Do Global Financial, Oil and Gold Volatility Shocks Affect the GCC Stock Markets?

Alqahtani, Abdullah

doi:10.1177/2394901519870888

Cited by 5 publications

(5 citation statements)

References 27 publications

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“…A similar study was conducted on GCC countries to find out the degree of dependence between crude oil and equity markets (Mokni and Yousseff, 2019) and found there is a positive influence of crude prices on equity markets of GCC countries with a high degree of dependence on Saudi Arabia equity market. Ingalhalli et al (2016), Tursoy and Faisal (2017), Singh and Sharma (2018) and Alqahtani (2019) conducted studies considering the relationship between the stock market and more than two macroeconomic variables. Based on the discussion, since there is limited evidence of nexus between crude oil prices and Indian equity market; therefore, the study proposes to test the following hypothesis:…”

Section: Review Of Related Literaturementioning

confidence: 99%

A dynamic relationship between crude oil price and Indian equity market: an empirical study with special reference to Indian benchmark index Sensex

Yadav

Tandon

Tripathi

et al. 2020

BIJ

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PurposeThe purpose of the study is to investigate the long-run and short-run dynamic relationship between crude oil prices and the movement of Sensex for the period of 2000–2018.Design/methodology/approachThe study uses the augmented Dickey–Fuller test for the presence of unit root, Johansen cointegration test for estimating the cointegration among the variables. Further, in the case of no cointegration found, the study employed the vector autoregression (VAR) model to estimate the long-run relationship and the Granger causality/Wald test for short-run relationship. The study also conducted tests for the prerequisites of the model: serial correlation, heteroskedasticity and normality of data.FindingsThe study found that both the variables, crude oil prices and Sensex are integrated of order 1, that is, I (1), and there is no cointegration between them. Further, the results proliferated from the VAR model unfold the marked effect of previous month crude oil prices (lag 1) on the movement of Indian stock market represented by Sensex considered as the benchmark index. Furthermore, VAR–Granger causality/block exogeneity Wald tests results indicated that there is a causal relationship between the crude oil prices and Sensex under the VAR environment. The model does not have any serial correlation and heteroskedasticity indicating toward the unbiased and robust estimates.Research limitations/implicationsThe study is conducted till the year 2018, and data for the present period (post-2018) is excluded due to ongoing trade issues between the USA and oil-exporting countries such as Iran. The current COVID-19 outbreak has also put serious issues. Due to limited time and availability of standardized data, researchers have considered Sensex as equity index only, but for more generalized research outcome few other equity indexes could have been taken for study.Originality/valueThe study is completely original in nature and is an extensive study of the relationship between the crude oil price and Indian stock market with reference to causality between the variables.

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Section: Review Of Related Literaturementioning

confidence: 99%

A dynamic relationship between crude oil price and Indian equity market: an empirical study with special reference to Indian benchmark index Sensex

Yadav

Tandon

Tripathi

et al. 2020

BIJ

View full text Add to dashboard Cite

show abstract

“…Bouri et al (2017) find evidence to support the presence of cointegration relationships and nonlinear causality amongst the oil, gold, and Indian stock markets. Alqahtani (2019) A review of the above studies raises the following crucially important questions: Does a stable relationship between currency and other markets exist? If so, what are the correct magnitude and sign of this linkage?…”

Section: Review Of Related Literaturementioning

confidence: 99%

Nonlinear Dependence and Spillovers between Currency Markets and Global Financial Market Variables

Jiang¹,

Hernández²,

McIver³

et al. 2022

Preprint

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The widespread integration and growing dependence among currency, stock and commodity markets make these markets often very vulnerable to shocks and at risk of collapse at the same time. As a result, these trends threaten the sustainability of the entire financial system. In this study, we explore the spillovers and nonlinear dependences between the seven major foreign ex-change rates, crude oil and gold prices, a global stock price index, and oil and stock implied volatility indices as proxy variables for global risk factors by em-ploying directional spillover network approach. We also use multi-scale de-composition method and nonlinear causality test between these variables to capture multi-level relationships at short and long horizons. Major findings are summarized as follows. First, from the multi-scale decomposition analysis, we identify that Granger causality test results and the direction and strength of return spillovers change with the level of decomposition. Second, the results of nonlinear causality tests show variation in both the significance and direction of Granger causality relationships between the decomposed currency and other series at different timescales, especially for the decomposed oil, gold, and OVX series. Third, the measured directional spillover indices identify the EUR as the largest contributor of connectedness to the other series. The central role of the EUR is a net transmitter of connectedness to gold, oil, the GBP, JPY, and CHF.

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“…Bouri et al [46] found evidence to support the presence of cointegration relationships and nonlinear causality amongst the oil, gold, and Indian stock markets. Alqahtani [47] found that global gold volatility can transmit positive shocks to the UAE stock market and that the OVX and VIX can influence the GCC stock markets. Dutta et al [48] identified the presence of cointegration between oil and precious metal prices and nonlinear causality between oil and gold markets.…”

Section: Review Of Related Literaturementioning

confidence: 99%

Nonlinear Dependence and Spillovers between Currency Markets and Global Economic Variables

Jiang

Hernández

McIver

et al. 2022

Systems

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The widespread integration and growing systemic dependence among currency, stock, and commodity markets render these markets often very vulnerable to shocks and at risk of collapse at the same time. As a result, these trends threaten the sustainability of the entire financial system. In this study, we aim to explore the spillovers and nonlinear dependencies between the seven major foreign exchange rates, crude oil and gold prices, a global stock price index, and oil and stock implied volatility indices as proxy variables for global risk factors by employing a directional spillover network approach. We also use a multi-scale decomposition method and nonlinear causality test between these variables to capture multi-level relationships at short and long horizons. The major findings are summarized as follows. First, from the multi-scale decomposition analysis, we identify that Granger causality test results and the direction and strength of return spillovers change with the level of decomposition. Second, the results of nonlinear causality tests show variation in both the significance and direction of Granger causality relationships between the decomposed currency and other series at different timescales, especially for the decomposed oil, gold, and OVX series. Third, the measured directional spillover indices identify the Euro–Dollar exchange rate as the largest contributor of connectedness to the other series.

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Do Global Financial, Oil and Gold Volatility Shocks Affect the GCC Stock Markets?

Cited by 5 publications

References 27 publications

A dynamic relationship between crude oil price and Indian equity market: an empirical study with special reference to Indian benchmark index Sensex

A dynamic relationship between crude oil price and Indian equity market: an empirical study with special reference to Indian benchmark index Sensex

Nonlinear Dependence and Spillovers between Currency Markets and Global Financial Market Variables

Nonlinear Dependence and Spillovers between Currency Markets and Global Economic Variables

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