Impact of Foreign Exchange Reserve, Exchange Rate and Crude Oil Price on Dhaka Stock Exchange Index: An Empirical Evidence from Vector Error Correction Model

Golder, Uttam; Islam, Md. Nazrul; Kayser, Md. Shahidullah

doi:10.46281/ijfb.v4i1.633

Cited by 12 publications

(13 citation statements)

References 11 publications

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“…While the findings obtained from the study obtained similar findings with the studies performed by Dursun and Özcan (2019), Le and Chang (2011) ve Zhang et al (2020), Golder et al (2020) and Wanat et al (2015) found contradictory findings with the studies conducted. However, the effect of the variables used in the studies and the length of the data set on the results should be analyzed separately.…”

Section: Model I →supporting

confidence: 72%

The Causality Relationship between Energy Prices and Developed Countries Indices

Soylemez¹

2020

BRFB

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The aim of this study is to determine the causality relationship between energy prices, which are among the most important inputs of the economy, and selected stock market indices of developed countries. Crude oil and natural gas are used as energy variables. G7 countries were selected to represent developed countries. Stock indices used in the study are Dow&Jones (USA), DAX (Germany), CAC40 (France), FTSE250 (England), FTSE Italia All-Share (Italy), NIKKEI225 (Japan), and S&P/TSX (Canada). In the study, Johansen (1988) cointegration test and Granger (1969) causality test were used to analyze the causality relationship between energy prices and selected stock market indices. The research could not find a long-term balance relationship between energy prices and developed country indices. Also, while the causality relationship was determined between crude oil prices and NIKKEI225, DAX, and CAC40 indices, a causal relationship between natural gas prices and Dow&Jones and FTSE250 indices was determined. In the study, it was found that energy prices can be used for diversification in investments to be made with stock market indices of developed countries. This study is one of the most comprehensive studies in the literature that examines the relationship between energy prices and the stock market indices of G7 countries. It is expected to contribute to the literature in this way.

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Section: Model I →supporting

confidence: 72%

The Causality Relationship between Energy Prices and Developed Countries Indices

Soylemez¹

2020

BRFB

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“…In the causality study, a one-way causality relationship from stock market indexes to oil prices and from natural gas prices to stock market indexes was determined. Golder et al (2020) could not find a causality relationship between crude oil prices and the stock market index in their study. In another study, Le and Chang (2011) found that the Japanese stock market reacted positively to the change in oil prices.…”

Section: Literature Reviewmentioning

confidence: 73%

The causality relationship between energy prices and developed countries indices

Soylemez¹

2021

BRSS

View full text Add to dashboard Cite

The aim of this study is to determine the causality relationship between energy prices, which are among the most important inputs of the economy, and selected stock market indices of developed countries. Crude oil and natural gas are used as energy variables. G7 countries were selected to represent developed countries. Stock indices used in the study are Dow & Jones (USA), DAX (Germany), CAC40 (France), FTSE250 (England), FTSE Italia All Share (Italy), NIKKEI225 (Japan), and S&P/TSX (Canada). In the study, Johansen (1988) cointegration test and Granger (1969) causality test were used to analyse the causality relationship between energy prices and selected stock market indices. The research could not find a long-term balance relationship between energy prices and developed country indices. Also, while the causality relationship was determined between crude oil prices and NIKKEI225, DAX, and CAC40 indices, a causal relationship between natural gas prices and Dow & Jones and FTSE250 indices was determined. In the study, it was found that energy prices can be used for diversification in investments to be made with stock market indices of developed countries. This study is one of the most comprehensive studies in the literature that examines the relationship between energy prices and the stock market indices of G7 countries. It is expected to contribute to the literature in this way.

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“…It is crucial in research to select a suitable lag length of the series before starting with the ARDL technique, as long-run relationship of variables relies on optimum lag size [39]. Introducing excess lags or applying fewer lags almost certainly omits factual information from the model and may result in inaccurate model estimates [40]. Considering this fact, this study determines lag size using the Akaike Information Criterion (AIC).…”

Section: Resultsmentioning

confidence: 99%

Finance-Growth Nexus in Bangladesh: Is it Important to Quantify Financial Development?

Golder¹,

Sultana²,

Hossain³

et al. 2021

ujaf

Self Cite

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This study aims to examine empirically whether financial development can promote economic growth in Bangladesh. It employs the Autoregressive Distributed Lag (ARDL) model and takes annual data from 1987 to 2019. This study confirms a cointegrating relationship between financial development and economic growth. The nature of this relationship is unidirectional, running from financial development to economic growth. The outcome of the study confirms that financial development, as proxied by private sector loans and broad money supply, augments economic growth in the long-run. As for the control variables, gross domestic savings show an insignificant impact on economic growth when private sector loans are proxied for financial development. However, it confirms a substantial impact on economic growth when broad money supply is proxied for financial development. More interestingly, trade openness, another control variable, suggests an adverse impact on economic growth in the long-run. However, it has a substantial positive influence on economic growth in the short-run. In the short-run, broad money supply at lag 2 and gross domestic savings significantly affect economic growth when broad money supply is proxied for financial development. The findings of this study advocate that a robust and dynamic financial structure in Bangladesh is a critical success factor for developing the country's economic growth.

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Impact of Foreign Exchange Reserve, Exchange Rate and Crude Oil Price on Dhaka Stock Exchange Index: An Empirical Evidence from Vector Error Correction Model

Cited by 12 publications

References 11 publications

The Causality Relationship between Energy Prices and Developed Countries Indices

The Causality Relationship between Energy Prices and Developed Countries Indices

The causality relationship between energy prices and developed countries indices

Finance-Growth Nexus in Bangladesh: Is it Important to Quantify Financial Development?

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