Oil price fluctuations affect equity values in North American, European, and Gulf Cooperation Council (GCC) stock markets, as evidenced by prior studies. However, they only focus on market-wide level analysis. This study, through both market level and sector level analyses, examines the sensitivity of Malaysian stock returns to oil price fluctuations over the period from January 2000 to March 2...

This study examines the time-varying causality between oil returns and stock in Norway. We find that data frequency determines direction of returns. A bidirectional exists daily data, while a unidirectional runs from to weekly monthly data. Time-varying also these series.

Regarding the fact that each country might be a net oil seller or net buyer, and considering its large share in the whole economy, the price of this commodity as well as its volatility could affect all economies around the world.  The impact of oil price volatility on the economy is seemed to be more dominant in Iran rather than any other developed or emerging economies, especially in recent ye...

S tock returns of companies listed on the stock exchange is one of the most important criteria in assessing the macroeconomic. This study investigates the effect of exchange rate Volatility on the stock exchange Returns of D8 countries. It takes monthly data during the period (2008:1-2015:6) constituting 90 observations. At first we used Panel-GARCH model to estimate Exchange Rate Vo...

This study examines the variation of spot and futures prices for energy commodities over the business cycle. The interest-adjusted basis and expected returns for crude oil, natural gas, heating oil, gasoline, and propane are estimated in relation to proxies for the state of the economy, inventory and other determinants predicted by the theory of storage over the period 1987-2011. We find that t...

Data for this study were obtained with the aid of structured questionnaire. A total of 70 questionnaires were administered to the palm oil farmers/ producers with the response rate of 95.71 %. The data were analysed by the use of descriptive statistics, multiple regression and costs and returns tools. The results obtained revealed that although mechanized palm oil processors were not fully econ...

Crude oil is considered as a major resource of any developing country it may be either Oil importing or exporting countries. The present study examines the relationship between Exchange rate, and Stock market returns. analyse monthly observations from 1 st April 2003 to 31 March 2019 with help Co integration, Granger causality, Variance Decomposition. overall findings indicate significant effec...

Modeling the dependency between stock market returns is a difficult task when returns follow a complicated dynamics. It is not easy to specify the multivariate distribution relating two or more return series. In this paper, a methodology based on fitting ARIMA, GARCH and ARMA-GARCH models and copula functions is applied. In such methodology, the dependency parameter can easily be rendered condi...