Disentangling the role of the exchange rate in oil-related scenarios for the European stock market

Ferreiro, Javier Ojea

doi:10.1016/j.eneco.2020.104776

Cited by 4 publications

(4 citation statements)

References 67 publications

(68 reference statements)

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“…The long-term correlation between exchange rates and oil prices, along with their influencing factors, was evaluated by Yang et al (2018) using dynamic conditional correlation-mixed data sampling (DCC-MIDAS) on the exchange rates of Japan, Canada, Germany, and Eurozone-based USD and crude oil data. According to Ferreiro (2020), the issue in the literature lies in how the stock market responds to a distressed scenario caused by oil prices in the local currency. To address this, he proposed creating an oil-related scenario that takes into account the source of risk.…”

Section: Literature Reviewmentioning

confidence: 99%

Dependence Structure and Time–Frequency Impact of Exchange Rates on Crude Oil and Stock Markets of BRICS Countries: Markov-Switching-Based Wavelet Analysis

Mudiangombe

Mwamba

2023

JRFM

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This paper used the Markov-switching (MS)-based wavelet analysis technique to study the dependence structure and the time–frequency impact of exchange rates on crude oil prices (West Texas Intermediate (WTI)) and stock returns. Daily data from 1 January 2005 to 1 March 2020 were collected for exchange rates, crude oil prices, and the BRICS stock market returns. The findings indicate that crude oil prices display higher volatility compared to stock returns and exchange rates. Furthermore, the wavelet analysis reveals consistent changes in the co-movement patterns of both volatility regimes, albeit with some variations in the time periods and frequency domains. The time–frequency dependence between Brazilian, Indian, and Chinese stock markets and crude oil is significantly influenced by exchange rates, which play a pivotal role in their co-movement in the medium term. The findings reveal that these three countries share economic interests, have strong economic ties and interdependencies, and may be motivated to cooperate during crisis periods. However, when it comes to Russia and South Africa (SA), exchange rates do not exhibit a long-term impact on the co-movement in time–frequency. Therefore, we recommend investors to look for investment opportunities that are less correlated with the co-moving markets.

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Section: Literature Reviewmentioning

confidence: 99%

Dependence Structure and Time–Frequency Impact of Exchange Rates on Crude Oil and Stock Markets of BRICS Countries: Markov-Switching-Based Wavelet Analysis

Mudiangombe

Mwamba

2023

JRFM

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“…They argued that stock market irregularities are more significant as oil prices rise due to increased demand for the resource since returns associated with anomalies indicate market manipulation. A study done by Ferreiro [47] showed losses due to the decrease in oil price in U.S. dollars and, on the contrary, gains for oil prices in euros highlighted the impact of exchange rate on global markets.…”

Section: Literature Reviewmentioning

confidence: 99%

Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

Shahid¹,

Sun²,

Pk³

2021

Preprint

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This study will investigate different signals and events/news that determined the stock market's movements. As we know, many factors affect the stock market on a daily, weekly, and monthly basis, e.g., rate of interest, exchange rate, and oil prices, etc. Our research will investigate the impact of daily events/news in the KSE-100 index due to several policies announced and events/news in the country because the daily movements in the stock market can be determined only by different signals and events/news. Time series data is collected daily for particular reasons from "The News" (Daily Newspaper, Sunday edition) from 2010 to 2019. The results of this study show that political and global news affects the stock market index ferociously. For investors, the investment in blue chips is not less than a safe haven. When day-to-day transactions are concerned, there is always a higher panic attack than the herd behaviour in the stock exchange. Investors tend to make prompt responses to negative rather than positive news, which makes them risk averters. Our finding also confirmed that the ARCH/GARCH model is better than the simple OLS method concerning stock market upheaval.

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“…The most recent literature on this topic uses copula theory to show the increasing co-movement between the commodity and equity markets (Ojeda, 2020;Tiwari et al 2020, Aepli et al 2017.…”

Section: Introductionmentioning

confidence: 99%

Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach

Gaete,

Herrera

2023

Journal of Commodity Markets

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Disentangling the role of the exchange rate in oil-related scenarios for the European stock market

Abstract: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB.

Cited by 4 publications

References 67 publications

Dependence Structure and Time–Frequency Impact of Exchange Rates on Crude Oil and Stock Markets of BRICS Countries: Markov-Switching-Based Wavelet Analysis

Dependence Structure and Time–Frequency Impact of Exchange Rates on Crude Oil and Stock Markets of BRICS Countries: Markov-Switching-Based Wavelet Analysis

Daily Stock Movements Through the Lens of Event and News: Evidence from the Pakistan Stock Exchange

Diversification benefits of commodities in portfolio allocation: A dynamic factor copula approach

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