Oil price risk in the Eurozone: a sectoral analysis
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DOIhttp://dx.doi.org/10.21511/ppm.15(3).2017.09
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Article InfoVolume 15 2017, Issue #3, pp. 108-118
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This study investigates how oil price movements impact the main Eurozone industry supersectors returns. We use a multifactor market model in which we incorporate oil price changes as an additional risk factor. In order to account for possible breaks in the relationship, we use the Bai and Perron (1998, 2003) breakpoints identification methodology. We find evidence of the presence of structural instabilities on the relationship between sector stock returns and oil price changes. Different breakpoints are identified, particularly the 2003 Iraq invasion year, the 2008 subprime crisis and the 2012 Euro debt crisis. Moreover, our results prove that stock return sensitivities to oil prices are time varying and sector dependent. Besides, the subprime financial crisis appears to induce a significantly positive effect on the oil-stock market nexus. However, the Euro debt crisis has a mostly negative effect. The other identified breakpoints do not seem to have any significant effect on the oil stock market nexus.
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JEL Classification (Paper profile tab)C22, G12, Q43
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References36
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Tables3
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Figures0
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- Table 1. Descriptive Statistics.
- Table 2. Multiple breakpoints identification: Bai and Perron (1998, 2003) Test.
- Table 3. Results of sub-samples estimations with OILR as independent variable
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Modeling the relationships among gold price, oil price, foreign exchange, and the stock market index in Thailand
Supachok Thakolsri
doi: http://dx.doi.org/10.21511/imfi.18(2).2021.21
Investment Management and Financial Innovations Volume 18, 2021 Issue #2 pp. 261-272 Views: 1058 Downloads: 485 TO CITE АНОТАЦІЯThis study examines the relationship among the price variables in the Thailand stock market, the foreign exchange market, the international gold market, and the crude oil market. Specifically, the study investigates whether (1) there exists a long-run equilibrium among oil price, gold price, foreign exchange, and the stock market index in Thailand, and (2) there is any dynamic effect of each asset market on other asset markets. All asset price series have shown both upward and downward trends over the study period. All monthly series in four markets from January 2000 to December 2018 are nonstationary and are integrated of order one. Then, the Johansen cointegration test is employed. The normalized cointegrating coefficients are negative. Such empirical result reveals that a significant long-run relationship exists among price variables in all asset markets, so that each asset class acts as a hedge against each other. The Granger causality test shows that the causations run from the stock price to the foreign exchange rate and the international gold price to the foreign exchange rate. Other short-run relationships have no significant causal links.
