The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries

Kösedağlı, Begüm Yurteri; Kışla, Gül Huyugüzel; Çatık, Abdurrahman Nazif

doi:10.1186/s40854-020-00224-y

Cited by 4 publications

(1 citation statement)

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“…In addition, some of these studies find asymmetric trends (e.g. Ko¨sedag˘lı, 2021;Narayan & Sharma, 2011, 2014Ramos & Veiga, 2011;Sadorsky, 2001Sadorsky, , 2008Sanusi & Ahmad, 2016) and lag patterns (Phan et al, 2015;Sanusi & Ahmad, 2016) in the O&G stock price response to oil price risk factor. However, these studies have overlooked the asymmetric and lag effects of other O&G industry risk factors that may also influence O&G stock returns as much as the oil price risk factor.…”

Section: Introductionmentioning

confidence: 99%

Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks

et al. 2023

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This study examines asymmetric and the lag effects of oil price, gas price, and exchange rate on stock performance of the Malaysian oil and gas sub-industries. Using company-level data and multi factor asset pricing models, this study found that oil price, gas price, exchange rate, and common systematic risk factors such as market, size, and book-to-market have significant effects on the stock performance of Malaysian oil and gas sub-industries, but these exposures remain heterogeneous. Oil price and exchange rate show strong asymmetrical impacts on stock performance when decomposed into oil price increases (decreases) and exchange rate depreciation (appreciation). Increases in oil price and exchange rate depreciation have a greater impact on stock performance of oil and gas industry than decreases in oil price and exchange rate appreciation. Oil price, gas price, and exchange rate exhibit lag effects on the performance of oil and gas stocks. The findings have important asset pricing implications for profitable investment and portfolio strategies based on oil and gas risk factors for oil-exporting country. JEL Classifications: C13; C58; G10; G12; G14; Q4

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Section: Introductionmentioning

confidence: 99%

Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks

et al. 2023

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The impact of the monetary policy of the Federal Reserve System of the United States on world oil prices

Tenkovskaya

2023

Vestnik of Samara University. Economics and Management

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The relevance of the presented scientific research lies in the search for new data on foreign economic factors that can change world oil prices. The purpose of the study is to predict the prices of Brent crude oil based on the impact of new external economic factors, because the influence of supply and demand in the energy market has significantly weakened. To achieve the purpose of the study, the following tasks were solved: the theoretical foundations of the oil market were considered; a methodological approach to forecasting world oil prices was selected; as a result, an equation of multiple linear regression with independent variables in the form of indicators of the monetary policy of the United States is constructed, which makes it possible to make a forecast of world oil prices. The research involves general and special scientific methods: analysis, synthesis, monographic, statistical (graphical, tabular, centered moving average method, correlation and regression analysis). The scientific novelty of the study is as follows: based on statistical data on Brent crude oil prices, the effective federal funds rate of the US Federal Reserve, the M2 monetary aggregate in the US, the US dollar index, the US core personal consumption expenditure price index, the unemployment rate in the US for the period January 2014 January 2023, the equation is constructed multiple linear regression with the function of forecasting Brent crude oil prices. The above equation of multiple linear regression reflects the noticeable influence of the monetary policy of the US Federal Reserve System on world oil prices.

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Reactions of stock returns to asymmetric changes in exchange rates and oil prices

Umoru

Effiong

Umar

et al. 2023

CGOBR

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When an economy does well as a result of crude oil proceeds, it is expected that its financial market records a boost. So, when the economy regresses due to fluctuations in oil prices, its financial market also reacts in tandem. To shed light on the uninterrupted fluctuations, we empirically estimated the effect of changes in exchange rates and oil prices on stock returns in developing countries using the nonlinear autoregressive distributed lag (NARDL) methodology. Results reveal that a 1 percent negative shock to the exchange rate diminished returns significantly by 1.015 percent and 2.191 percent for Egypt and Nigeria respectively whereas, in Tunisia, Morocco, and Tanzania, stock returns increased significantly by 0.118 percent, 0.176 percent, and 1.145 percent respectively. For every 1 percent positive shock to exchange rates in Egypt, Nigeria, Tunisia, Morocco, and Tanzania, returns declined by 1.012 percent, 1.04 percent, 0.015 percent, 0.112 percent, and 0.214 percent respectively. A 1 percent positive shock in oil price negatively influences returns by 0.02 percent, 0.05 percent, 0.18% percent, 1.09 percent, and 0.25 percent in Egypt, Nigeria, Tunisia, Morocco, and Tanzania while a 1 percent negative shock stimulated stock returns by 1.02 percent, 0.128 percent, 0.199 percent, 1.029 percent and 0.091 percent in Egypt, Nigeria, Tunisia, Morocco, and Tanzania respectively. Different policy reaction functions should be executed differently for depreciation, appreciation, and oil price shock to enhance the favorable flow of returns in stock markets

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The time-varying effects of oil prices on oil–gas stock returns of the fragile five countries

Cited by 4 publications

References 55 publications

Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks

Asymmetric and Lag Effects of Industry Risk Factors on the Malaysian Oil and Gas Stocks

The impact of the monetary policy of the Federal Reserve System of the United States on world oil prices

Reactions of stock returns to asymmetric changes in exchange rates and oil prices

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