Does the source of oil price shocks matter for South African stock returns? A structural VAR approach

Gupta, Rangan; Modise, Mampho P.

doi:10.1016/j.eneco.2013.10.005

Cited by 106 publications

(48 citation statements)

References 36 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…They find that in most of these markets returns respond significantly negatively to oil shocks. This negative relationship is confirmed for South Africa by Gupta and Modise (2013). Recognizing that mean spillovers between oil and financial markets may not be covering the entire story, some studies (i.e.…”

Section: Literature Reviewmentioning

confidence: 95%

Oil prices and financial stress: A volatility spillover analysis

2015

Self Cite

View full text Add to dashboard Cite

Volatility spillover between oil prices and financial stress index is examined. Analysis is conducted for sub-periods: pre-crisis, in-crisis, and post-crisis Oil prices spill on financial stress before the crisis, but spillover reversed after the crisis. Volatility transmission pattern has similar dynamics before and after the crisis. Implications for investors and policy makers are discussed. Keywords:Oil prices Financial stress index Causality Volatility spillover abstract This paper examines whether there is a volatility transmission between oil prices and financial stress by means of the volatility spillover test. We employ WTI crude oil prices and Cleveland financial stress index for the period 1991-2014 and divide the sample into pre-crisis, in-crisis, and post-crisis periods due to the downward trend in oil price in 2008. The volatility model estimations indicate that oil prices and financial stress index are dominated by longrun volatility. The volatility spillover causality test supports evidence on risk transfer from oil prices to financial stress before the crisis and from financial stress to oil prices after the crisis. The impulse response analysis shows that the volatility transmission pattern has similar dynamics before and after the crisis and is characterized by higher and long-lived effects during the crisis. Our results have implications for both policy makers and investors, and for future work.

show abstract

Section: Literature Reviewmentioning

confidence: 95%

Oil prices and financial stress: A volatility spillover analysis

2015

Self Cite

View full text Add to dashboard Cite

show abstract

“…Our first contribution is to the literature which has shown that oil prices predict/impact stock returns. Gupta and Modise (2013), for instance, show that different oil price shocks affect South African stock returns differently; that oil prices matter for European and emerging stock returns have been confirmed by Cunado and de Gracia (2014) and Asteriou and Bashmakova (2013), respectively; the effect of oil price shocks on industry/sector returns have been documented in Elyasiani et al (2011) and Lee et al (2012); and, there are several individual country-based studies that confirm a statistical relationship between oil prices and stock returns (see Ghosh and…”

Section: Introductionmentioning

confidence: 95%

Has oil price predicted stock returns for over a century?

2015

Self Cite

View full text Add to dashboard Cite

This paper contributes to the debate on the role of oil prices in predicting stock returns. The novelty of the paper is that it considers monthly time-series historical data that span over 150 years (1859:10-2013:12) and applies a predictive regression model that accommodates three salient features of the data, namely, a persistent and endogenous oil price, and model heteroskedasticity. Three key findings are unraveled: First, oil price predicts US stock returns.Second, in-sample evidence is corroborated by out-sample evidence of predictability. Third, both positive and negative oil price changes are important predictors of US stock returns, with negative changes relatively more important. Our results are robust to the use of different estimators and choice of in-sample periods.JEL classification: C22, E37, G17, Q43

show abstract

“…The effect of an oil supply shock is found to be positive (Basher et al 2012;Abhyankar et al 2013) or negative (Gupta and Modise 2013; Cunado and de Gracia 2014). For oil-specific demand shocks, however, the empirical evidence almost unanimously suggests a negative effect on equity returns in oil-importing countries (Filis et al 2011;Basher et al 2012;Abhyankar et al 2013;Gupta and Modise 2013;Güntner 2014;Koh 2017) and a positive effect for Norway, an oil-exporting nation.…”

Section: Introductionmentioning

confidence: 99%

Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis

Fazelabdolabadi¹

2019

Financ Innov

View full text Add to dashboard Cite

This study investigates whether the implied crude oil volatility and the historical OPEC price volatility can impact the return to and volatility of the energy-sector equity indices in Iran. The analysis specifically considers the refining, drilling, and petrochemical equity sectors of the Tehran Stock Exchange. The parameter estimation uses the quasi-Monte Carlo and Bayesian optimization methods in the framework of a generalized autoregressive conditional heteroskedasticity model, and a complementary Bayesian network analysis is also conducted. The analysis takes into account geopolitical risk and economic policy uncertainty data as other proxies for uncertainty. This study also aims to detect different price regimes for each equity index in a novel way using homogeneous/non-homogeneous Markov switching autoregressive models. Although these methods provide improvements by restricting the analysis to a specific price-regime period, they produce conflicting results, rendering it impossible to draw general conclusions regarding the contagion effect on returns or the volatility transmission between markets. Nevertheless, the results indicate that the OPEC (historical) price volatility has a stronger effect on the energy sectors than the implied volatility has. These types of oil price shocks are found to have no effect on the drilling sector price pattern, whereas the refining and petrochemical equity sectors do seem to undergo changes in their price patterns nearly concurrently with future demand shocks and oil supply shocks, respectively, gaining dominance in the oil market.

show abstract

Does the source of oil price shocks matter for South African stock returns? A structural VAR approach

Cited by 106 publications

References 36 publications

Oil prices and financial stress: A volatility spillover analysis

Oil prices and financial stress: A volatility spillover analysis

Has oil price predicted stock returns for over a century?

Uncertainty and energy-sector equity returns in Iran: a Bayesian and quasi-Monte Carlo time-varying analysis

Contact Info

Product

Resources

About