Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns

Urom, Christian; Onwuka, Kevin O.; Uma, Kalu E.; Yuni, Denis Nfor

doi:10.1016/j.inteco.2019.10.004

Cited by 8 publications

(1 citation statement)

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“…Singh & Sharma (2018) present that during the crisis period, both crude oil and Sensex models show long-run causality, however, in some cases, results indicate short-run causality and there is one-way causality from USD and Sensex to crude oil, and from gold and Sensex to USD. Urom et al (2020) show a substantial level of business cycle spillover among the markets with crude oil. show that the real financial risk is much higher than the importer might believe if physical risks are not considered, unless the importer is risk neutral, more forward crude oil will be imported when physical risks are considered, and the distribution of forward crude oil will depend strongly on correlations among risks.…”

Section: Literature Reviewmentioning

confidence: 99%

The Effect of Crude Oil Price on Merchandise Trade: Evidence from East Asia and Pacific

Artha

Bahri

Asri

et al. 2021

JBMR

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One of the most important production inputs is energy, particularly crude oil. The impacts of oil price fluctuations on global trade flows can be understood by the uncertainty channel, fluctuations in oil prices may create uncertainty about the future path of the oil price, causing consumers to postpone irreversible purchases of consumer durable goods, and also causing firms to postpone irreversible investments, and also recent hikes and fluctuations in oil prices since 1999 have attracted attention and invoked concerns about their devastating effects on a variety of economic activities. The objective of this research is to determine the influence of crude oil price to merchandise trade in East Asia and Pacific. This research uses quantitative methods and linear regression analysis. The results of the analysis show that there is negative and significance effect of crude oil price on merchandise trade in East Asia and Pacific for the period 1987 – 2019.

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Section: Literature Reviewmentioning

confidence: 99%