2017
DOI: 10.1186/s40854-017-0052-2
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Dynamics of oil price shocks and stock market behavior in Pakistan: evidence from the 2007 financial crisis period

Abstract: Background: The aim of this study is to investigate the effect of the oil price and its volatility on the stock market of Pakistan before and after the 2007 financial crisis period. Methods: The analyses are carried out on daily data for the period from July 31, 2000 to July 31, 2014. This study uses several econometric techniques for the analyses, namely, the Johansen-Juselius cointegration test, generalized autoregressive conditional heteroskedasticity (GARCH) model, exponential generalized autoregressive co… Show more

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Cited by 24 publications
(16 citation statements)
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“…The scenario described as “crash in the global oil price due to the COVID-19 pandemic” justifies our search for a safe asset in the face of mounting global panic and increased risk aversion in the global financial markets [see also, Zhang et al, 2020 ; Salisu et al, 2020 ]. The first motivation for the choice of gold for this hedging purpose is consequent on its low variability, and its ability to preserve wealth during inflation and safeguard investment during financial crises/uncertainties [see Tully and Lucey, 2007 ; Shafiee and Topal, 2010 ; Narayan et al, 2010 ; Wang, 2013 ; Bildirici and Turkmen, 2015 ; Jebran et al, 2017 ; Uzo-Peters et al, 2018 ; Jin et al, 2019 ; Wei et al, 2019 ]. The second motivation to support our choice of gold rests on the inferences from Selmi et al (2018) that gold is a worthy hedging asset when facing severe oil price movements.…”
Section: Motivationmentioning
confidence: 99%
“…The scenario described as “crash in the global oil price due to the COVID-19 pandemic” justifies our search for a safe asset in the face of mounting global panic and increased risk aversion in the global financial markets [see also, Zhang et al, 2020 ; Salisu et al, 2020 ]. The first motivation for the choice of gold for this hedging purpose is consequent on its low variability, and its ability to preserve wealth during inflation and safeguard investment during financial crises/uncertainties [see Tully and Lucey, 2007 ; Shafiee and Topal, 2010 ; Narayan et al, 2010 ; Wang, 2013 ; Bildirici and Turkmen, 2015 ; Jebran et al, 2017 ; Uzo-Peters et al, 2018 ; Jin et al, 2019 ; Wei et al, 2019 ]. The second motivation to support our choice of gold rests on the inferences from Selmi et al (2018) that gold is a worthy hedging asset when facing severe oil price movements.…”
Section: Motivationmentioning
confidence: 99%
“…Also, Jebran et al (Jebran et al, 2017) investigate the effect of oil price and its volatility on the stock market in Pakistan. There are also studies that investigate the factors affecting the bitcoin's price such as Zhu et al (Zhu et al, 2017).…”
Section: Literature Reviewmentioning
confidence: 99%
“…The US subprime 2007 financial crisis has been providing researchers with opportunities to study firm behavior in crisis periods. 1 Like other emerging economies, Pakistan's economy was affected by the financial crisis (Jebran et al 2017a(Jebran et al , 2017b; corporate sectors faced problems in generating cash flow and capital. Considering the importance of funds that firms require in different situations, we designed our study to examine factors that are important in determining the corporate cash holdings in different contexts, namely, normal and crisis periods.…”
mentioning
confidence: 99%