Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries

Prabu, Darniya (2019) Dynamic relationship between oil price volatility and stock market performance: an empirical analysis of the ASEAN-5 countries. [Dissertation (University of Nottingham only)]

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Abstract

This study examines the dynamic relationship between oil price volatility and stock market performance in the ASEAN-5 countries (Malaysia, Indonesia, Singapore, Thailand and Philippines). The study is extended to examine individual oil-exporting and oil-importing country’s reaction towards the volatility of oil prices. A balanced panel data is constructed for the five countries using monthly data from September 1999 to May 2018 where the WTI and Brent Crude oil prices were used as a proxy for world oil prices. The findings suggested that there exists a dynamic relationship between the volatility of WTI and Brent Crude oil prices and the stock market performance of the ASEAN-5 countries. The stock market returns of the oil-exporting countries are affected by the change in WTI prices whereas there is no relationship found between the stock market of the oil-importing countries and oil price volatility. These findings are supported by the stock valuation channel, fiscal channel and output channel which summarizes that there is a relationship between oil prices and stock market performance. By examining this linkage, some policy implications that can be utilised as guiding tools to the government and investors are provided.

Item Type: Dissertation (University of Nottingham only)
Depositing User: Library Services, UNM
Date Deposited: 14 Aug 2019 06:47
Last Modified: 07 May 2020 10:32
URI: http://eprints.nottingham.ac.uk/id/eprint/57258

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