The Influence of Oil Price Fluctuations on Indonesian Stock Prices Through Wavelet Coherence

Amalia, Qoniti; Purqon, Acep

doi:10.1088/1742-6596/1204/1/012062

Cited by 2 publications

(6 citation statements)

References 2 publications

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“…In the studies of financial markets co-movement, wavelet coherence is usually used ( Nademi & Khochiany, 2017 ; Ftiti et al, 2016 ; Mensi et al, 2017; Huang et al, 2018 ; Gourène & Mendy, 2018 ; Khochiany, 2018 ; Pal & Mitra, 2019 ; Amalia & Purqon, 2019 ). Wavelet is a zero mean function that is located in time and frequency.…”

Section: Methodsmentioning

confidence: 99%

“…In some studies, the co-movement of the financial market is analyzed in a particular country (e.g., Aggarwal, 1981 ; Kim, 2003 ; Gilmore, Mcmanus, Sharma, & Tezel, 2009 ; Mishra, Das, & Mishra, 2010 ; Zhao, 2010 ; Akar et al, 2011; Hussin, Muhammad, Hussin, & Razak, 2012 ; Baig, Shahbaz, Imran, Jabbar, & Ain, 2013 ; Fallahi et al, 2014; Amiri et al,2015; Nademi & Khochiany, 2017 ; Huang et al, 2018 ; Khochiany, 2018 ; Amalia & Purqon, 2019 ). However, in some other studies, several countries are being studied.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Also, various other methods in econometrics have been used by researchers (e.g., Aggarwal, 1981 ; Nieh & Lee, 2001 ; Kim, 2003 ; Gilmore et al, 2009 ; Mishra et al, 2010 ; Zhao, 2010 ; Hussin et al, 2012 ; Samanta & Zadeh, 2012 ; Baig et al, 2013 ; Arfaoui & Rejeb, 2016; Chen, 2018 ; Bhatiai & Mitra, 2018 ). However, several studies, particularly in recent years, have used WCA method for the co-movement analysis of financial markets (e.g., Ftiti et al, 2016 ; Nademi & Khochiany, 2017 ; Mensi et al, 2017; Huang et al, 2018 ; Gourène & Mendy, 2018 ; Khochiany, 2018 ; Pal & Mitra, 2019 ; Amalia & Purqon, 2019 ).…”

Section: Literature Reviewmentioning

confidence: 99%

“…On the other hand, some studies have examined the co-movement of a pair of stock-exchange rates (e.g., Aggarwal, 1981 ; Nieh & Lee, 2001 ; Kim, 2003 ; Zhao, 2010 ; Khochiany, 2018 ; El Abed & Zardoub, 2019 ), the co-movement of a pair of stock-gold price (e.g., Gilmore et al, 2009 ; Mishra et al, 2010 ), the co-movement of a pair of stock-oil price (e.g., Ftiti et al, 2016 ; Huang et al, 2018 ; Gourène & Mendy, 2018 ; Bhatiai & Mitra, 2018 ; Pal & Mitra, 2019 ; Amalia & Purqon, 2019 ), the co-movement of stock, the exchange rate, and gold prices (e.g., Akar et al, 2011; Fallahi, Panahi, & Karimi Kandoleh, 2018 ; Nademi & Khochiany, 2017 ), the co-movement of stock, oil, and gold prices (e.g., Baig et al, 2013 ; Mensi et al, 2017), the co-movement of stock, the exchange rate, and oil prices (e.g., Hussin et al, 2012 ), the co-movement of exchange rate, gold, and oil prices (e.g., Amiri & Falahi, 2015 ), and the co-movement of the exchange rate, stock, gold, and oil prices (e.g., Samanta & Zadeh, 2012 ; Arfaoui & Rejeb, 2016).…”

