Effect of Oil Price on the Stock Market Return and Volatility in Six Major Oil Exporting Countries

This dissertation analyzes the dynamic relationship between oil price changes and stock market for the six main net oil exporting countries namely IRAN, RUSSIA, SAUDI ARABIA, NIGERIA, NORWAY and United Arab Emirates using weekly data from 16/1/2005–15/6/2010. The unrestricted multivariate Vector Aut...

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Main Author:	Amin, Masoud Yousefi
Format:	Thesis
Language:	English English
Published:	2011
Subjects:	Petroleum industry and trade - Economy aspects Petroleum industry and trade - Prices Stock exchanges
Online Access:	http://psasir.upm.edu.my/id/eprint/20808/1/FEP_2011_14_IR.pdf
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spelling	my-upm-ir.208082022-01-26T04:20:27Z Effect of Oil Price on the Stock Market Return and Volatility in Six Major Oil Exporting Countries 2011-08 Amin, Masoud Yousefi This dissertation analyzes the dynamic relationship between oil price changes and stock market for the six main net oil exporting countries namely IRAN, RUSSIA, SAUDI ARABIA, NIGERIA, NORWAY and United Arab Emirates using weekly data from 16/1/2005–15/6/2010. The unrestricted multivariate Vector Autoregressions (VAR) model with 4 parameters (stock market return, oil domestic price changes, industrial production growth and world market return) is estimated as well as impulse response function and variance decomposition. The bivariate BEKK GARCH (1, 1) model is also used to show the impact of oil price volatility spillover on stock market volatility. The empirical results of the impact of oil price shocks on the stock market return indicate that in most oil exporting countries, oil price shocks have undeniable effect on the stock market variation in the same week or in two weeks. However, the strength of shocks response in the stock market of countries changes adversely by the pick in RUSSIA and the least in NIGERIA and NORWAY. The comparison between impacts of oil price shocks and world market return shocks on the stock market show that in four out of six countries world market shocks have much more influential role in stock market variation than oil price shocks. By exception of NORWAY it is found that most of oil exporters’ countries are much more sensitive to the shock by fall in oil price. However, empirical evidence is supported higher effective impact of surge shocks in NORWAY stock market return. Taking to the account different levels of reaction to the positive and negative oil price shocks the asymmetric impact of oil price shocks is completely apparent among most of countries. In the sub-sample of 2005 to 2010 stock market have experienced high volatility weeks. Experimental findings of BEKK GARCH (1, 1) in the oil exporter countries financial market indicates that there is some strong evidence on linkage of lag-leads effect of oil price variation on stock market return volatility in RUSSIA, NIGERIA, NORWAY and IRAN. It is also highlighted that oil price volatility of first lag can be better traced by the domestic volatility identifications of oil price change in comparison to the US dollar. Petroleum industry and trade - Economy aspects Petroleum industry and trade - Prices Stock exchanges 2011-08 Thesis http://psasir.upm.edu.my/id/eprint/20808/ http://psasir.upm.edu.my/id/eprint/20808/1/FEP_2011_14_IR.pdf application/pdf en public masters Universiti Putra Malaysia Petroleum industry and trade - Economy aspects Petroleum industry and trade - Prices Stock exchanges Faculty of Economics and Management English
institution	Universiti Putra Malaysia
collection	PSAS Institutional Repository
language	English English
topic	Petroleum industry and trade - Economy aspects Petroleum industry and trade - Prices Stock exchanges
spellingShingle	Petroleum industry and trade - Economy aspects Petroleum industry and trade - Prices Stock exchanges Amin, Masoud Yousefi Effect of Oil Price on the Stock Market Return and Volatility in Six Major Oil Exporting Countries
description	This dissertation analyzes the dynamic relationship between oil price changes and stock market for the six main net oil exporting countries namely IRAN, RUSSIA, SAUDI ARABIA, NIGERIA, NORWAY and United Arab Emirates using weekly data from 16/1/2005–15/6/2010. The unrestricted multivariate Vector Autoregressions (VAR) model with 4 parameters (stock market return, oil domestic price changes, industrial production growth and world market return) is estimated as well as impulse response function and variance decomposition. The bivariate BEKK GARCH (1, 1) model is also used to show the impact of oil price volatility spillover on stock market volatility. The empirical results of the impact of oil price shocks on the stock market return indicate that in most oil exporting countries, oil price shocks have undeniable effect on the stock market variation in the same week or in two weeks. However, the strength of shocks response in the stock market of countries changes adversely by the pick in RUSSIA and the least in NIGERIA and NORWAY. The comparison between impacts of oil price shocks and world market return shocks on the stock market show that in four out of six countries world market shocks have much more influential role in stock market variation than oil price shocks. By exception of NORWAY it is found that most of oil exporters’ countries are much more sensitive to the shock by fall in oil price. However, empirical evidence is supported higher effective impact of surge shocks in NORWAY stock market return. Taking to the account different levels of reaction to the positive and negative oil price shocks the asymmetric impact of oil price shocks is completely apparent among most of countries. In the sub-sample of 2005 to 2010 stock market have experienced high volatility weeks. Experimental findings of BEKK GARCH (1, 1) in the oil exporter countries financial market indicates that there is some strong evidence on linkage of lag-leads effect of oil price variation on stock market return volatility in RUSSIA, NIGERIA, NORWAY and IRAN. It is also highlighted that oil price volatility of first lag can be better traced by the domestic volatility identifications of oil price change in comparison to the US dollar.
format	Thesis
qualification_level	Master's degree
author	Amin, Masoud Yousefi
author_facet	Amin, Masoud Yousefi
author_sort	Amin, Masoud Yousefi
title	Effect of Oil Price on the Stock Market Return and Volatility in Six Major Oil Exporting Countries
title_short	Effect of Oil Price on the Stock Market Return and Volatility in Six Major Oil Exporting Countries
title_full	Effect of Oil Price on the Stock Market Return and Volatility in Six Major Oil Exporting Countries
title_fullStr	Effect of Oil Price on the Stock Market Return and Volatility in Six Major Oil Exporting Countries
title_full_unstemmed	Effect of Oil Price on the Stock Market Return and Volatility in Six Major Oil Exporting Countries
title_sort	effect of oil price on the stock market return and volatility in six major oil exporting countries
granting_institution	Universiti Putra Malaysia
granting_department	Faculty of Economics and Management
publishDate	2011
url	http://psasir.upm.edu.my/id/eprint/20808/1/FEP_2011_14_IR.pdf
_version_	1747811471467741184

Effect of Oil Price on the Stock Market Return and Volatility in Six Major Oil Exporting Countries

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