Oil prices and African stock markets co-movement: A time and frequency analysis

Gourène, Grakolet Arnold Zamereith; Mendy, Pierre

doi:10.1016/j.joat.2018.03.002

Cited by 42 publications

(42 citation statements)

References 22 publications

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“…However, in some other studies, several countries are being studied. Of course, this type of studies have been done in two ways: Some researchers have studied the co-movement of financial markets using either global or some specific countries data (e.g., Nieh & Lee, 2001 ; Samanta & Zadeh, 2012 ; Ftiti et al, 2016 ; Arfaoui & Rejeb, 2017 ; Yarovaya & Lau, 2016 ; Mensi, Hkiri, Al-Yahyaee, & Kang, 2018 ; Gourène & Mendy, 2018 ; Bhatiai & Mitra, 2018 ; El Abed & Zardoub, 2019 ; Pal & Mitra, 2019 ). Others have examined the co-movement of a financial variable (for example, the stock market) in several countries )e.g., Chen, 2018 ; Abounoori & Tour, 2019 ).…”

Section: Literature Reviewmentioning

confidence: 99%

“…Also, various other methods in econometrics have been used by researchers (e.g., Aggarwal, 1981 ; Nieh & Lee, 2001 ; Kim, 2003 ; Gilmore et al, 2009 ; Mishra et al, 2010 ; Zhao, 2010 ; Hussin et al, 2012 ; Samanta & Zadeh, 2012 ; Baig et al, 2013 ; Arfaoui & Rejeb, 2016; Chen, 2018 ; Bhatiai & Mitra, 2018 ). However, several studies, particularly in recent years, have used WCA method for the co-movement analysis of financial markets (e.g., Ftiti et al, 2016 ; Nademi & Khochiany, 2017 ; Mensi et al, 2017; Huang et al, 2018 ; Gourène & Mendy, 2018 ; Khochiany, 2018 ; Pal & Mitra, 2019 ; Amalia & Purqon, 2019 ).…”

Section: Literature Reviewmentioning

confidence: 99%

“…There are a few studies that have used WCA to study the co-movement of financial markets (e.g., Ftiti, Guesmi, & Abid, 2016 ; Mensi et al, 2017; Huang, An, Huang, & Jia, 2018 ; Gourène & Mendy, 2018 ; Khochiany, 2018 ; Pal & Mitra, 2019 ; Amalia & Purqon, 2019 ). In Iran, only two studies have investigated this topic ( Khochiany, 2018 ; Nademi & Khochiany, 2017 ).…”

Section: Introductionmentioning

confidence: 99%

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The cross-impact between financial markets, Covid-19 pandemic, and economic sanctions: The case of Iran

Samadi

Owjimehr

Halafi

2021

Journal of Policy Modeling

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The main financial markets in the Iranian Economy include the stock exchange, foreign exchange, oil, and gold markets. The sharp fluctuations in these markets, especially those caused by the severe sanctions imposed on Iran in May 2018, and the pandemic outbreak of Covid-19 have led to more confusion and uncertainty among investors. One of the effective approaches to examine such unstable conditions is to study the co-movement(s) between markets to identify the leading variable(s). Thus, in the present study, Wavelet Coherence Analysis was applied to examine the co-movements between markets in a time period from September 2014 to June 2020, as an intense period of uncertainty in Iran. In other words, in this study, the markets were investigated in different sub-periods. Also, the Segmented Regression was performed to estimate the impact of sanctions and the Covid-19 pandemic on the co-movements of financial markets in Iran. The results showed that the oil price had a low co-movement with the other three markets, i.e. stock exchange, exchange rate, and gold markets. Thus, the oil market can be a suitable alternative for risk aversion investors. Meanwhile, the oil market could also act as a source of finance for the government during the sanctions period. That possibly explains the recent decision by the Iranian government to use the oil market to finance its budget deficit. Between the exchange rate and gold price, the gold price was identified as the leading variable. While the exchange rate and gold price did not show a significant co-movement in stable conditions, they did show a significant co-movement in unstable conditions, as in times of sanctions or during a global pandemic and thus influenced the investors’ portfolio risk. This result is important from a policy-making perspective. Based on this result, the policymakers can, especially during crises and unstable conditions, control the gold market and make it more stable by managing the foreign exchange market.

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Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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The cross-impact between financial markets, Covid-19 pandemic, and economic sanctions: The case of Iran

Samadi

Owjimehr

Halafi

2021

Journal of Policy Modeling

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“…Similarly, Dutta [1] reinforced the long-term link between oil and stock market implied volatility indexes. Gourène and PierreMendy [23] emphasized that the co-movement of oil prices and African stock markets is mostly fragile in the short-and medium-term, but is predominantly robust in the long-term for most stock markets. Therewith, for Saudi sector stock markets, Mensi [35] identified that the co-movements amid oil and stock sectors fluctuate over time and through frequencies.…”

Section: Literature Reviewmentioning

confidence: 99%

“…The energy market can undoubtedly be a driver of economic growth and job creation in a developing country, such as Romania. Previous examinations were undertaken for African stock markets [20,23], Asian countries [6,14,15,[24][25][26][27][28], European nations [18,29], the US stock market [1,16,[30][31][32], Egypt [33], Gulf states [7,34,35], India [36], Islamic stocks [19], Lebanon [37], Mexico [38,39], and Turkey [40,41]. To the best of our knowledge, this is the first investigation to examine the linkage between the energy market and the Romanian stock market.…”

Section: Introductionmentioning

confidence: 99%

On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

2019

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his paper aims to establish whether the Romanian energy market has an influence on the good running of the associated capital market. In order to achieve this objective, we approached a series of econometric techniques that allowed us to study the cointegration between variables, the presence of short-term or long-term causality relationships, and the application of impulse-response functions to analyze how the BET index responds to the shocks applied. The empirical findings from the Johansen cointegration test, ARDL model, and VAR/VECM models confirmed both the presence of a long-term and short-term relationship between the energy market and capital market. From all energy market indicators, only hard coal presented a causal relationship with the BET index. We also noticed a unidirectional relationship from the WTI crude oil to the Romanian capital market. Our findings should be of interest to researchers, regulators, and market participants.

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Time–Frequency Connectedness Between Oil Price Shocks and Stock Returns Under Bullish and Bearish Market States: Evidence from African Oil Importers and Exporters

Chen,

Msofe,

Wang

et al. 2024

Comput Econ

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Oil prices and African stock markets co-movement: A time and frequency analysis

Cited by 42 publications

References 22 publications

The cross-impact between financial markets, Covid-19 pandemic, and economic sanctions: The case of Iran

The cross-impact between financial markets, Covid-19 pandemic, and economic sanctions: The case of Iran

On the Linkage between the Energy Market and Stock Returns: Evidence from Romania

Time–Frequency Connectedness Between Oil Price Shocks and Stock Returns Under Bullish and Bearish Market States: Evidence from African Oil Importers and Exporters

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