Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect

Janor, Hawati; Abdul-Rahman, Aisyah; Housseinidoust, Ehsan; Rahim, Ruzita Abdul

doi:10.7763/joebm.2013.v1.83

Cited by 7 publications

(14 citation statements)

References 21 publications

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“…In order to find accurate and real effects of GEPU, this study considers few macroeconomic variables, such as interest rate, 6 exchange rate, 7 and oil price, 8 as control variables, which also act as local/regional variables. These variables have shown significant influences on Malaysian stock performances (see, Janor, Abdul-Rahman, Housseinidoust, & Rahim, 2013;Nordin, Nordin, & Ismail, 2014).…”

Section: Data and Preliminary Analysismentioning

confidence: 99%

The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives

Hoque

Zaidi

2018

Int. J Fin Econ

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This study contributes in building emerging literature by investigating the impacts of global economic policy uncertainty on Malaysian sectoral stock performance. This study models sectoral stock returns as time‐varying transition probability Markovian processes and employs two‐stage Markov‐switching model for findings impacts of global economic policy uncertainty on sectoral stock returns in regime switching environment. The empirical results reveal that linear framework unable to detect the effects global economic policy uncertainty, and the Markov‐switching model exhibits significant effects of global economic policy uncertainty on all sectoral stock returns excluding technology sector in Malaysia stock market. The findings also expose that the effects of global economic policy uncertainty vary across regime states, sectors, and nature of effects, where the negative effects of global economic policy uncertainty dominate over positive effects. The global economic policy uncertainty exhibits greater impacts on stock returns in high‐volatility regime. Thus, the findings confirm the existence of asymmetric, nonlinear, nonmonotonic, and state‐dependent relationship between global economic policy uncertainty and sectoral stock returns in Malaysia. Therefore, the overall empirical findings can be applied in asset pricing and investment decision‐making purposes. The findings also suggest that global economic policy uncertainty can be a systemic risk factor and predictor of stock market returns.

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Section: Data and Preliminary Analysismentioning

confidence: 99%

The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives

Hoque

Zaidi

2018

Int. J Fin Econ

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“…With the decline in oil prices, there were negative effects on the stock returns. Using the GARCH and EGARCH models, Janor et al (2013) concluded that that oil price volatility had a significant effect on firms for the period from January 1986 to December 2011. Studying the same variables, Dadashi et al (2015) sampled firms listed on the Tehran Stock Exchange from 2003 to 2013 and concluded that oil prices significantly affected firm value based on Tobin's Q.…”

Section: Impact Of Oil Price On Profitability Performancementioning

confidence: 99%

“…The results conclude that the financial performance of the banks is similar in the precrisis and crisis period. Janor et al (2013) studied the relationship between the effects of oil prices and firm performance based on ROA ROE, leverage and other factors. Wattanatorn and Kanchanapoom (2012) measured the ratio of net profit to total equity.…”

Section: Impact Of Oil Price On Profitability Performancementioning

confidence: 99%

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Oil Price Fluctuation and Firm Performance in Developing Economy: Evidence From Oman

Bilal

Mohammed²,

Ali³

2021

IJEEP

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The study aims to investigate how oil continues to be the driving force of the Omani economy. Accordingly, changes in oil prices will have positive or negative impacts on all economic sectors. This study investigates the impact of oil prices on firm performance in 74 industrial and services companies listed on the Muscat Stock Exchange (MSM) from the years 2010 to 2018. This study's econometric model uses panel data regression since comprising time-series and cross-sectional data. The paper examines the effects of oil price fluctuations on the sampled firms' performance. The statistical analysis indicates that oil prices have a significant positive impact on financial performance (as measured by return on assets -ROA) with the exception of the interest rate. Moreover, all fixed effects are highly significant for the five sectors. This result contributes to the literature by highlighting the impact of oil price on firm performance in Oman's industrial and service sectors. Both sectors are highly exposed and sensitive to oil price fluctuations. All regression coefficients in all sectors are highly significant, with the exception of interest rate, which has no impact on the profitability performance of the cement, oil, and textile industries. Moreover, both fixed and effects models are highly significant.

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“…We use the KLCI Composite as a Malaysian stock market proxy. To fi nd accurate eff ects of GEPU, this study considers a few macroeconomic variables as control variables, such as interest rate (see Nordin et al, 2014), exchange rate (see Nordin et al, 2014), and oil price (Janor et al, 2013), which may have signifi cant impacts on stock market performance. It is worth noting that the monthly frequency data choice is directed by the availability of data on the Global Economic Policy Uncertainty index.…”

Section: Dataset Descriptionsmentioning

confidence: 99%

Impacts of Global-Economic-Policy Uncertainty on Emerging Stock Market: Evidence from Linear and Non-Linear Models

Hoque¹,

Zaidi²

2020

Prague Economic Papers

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Global economic policy uncertainty (GEPU) is one of important phenomena in the global economy; it can impact on the overall economic performance and stock market performance, regardless of the status of the world economy. Thus, this paper empirically investigates the impact of global economic policy uncertainty on the Malaysian stock market over the period from 10:2003 to 2017:03. Using the GARCH model, the study demonstrates that global policy uncertainty affects the Malaysian stock market negatively. Similarly, the SVAR model also shows results consistent with the GARCH estimation. Nevertheless, the Markov switching estimation uncovers that global policy uncertainty has negative impacts on stock market performance in both low and high volatile market states. The impact is, however, greater during the high volatile state. Hence, the relationship between global economic policy uncertainty and stock market returns tends to be asymmetric. The overall empirical results infer that global economic policy uncertainty has some implications for asset pricing.

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Oil Price Fluctuations and Firm Performance in an Emerging Market: Assessing Volatility and Asymmetric Effect

Cited by 7 publications

References 21 publications

The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives

The impacts of global economic policy uncertainty on stock market returns in regime switching environment: Evidence from sectoral perspectives

Oil Price Fluctuation and Firm Performance in Developing Economy: Evidence From Oman

Impacts of Global-Economic-Policy Uncertainty on Emerging Stock Market: Evidence from Linear and Non-Linear Models

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