Section: Literature Reviewmentioning

confidence: 99%

“…There are a few studies that have used WCA to study the co-movement of financial markets (e.g., Ftiti, Guesmi, & Abid, 2016 ; Mensi et al, 2017; Huang, An, Huang, & Jia, 2018 ; Gourène & Mendy, 2018 ; Khochiany, 2018 ; Pal & Mitra, 2019 ; Amalia & Purqon, 2019 ). In Iran, only two studies have investigated this topic ( Khochiany, 2018 ; Nademi & Khochiany, 2017 ).…”

Section: Introductionmentioning

confidence: 99%

See 4 more Smart Citations

The cross-impact between financial markets, Covid-19 pandemic, and economic sanctions: The case of Iran

Samadi

Owjimehr

Halafi

2021

Journal of Policy Modeling

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The main financial markets in the Iranian Economy include the stock exchange, foreign exchange, oil, and gold markets. The sharp fluctuations in these markets, especially those caused by the severe sanctions imposed on Iran in May 2018, and the pandemic outbreak of Covid-19 have led to more confusion and uncertainty among investors. One of the effective approaches to examine such unstable conditions is to study the co-movement(s) between markets to identify the leading variable(s). Thus, in the present study, Wavelet Coherence Analysis was applied to examine the co-movements between markets in a time period from September 2014 to June 2020, as an intense period of uncertainty in Iran. In other words, in this study, the markets were investigated in different sub-periods. Also, the Segmented Regression was performed to estimate the impact of sanctions and the Covid-19 pandemic on the co-movements of financial markets in Iran. The results showed that the oil price had a low co-movement with the other three markets, i.e. stock exchange, exchange rate, and gold markets. Thus, the oil market can be a suitable alternative for risk aversion investors. Meanwhile, the oil market could also act as a source of finance for the government during the sanctions period. That possibly explains the recent decision by the Iranian government to use the oil market to finance its budget deficit. Between the exchange rate and gold price, the gold price was identified as the leading variable. While the exchange rate and gold price did not show a significant co-movement in stable conditions, they did show a significant co-movement in unstable conditions, as in times of sanctions or during a global pandemic and thus influenced the investors’ portfolio risk. This result is important from a policy-making perspective. Based on this result, the policymakers can, especially during crises and unstable conditions, control the gold market and make it more stable by managing the foreign exchange market.

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Section: Methodsmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 3 more Smart Citations

The cross-impact between financial markets, Covid-19 pandemic, and economic sanctions: The case of Iran

Samadi

Owjimehr

Halafi

2021

Journal of Policy Modeling

View full text Add to dashboard Cite

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The Time–Frequency Relationship between Oil Price, Stock Returns and Exchange Rate

Das

2021

J Bus Cycle Res

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The concept of time scales is essential for modeling financial decisions. This paper investigates time-frequency relationships across time scales between stock market returns, crude oil prices and exchange rates by applying wavelet analysis technique over the period 1999 to 2021. We find evidence of several strong co-movements between oil price and stock market and between oil price and foreign exchange rate in India. Each of these associations is linked with some important macroeconomic events. This implies economic shocks in developed market have a spillover effect on Indian market. The phase relationships indicate stock returns are in phase with oil prices and exchange rates are in out of phase with oil prices. We find that the impact of volatility at lower scale has a short term effect on the variables. Further, the wavelet coherency at high scale has slower changes with long term effect on the relationship between the variables of our interest. These results are useful for investors aiming specific time horizon of their investment and preferences, for portfolio managers and in risk assessment. Understanding the leading and lagging relationships will also help in business cycle based investing by detecting the subsequent business cycle fluctuations and forecasting the trend.

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The Influence of Oil Price Fluctuations on Indonesian Stock Prices Through Wavelet Coherence

Cited by 2 publications

References 2 publications

The cross-impact between financial markets, Covid-19 pandemic, and economic sanctions: The case of Iran

The cross-impact between financial markets, Covid-19 pandemic, and economic sanctions: The case of Iran

The Time–Frequency Relationship between Oil Price, Stock Returns and Exchange Rate

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