THE IMPACT OF OIL PRICES, EXCHANGE RATE AND NET EXPORTS ON THE STOCK RETURN OF THE HONG KONG STOCK EXCHANGE PDF Download

Author: ZHOU CHENHUA (TP043256)
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 71

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Author: Elie Shammas
Publisher:
ISBN:
Category :
Languages : en
Pages : 0

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This paper studies the relationship between oil price and financial market in the emerging economies. It employs the Vector Auto-Regression (VAR) analysis to estimate the impact of the oil price on the stock index's return in the BRICS group. Daily data was obtained from Morgan Stanley Capital International (MSCI) World Index and BP for the oil price. The sample covers the period from 09/05/2005 till 30/03/2012.The results suggest that there is a significant interrelationship between the BRICS markets, except for South Africa, and the oil market. Oil prices do affect BRICS markets but to varying degrees. Brazil and Russia are more responsive to oil shocks in a positive way than the other markets in the study, on the other hand, the Indian and Chinese markets exhibit a negative response to oil shocks. As for the South African's market, the response is small and slow.

Author: Muhammad Ashiq Am
Publisher:
ISBN:
Category :
Languages : en
Pages : 3

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The relationship between stock prices and macroeconomic variables like crude oil price, exchange rate, gold price, GDP, Inflation etc. have been widely studied in the context of developed countries and few studies on emerging and developing countries are also done. An attempt is made here to study specifically the impact of crude oil price volatility on stock prices and exchange rates on the basis of crude oil export and import volume. Monthly data from January 2004 to December 2015 has been collected for nine countries from the list of top 20 oil importing and exporting countries for stock prices, exchange rate of each country against US dollar. We use the Johansen Fisher Panel Cointegration Test to ensure the existence of long-run relation and Fully Modified OLS (FMOLS) to estimate the Cointegrating parameters. Results reveals that there is a long run equilibrium relationship among Stock price, Exchange rate and Oil price in the case of both panels of selected countries.

Author: Shuo Cao
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Wensheng Kang
Publisher:
ISBN:
Category :
Languages : en
Pages : 19

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Kilian and Park (IER 50 (2009), 1267-287) find shocks to oil supply are relatively unimportant to understanding changes in U.S. stock returns. We examine the impact of both U.S. and non-U.S. oil supply shocks on U.S. stock returns in light of the unprecedented expansion in U.S. oil production since 2009. Our results underscore the importance of the disaggregation of world oil supply and of the recent extraordinary surge in the U.S. oil production for analysing impact on U.S. stock prices. A positive U.S. oil supply shock has a positive impact on U.S. real stock returns. Oil demand and supply shocks are of comparable importance in explaining U.S. real stock returns when supply shocks from U.S. and non-U.S. oil production are identified.

Author: Ramazan Gençay
Publisher: Elsevier
ISBN: 0080509223
Category : Business & Economics
Languages : en
Pages : 383

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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. - The first book to present a unified view of filtering techniques - Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series - Provides easy access to a wide spectrum of parametric and non-parametric filtering methods

Author: Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico
Publisher:
ISBN: 9789291319626
Category : Banks and banking, Central
Languages : es
Pages : 0

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Author: Mr. Kangni R Kpodar
Publisher: International Monetary Fund
ISBN: 1616356154
Category : Business & Economics
Languages : en
Pages : 34

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This paper investigates the response of consumer price inflation to changes in domestic fuel prices, looking at the different categories of the overall consumer price index (CPI). We then combine household survey data with the CPI components to construct a CPI index for the poorest and richest income quintiles with the view to assess the distributional impact of the pass-through. To undertake this analysis, the paper provides an update to the Global Monthly Retail Fuel Price Database, expanding the product coverage to premium and regular fuels, the time dimension to December 2020, and the sample to 190 countries. Three key findings stand out. First, the response of inflation to gasoline price shocks is smaller, but more persistent and broad-based in developing economies than in advanced economies. Second, we show that past studies using crude oil prices instead of retail fuel prices to estimate the pass-through to inflation significantly underestimate it. Third, while the purchasing power of all households declines as fuel prices increase, the distributional impact is progressive. But the progressivity phases out within 6 months after the shock in advanced economies, whereas it persists beyond a year in developing countries.

Author: Mr.Hamid R Davoodi
Publisher: International Monetary Fund
ISBN: 9781589062290
Category : Business & Economics
Languages : en
Pages : 44

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The Middle East and North Africa (MENA) is an economically diverse region. Despite undertaking economic reforms in many countries, and having considerable success in avoiding crises and achieving macroeconomic stability, the region’s economic performance in the past 30 years has been below potential. This paper takes stock of the region’s relatively weak performance, explores the reasons for this out come, and proposes an agenda for urgent reforms.

Author: Jean Tirole
Publisher: MIT Press
ISBN: 0262200716
Category : Business & Economics
Languages : en
Pages : 1482

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Book Description
The Theory of Industrial Organization is the first primary text to treat the new industrial organization at the advanced-undergraduate and graduate level. Rigorously analytical and filled with exercises coded to indicate level of difficulty, it provides a unified and modern treatment of the field with accessible models that are simplified to highlight robust economic ideas while working at an intuitive level. To aid students at different levels, each chapter is divided into a main text and supplementary section containing more advanced material. Each chapter opens with elementary models and builds on this base to incorporate current research in a coherent synthesis. Tirole begins with a background discussion of the theory of the firm. In Part I he develops the modern theory of monopoly, addressing single product and multi product pricing, static and intertemporal price discrimination, quality choice, reputation, and vertical restraints. In Part II, Tirole takes up strategic interaction between firms, starting with a novel treatment of the Bertrand-Cournot interdependent pricing problem. He studies how capacity constraints, repeated interaction, product positioning, advertising, and asymmetric information affect competition or tacit collusion. He then develops topics having to do with long term competition, including barriers to entry, contestability, exit, and research and development. He concludes with a "game theory user's manual" and a section of review exercises. Important Notice: The digital edition of this book is missing some of the images found in the physical edition.