Oil prices and the impact of the financial crisis of 2007–2009

Equity market implied volatility and energy prices: A double threshold GARCH approach

“…The negative coefficients are consistent with the findings ofBhar and Malliaris (2011), Sari et al (2011), and Cochran et al (2012. It appears that an increase in uncertainty in the equity market results in a higher degree of uncertainty concerning the global economic outlook which, in turn, decreases the demand for energy.…”

“…In this study, the effects of VIX on commodity returns and their conditional volatilities will be examined and, in particular, it will determined if differential effects exist contingent on whether the VIX index is relatively high or low. Second, compared to the most commonly used Markov switching models where regimes are driven by unobservable Markov chains (see, e.g., Choi and Hammoudeh (2010) and Bhar and Malliaris, 2011)), threshold models utilize observable state variables, which permits one to relate certain asymmetric characteristics of the data with observable financial and economic factors. In this study, the threshold value for each commodity return is estimated after controlling for the market return (MSCI World Index), the VIX index, and the exchange rate.…”

“…chain techniques,Bhar and Malliaris (2011) studied oil price movements during the 2004-2009 period, which was characterized by extreme price volatility. The findings indicate that changes in VIX adversely affected oil price dynamics and that the effects are regime dependent.3.0.…”

Recursive Cointegration of Energy and Stock Prices in Indonesia

“…In contrast, high commodity prices raise production costs, reduce earnings, and bring about a fall in stock prices. One example reported by [10] is the oil price hike from 2004 to 2006 slowing down the global economy, as economies found it hard to assimilate with prices rising at a fast rate. The price hikes from surging oil resulted in higher production costs for firms and thus lower profit margins.…”

The dynamic relationship between selected ASEAN stock markets and their macroeconomic variables

“…Typically silver and gold rises together in a bullish market because investors always choose both of the precious metals as a hedge of inflation. Thus, according to [31], any increase in the price of silver will cause the depreciation of the greenback against major currencies as traders sell US dollar and buy silver. From here we can see that the depreciation on greenback will increase the exchange rate of Ringgit Malaysia against the US dollar.…”