scholarly journals The Effects of Crude Oil Price Changes on the Indonesian Stock Market: A Sector Investigation

2016 ◽  
Vol 8 (1) ◽  
Author(s):  
Muhammad Hira Riga ◽  
Vika Indriana ◽  
Fariz Rahmanto
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Oil Price ◽  
Crude Oil Price ◽  
Price Changes

Crude Oil Price and Food Security Related Variables in Malaysia

2016 ◽  
Vol 4 (2) ◽  
pp. 17-21
Author(s):  
Shri Dewi Applanaidu ◽  
Mukhriz Izraf Azman Aziz
Keyword(s):  
Food Security ◽  
Crude Oil ◽  
Price Index ◽  
Price Volatility ◽  
Food Price ◽  
Oil Price ◽  
Crude Oil Price ◽  
Price Changes ◽  
Oil Price Volatility ◽  
Crude Oil Prices

Objective - This study analyzes the dynamic relationship between crude oil price and food security related variables (crude palm oil price, exchange rate, food import, food price index, food production index, income per capita and government development expenditure) in Malaysia using a Vector Auto Regressive (VAR) model. Methodology/Technique - The data covered the period of 1980-2014. Impulse response functions (IRFs) was applied to examine what will be the results of crude oil price changes to the variables in the model. To explore the impact of variation in crude oil prices on the selected food security related variables forecast error variance decomposition (VDC) was employed. Findings - Findings from IRFs suggest there are positive effects of oil price changes on food import and food price index. The VDC analyses suggest that crude oil price changes have relatively largest impact on real crude palm oil price, food import and food price index. This study would suggest to revisiting the formulation of food price policy by including appropriate weight of crude oil price volatility. In terms of crude oil palm price determination, the volatility of crude oil prices should be taken into account. Overdependence on food imports also needs to be reduced. Novelty - As the largest response of crude oil price volatility on related food security variables food vouchers can be implemented. Food vouchers have advantages compared to direct cash transfers since it can be targeted and can be restricted to certain types of products and group of people. Hence, it can act as a better aid compared cash transfers. Type of Paper - Empirical Keywords: Crude oil price, Food security related variables, IRF, VAR, VDC

The optimal thermal causal path analysis on the relationship between international crude oil price and stock market

Kybernetes ◽  
2018 ◽  
Vol 47 (6) ◽  
pp. 1242-1261 ◽  
Author(s):  
Can Zhong Yao ◽  
Peng Cheng Kuang ◽  
Ji Nan Lin
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Stock Markets ◽  
Oil Prices ◽  
Oil Price ◽  
Chinese Stock Market ◽  
Crude Oil Price ◽  
Content Type ◽  
Crude Oil Prices ◽  
Causal Path

Purpose The purpose of this study is to reveal the lead–lag structure between international crude oil price and stock markets. Design/methodology/approach The methods used for this study are as follows: empirical mode decomposition; shift-window-based Pearson coefficient and thermal causal path method. Findings The fluctuation characteristic of Chinese stock market before 2010 is very similar to international crude oil prices. After 2010, their fluctuation patterns are significantly different from each other. The two stock markets significantly led international crude oil prices, revealing varying lead–lag orders among stock markets. During 2000 and 2004, the stock markets significantly led international crude oil prices but they are less distinct from the lead–lag orders. After 2004, the effects changed so that the leading effect of Shanghai composite index remains no longer significant, and after 2012, S&P index just significantly lagged behind the international crude oil prices. Originality/value China and the US stock markets develop different pattens to handle the crude oil prices fluctuation after finance crisis in 1998.

scholarly journals CAUSAL NEXUS BETWEEN THE ANAMOLIES IN THE CRUDE OIL PRICE AND STOCK MARKET

2020 ◽  
Vol 10 (3) ◽  
pp. 233-238
Author(s):  
Iqbal Thonse Hawaldar ◽  
T. M. Rajesha ◽  
Lokesha Lokesha ◽  
Adel M. Sarea
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Oil Price ◽  
Crude Oil Price ◽  
Causal Nexus

scholarly journals THE ISLAMIC CAPITAL MARKET VOLATILITY: A COMPARATIVE STUDY BETWEEN IN INDONESIA AND MALAYSIA

2013 ◽  
Vol 15 (4) ◽  
pp. 391-415
Author(s):  
Muhammad Syafii Antonio ◽  
Hafidhoh Hafidhoh ◽  
Hilman Fauzi
Keyword(s):  
Exchange Rate ◽  
Stock Market ◽  
Crude Oil ◽  
Capital Market ◽  
Oil Price ◽  
Crude Oil Price ◽  
Short Term ◽  
Macroeconomic Variables ◽  
Jones Index

This study attempts to examine the short-term and long-term relationship among selected global anddomestic macroeconomic variables fromeach country (Fed rate, crude oil price, Dow Jones Index, interest rate, exchange rate and inflation) for Indonesia and Malaysia Islamic capital market (Jakarta Islamic Index (JII) and FTSE Bursa Malaysia Hijrah Shariah Index (FHSI). The methodology used in this study is vector error correction model (VECM) for the monthly data starting from January 2006 to December 2010. The result shows that in the long-term, all selectedmacroeconomic variables except Dow Jones Index variable have significantly affect in both Islamic stock market FHSI and JII, while in the short-term there is no any selected macroeconomic variables that significantly affect FHSI and only inflation, exchange rate and crude oil price variables seem to significantly affect JII. Keywords : Islamic Stock Market, Jakarta Islamic Index, FTSE Hijrah Shariah Index, VAR/VECMJEL Classification: E52, E44

scholarly journals THE IMPACT OF OIL PRICE ON STOCK MARKET:EMPIRICAL EVIDENCE FROM US

2021 ◽  
Vol 9 (1) ◽  
pp. 330-337
Author(s):  
Shanaz hakim , Tugut Tursoy,
Keyword(s):  
Stock Market ◽  
Crude Oil ◽  
Negative Impact ◽  
Positive Impact ◽  
Oil Price ◽  
P Value ◽  
Crude Oil Price ◽  
Crude Oil Prices ◽  
Interactive Relationship ◽  
The Impact

The analysis of this research focuses on the interactive relationship among the fluctuation of crude oil prices, the real GDP and the stock market of United State. This empirical investigation uses data is in between 1990 and 2018 with the Vector Auto-regression (VAR) analysis, and multiple regressions with its assumption were used in order to analyses data.  Findings, oil price and economic growth are very important determinates of stock market in US because the p-value of this were less than the common alpha α =0.05. For instance, the crude oil price had positive impact on stock market because for each unit increasing of crude oil price, the stock market will increase by (0.276901) after holding all other variable constant. However, we find that GDP has negative impact on the participations of increasing the stock market.

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