[PDF] Top 20 The impact of oil market shocks on stock returns in major oil exporting countries: A Markov switching approach
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The impact of oil market shocks on stock returns in major oil exporting countries: A Markov switching approach
... crude oil-supply shocks due to changes in world oil production and global aggregate demand shocks due to changes in the world demand for oil resulting from business cycle ...third ... See full document
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Dynamic correlation between stock market and oil prices: The case of oil importing and oil exporting countries
... between stock market prices and oil prices for oil-importing and oil-exporting countries considering the origin of oil price ...of oil price shocks ... See full document
34
Non-Linear Relationships Among Oil Price, Gold Price and Stock Market Returns in Iran: A Multivariate Regime-Switching Approach
... the oil market price volatilities on key financial variables such as stock prices in the United States and thirteen developed ...between oil price volatility and stock index in the ... See full document
26
Does oil price uncertainty transmit to the Thai stock market?
... the impact of oil price changes on a large set of emerging stock market ...that oil price risk affects stock returns in those ...the impact of oil price ... See full document
11
Oil supply and demand shocks and stock price: Empirical evidence for some OECD countries
... the impact of both change and volatility of oil price variables on stock market returns under regime shifts in the case of Gulf Cooperation Council (GCC) ...a Markov ... See full document
26
Reaction of Stock Market Index to Oil Price Shocks
... the Markov switching model. The major disadvantages of these techniques include the presumptions of a symmetric relation between oil price and stock market index, the linearity ... See full document
30
Exchange rates of oil exporting countries and global oil price shocks: A nonlinear smooth transition approach
... between oil prices and exchange rates commonly applied linear cointegration methods and Granger causality ...and oil prices, Coudert et al. (2011) found a long-run elasticity between oil prices and ... See full document
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More on the Impact of Oil Price Shocks on Stock Market Returns: The Case of GCC Countries
... of stock markets in GCC countries to oil price ...GCC countries are major world energy market players, their stock markets are likely to be sensitive to oil price ... See full document
12
Influence of Oil Price Volatility of Developed Countries on Emerging Countries Stock Market Returns by Using Threshold Based Approach
... Greece stock market returns with oil prices ...in oil prices will lead to reduce stock market prices for US, UK and ...European oil importing ...volatility ... See full document
14
Impact of Direct and Indirect Oil Shocks on Iran's Energy-intensive industries stock returns (Appling Simultaneous Equation System on Panel Data)
... of oil revenue in oil- exporting countries and having a look on Iran's annual budget, it is expected that oil price shocks affect the structure of Iranian economy, specifically ... See full document
12
Does oil impact Islamic stock markets ? evidence from MENA countries based on wavelet and markov switching approaches
... financial market is estimated to be around US$230 billion, growing at a rate of 12% to 15% per ...funds market is one of the fastest-growing ...Islamic stock market is important to provide ... See full document
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Crude Oil Prices and Stock Markets in Major Oil Exporting Countries: Evidence on Decoupling Feature
... between stock markets and oil markets in developed economies to gauge the spillover effect of oil market shocks on capital ...Japan stock markets and oil price ...of ... See full document
16
Within and Cross Volatility Contagion Effects among Stock, Crude and Forex Returns: Empirical Evidence from Five Emerging Economies
... of market volatility can act like an electrocardiogram, reflecting the pulse of the underlying ...WTI returns exhibit the largest variance with pe- riods of high volatility and periods of low volatility ... See full document
18
Impact of Oil Prices on Stock Market Performance: Evidence from Top Oil Importing Countries
... of oil will expand consumption as well as an investment using the income and wealth channels and consequently economic activity and actual GDP for oil-related ...of oil demand are levied when ... See full document
14
Oil Price Volatility and Stock Price Volatility: Evidence from Nigeria
... weekly stock market data for Germany, Japan, Sweden, the United Kingdom, and the United States, from 1989 to ...British stock markets seem to have an asymmetric volatility-response to oil ... See full document
8
Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case
... of oil time series dynamic effects that include both short term shocks and long term ...on stock return series(stationary) for Open, High, Low and ...“cointegrating” returns exhibit ... See full document
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US stock market regimes and oil price shocks
... the oil price shocks are isolated and as such we claim that the oil price shocks have an incremental power in forecasting the state of the stock ...the oil price shocks ... See full document
30
How Indian CPI and Industrial Production Respond to Global Oil Price Shocks? Regime Dependent Impulse Responses
... A major challenge in macroeconomics time series modeling is to incorporate regime shifts in dynamic interactions (Granger ...the Markov Switching-Vector Autoregressive (MS-VAR) model and ... See full document
21
Oil Prices and Real Exchange Rates in Oil Exporting Countries: A Bounds Testing Approach
... between oil prices and exchange rates by estimating alternative conditional error-correction models (equation 6) with and as dependent variables, ...from oil prices to exchange rates in four ... See full document
15
Oil and Cars: The Impact of Crude Oil Prices on the Stock Returns of Automotive Companies
... crude oil has on the overall market and the car ...crude oil prices on the overall market differs from the model estimated for the car producers’ ...crude oil price change will have on ... See full document
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