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Asymmetric effect of oil prices on stock market prices: New evidence from oil-exporting and oil-importing countries

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  • Hashmi, Shabir Mohsin
  • Chang, Bisharat Hussain
  • Bhutto, Niaz Ahmed

Abstract

This paper examines the short-run and long-run effect of oil prices across bullish, bearish, and normal states of the stock markets in oil-exporting and oil-importing countries where oil-exporting countries include Russia, Mexico, Venezuela, and Norway and oil-importing countries include India, China, Japan and Norway. For this purpose, we use quantile ARDL model and compare its findings with the standard nonlinear ARDL model. Moreover, this study uses quantile nonlinear ARDL model where oil price series is decomposed into positive and negative oil price shocks. The nonlinear ARDL estimates do not support co-integration in the long-run whereas, in the short-run, it supports asymmetric effect in all countries except Norway. Besides, the quantile ARDL estimates indicate that oil prices asymmetrically affect stock prices both in the short-run and long-run and for all sample countries. Finally, the empirical estimates of the quantile nonlinear ARDL model are consistent with the estimates from the quantile ARDL model. The findings of this study provide important policy implications for investors, policymakers and other stakeholders.

Suggested Citation

  • Hashmi, Shabir Mohsin & Chang, Bisharat Hussain & Bhutto, Niaz Ahmed, 2021. "Asymmetric effect of oil prices on stock market prices: New evidence from oil-exporting and oil-importing countries," Resources Policy, Elsevier, vol. 70(C).
    • Handle: RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309752
    DOI: 10.1016/j.resourpol.2020.101946
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    More about this item

    Keywords

    QARDL model; QNARDL model; Stock prices; Oil prices;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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