Does oil price uncertainty transmit to the Thai stock market?

Jiranyakul, Komain

doi:10.18533/jefs.v2i04.148

Cited by 4 publications

(3 citation statements)

References 22 publications

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“…Accordingly, the literature offers various studies that examine the validity of theoretical arguments that associate oil price uncertainty with stock prices and or/returns via the investment and dividend channels for both the developed (see, Sadorsky (1999); Masih et al (2011); Alsalman (2016); Diaz et al (2016); Rahman (2021)) and emerging economies (see, Jiranyakul (2014); Aye (2015); Bass (2017); Benavides et al (2019)). 1 However, as Chen and Demirer (2022) note, the literature offers mixed evidence at best regarding the effect of oil price fluctuations on stock market dynamics with the majority of the studies documenting a negative oil price effect on stock market returns (e.g., Chen 2009;Basher et al 2012), while others find insignificant (Demirer et al 2015;Hatemi et al 2017) and, in some cases, positive (e.g., Zhu et al 2011;Silvapulle et al 2017) oil price effects.…”

Section: Introductionmentioning

confidence: 99%

Commodity Market Finance

2023

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He has served as an executive board member of the Japan Society of Monetary Economics and as Editor-in-Chief of the Japanese Journal of Monetary and Financial Economics. He is currently a board member of the Japan Finance Association and an academic advisor to the Financial Futures Association of Japan. He has published many research articles in the areas of foreign exchange, stocks, and bonds, as well as commodities.He received the Academic Encouragement Award from Murao Ikueikai in 2015 for his analysis of exchange rate finance.vii PrefaceThe world of commodity markets has undergone a major transformation over the past few decades, taking a major turn toward financialization. Since the early 2000s, commodities, once the domain of farmers, miners, and physical traders, have become increasingly important to investors, speculators, and financial institutions. This evolution has created a dynamic and ever-changing arena in which the various factors affecting the market are intricately intertwined.The dawn of the 21st century brought a series of events that had a profound impact on commodity markets. Rising international tensions, exemplified by the Cold War between the U.S. and China, highlighted the geopolitical nature of commodity markets. Meanwhile, the sudden and devastating outbreak of COVID-19 shocked the global economy, disrupting supply chains and causing roller coaster-like price volatility. In addition, Russia invaded Ukraine, and uncertainty spilled over into the markets, sending resource prices soaring.These cataclysmic events amplified the volatility inherent in commodity markets. At the same time, financial markets such as equities, bonds, and foreign exchange also showed volatility. The interaction between commodity and financial markets deepened and formed a complex nexus that came under close scrutiny from governments, corporations, and investors around the world.This reprint delves into recent developments in the commodity markets and elucidates the multifaceted factors that have shaped their trajectory. It examines how the interwoven dynamics of supply and demand, geopolitics, technology, and financialization have brought about a new era in commodity trading. By providing a comprehensive survey of these developments, we aim to provide insights that will help stakeholders successfully navigate the challenges and opportunities presented by this evolving landscape.We invite you to join us on this journey as we explore recent transformations in commodity markets and their far-reaching implications for the global economy. From the rise of renewable energy to the impact of climate change on commodity prices, we will traverse the complex web of factors that define this dynamic and evolving field. Special thanks are in store for all the authors involved in the publication of this reprint. I am also deeply grateful to Ms. Chelthy Cheng, Managing Editor of MDPI, for her help in planning this Special Issue. Finally, I would like to thank my wife Junko and my son Takumi for their support in my research life.

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Section: Introductionmentioning

confidence: 99%

Commodity Market Finance

2023

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Section: Introductionmentioning

confidence: 99%

Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model

Salisu

Gupta

Demirer

2022

JRFM

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This paper examines the propagation of oil price uncertainty shocks to real equity prices using a large-scale Global Vector Autoregressive (GVAR) model of 26 advanced and emerging stock markets. The GVAR framework allows us to capture the transmission of local and global shocks, while simultaneously accounting for individual-country peculiarities. Utilising a recently developed model-free, robust estimate of oil price uncertainty, we document a statistically significant and negative effect of uncertainty shocks emanating from oil prices on the large majority of global stock markets, with the adverse effect of oil price uncertainty shocks found to be stronger for emerging economies as well as net oil-exporting nations. Interestingly, however, global stock markets exhibit a great deal of heterogeneity in their recovery following oil uncertainty shocks as some experience rapid corrections in stock valuations while others suffer from extended slumps. While the results are sensitive to the oil uncertainty measure utilised, they suggest that country diversification in the face of rising oil market uncertainty can still be beneficial for global investors as global stock markets exhibit a rather heterogeneous pattern in their recovery rates against oil market shocks.

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“…Overall, the theoretical prediction is that oil-price uncertainty negatively impacts stock prices and/or returns via the investment and dividends channels. This hypothesis is widely Energies 2022, 15, 8436 2 of 26 empirically validated for developed economies [6][7][8][9][10] and emerging countries [11][12][13][14].…”

Section: Introductionmentioning

confidence: 99%

Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data

2022

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We investigate whether oil-price uncertainty helps forecast the international stock returns of ten advanced and emerging countries. We consider an out-of-sample period of August 1925 to September 2021, with an in-sample period between August 1920 and July 1925, and employ a quantile-predictive-regression approach, which is more informative relative to a linear model, as it investigates the ability of oil-price uncertainty to forecast the entire conditional distribution of stock returns Based on a recursive estimation scheme, we draw the following main conclusions: the quantile-predictive-regression approach using oil-price uncertainty as a predictor statistically outperforms the corresponding quantile-based constant-mean model for all ten countries at certain quantiles (capturing normal, bear, and bull markets), and over specific forecast horizons, compared to forecastability being detected for eight countries under the linear predictive model. Importantly, we detect forecasting gains in many more horizons (at particular quantiles) compared to the linear case. In addition, an oil-price uncertainty-based state-contingent spillover analysis reveals that the ten equity markets are connected more tightly at the upper regime, suggesting that heightened oil-market volatility erodes the benefits from diversification across equity markets.

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Does oil price uncertainty transmit to the Thai stock market?

Cited by 4 publications

References 22 publications

Commodity Market Finance

Commodity Market Finance

Oil Price Uncertainty Shocks and Global Equity Markets: Evidence from a GVAR Model

Oil-Price Uncertainty and International Stock Returns: Dissecting Quantile-Based Predictability and Spillover Effects Using More than a Century of Data

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