oil and stocks.…”

Section: Introductionmentioning

confidence: 99%

Influence of Oil Price Volatility of Developed Countries on Emerging Countries Stock Market Returns by Using Threshold Based Approach

Arekar¹,

Jain²

2017

TEL

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This study reveals the nonlinear relationship between oil price volatility of the developed countries and emerging stock market returns. We analyzed the effects of oil price volatility of the developed markets i.e. India, United States and United Kingdom on the emerging stock market returns. We used VAR, Granger Causality, impulse responses and logistic transition based autoregressive model (LSTR) in two groups. In group one, we considered US oil price volatility with six emerging countries and regions stock market returns i.e. France, Spain, Malaysia, Japan, Singapore and Taiwan. In group two, we considered oil price with respect to India with the same six emerging countries stock market returns. The data covers the daily closing prices for seven years from 2011 to 2017 for emerging countries and for oil prices the data we use West Texas Intermediate (WTI) spot price of crude oil for US and India. This study helps the investors to understand the impact of oil prices of US and Indian market with respect to emerging markets and whether to identify the dependency of emerging stock markets returns on the oil prices of US and India. All the analysis was performed by using R and EVIEWS software.

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Oil price volatility and stock price fluctuations in an emerging market: Evidence from South Korea

Cited by 181 publications

References 40 publications

Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect

Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect

Effects of Crude Oil and Gold Prices on US Stock Market: Evidence for USA from ARDL Bounds Testing

Influence of Oil Price Volatility of Developed Countries on Emerging Countries Stock Market Returns by Using Threshold Based Approach

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