The effect of oil market shocks on the stock markets: Time-varying asymmetric causal relationship for conventional and Islamic stock markets
The causality between stock and oil prices is investigated for both conventional and Islamic stock markets in this study. The data set used in the study is 4338 daily closing prices between the 31st of December 2002 and the 27th of July 2020. Both classical and time-varying forms of Hatemi-J (2012)...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Elsevier
2021-11-01
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| Series: | Energy Reports |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2352484721002754 |
| _version_ | 1819174807736942592 |
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| author | Vedat Ender Tuna Gülfen Tuna Nurcan Kostak |
| author_facet | Vedat Ender Tuna Gülfen Tuna Nurcan Kostak |
| author_sort | Vedat Ender Tuna |
| collection | DOAJ |
| description | The causality between stock and oil prices is investigated for both conventional and Islamic stock markets in this study. The data set used in the study is 4338 daily closing prices between the 31st of December 2002 and the 27th of July 2020. Both classical and time-varying forms of Hatemi-J (2012) asymmetric causality test have been used as the research method. The analyses were applied for all sector indices (Basic Materials, Consumer Goods, Consumer Services, Financials, Health Care, Industrials, Oil and Gas, Technology, Telecommunication, and Utilities sub-sector indices), both for traditional and Islamic stock markets. There is causality in conventional (except positive shocks for telecommunications) and Islamic stock markets (except negative shocks for financials, positive and negative shocks for technology and all sectors) for both positive and negative shocks according to Hatemi-J (2012) asymmetric causality test. However, according to time-varying asymmetric causality test results, there is no steady causality in positive shocks, although there is causality for most of the sub-sample periods in negative shocks. This favors the result that oil prices can be an efficient performance indicator in conventional and Islamic stock markets when utilized as a significant estimator in a decreasing market. |
| first_indexed | 2024-12-22T20:44:51Z |
| format | Article |
| id | doaj.art-e103a098b03f46929300875a4ac35220 |
| institution | Directory Open Access Journal |
| issn | 2352-4847 |
| language | English |
| last_indexed | 2024-12-22T20:44:51Z |
| publishDate | 2021-11-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Energy Reports |
| spelling | doaj.art-e103a098b03f46929300875a4ac352202022-12-21T18:13:15ZengElsevierEnergy Reports2352-48472021-11-01727592774The effect of oil market shocks on the stock markets: Time-varying asymmetric causal relationship for conventional and Islamic stock marketsVedat Ender Tuna0Gülfen Tuna1Nurcan Kostak2Sakarya Business School, Department of Business, Sakarya University, Esentepe Campus, Serdivan, Sakarya, TurkeyCorresponding author.; Sakarya Business School, Department of Business, Sakarya University, Esentepe Campus, Serdivan, Sakarya, TurkeySakarya Business School, Department of Business, Sakarya University, Esentepe Campus, Serdivan, Sakarya, TurkeyThe causality between stock and oil prices is investigated for both conventional and Islamic stock markets in this study. The data set used in the study is 4338 daily closing prices between the 31st of December 2002 and the 27th of July 2020. Both classical and time-varying forms of Hatemi-J (2012) asymmetric causality test have been used as the research method. The analyses were applied for all sector indices (Basic Materials, Consumer Goods, Consumer Services, Financials, Health Care, Industrials, Oil and Gas, Technology, Telecommunication, and Utilities sub-sector indices), both for traditional and Islamic stock markets. There is causality in conventional (except positive shocks for telecommunications) and Islamic stock markets (except negative shocks for financials, positive and negative shocks for technology and all sectors) for both positive and negative shocks according to Hatemi-J (2012) asymmetric causality test. However, according to time-varying asymmetric causality test results, there is no steady causality in positive shocks, although there is causality for most of the sub-sample periods in negative shocks. This favors the result that oil prices can be an efficient performance indicator in conventional and Islamic stock markets when utilized as a significant estimator in a decreasing market.http://www.sciencedirect.com/science/article/pii/S2352484721002754Oil pricesStock marketAsymmetric causalityTime-varying causalityIslamic stock markets |
| spellingShingle | Vedat Ender Tuna Gülfen Tuna Nurcan Kostak The effect of oil market shocks on the stock markets: Time-varying asymmetric causal relationship for conventional and Islamic stock markets Energy Reports Oil prices Stock market Asymmetric causality Time-varying causality Islamic stock markets |
| title | The effect of oil market shocks on the stock markets: Time-varying asymmetric causal relationship for conventional and Islamic stock markets |
| title_full | The effect of oil market shocks on the stock markets: Time-varying asymmetric causal relationship for conventional and Islamic stock markets |
| title_fullStr | The effect of oil market shocks on the stock markets: Time-varying asymmetric causal relationship for conventional and Islamic stock markets |
| title_full_unstemmed | The effect of oil market shocks on the stock markets: Time-varying asymmetric causal relationship for conventional and Islamic stock markets |
| title_short | The effect of oil market shocks on the stock markets: Time-varying asymmetric causal relationship for conventional and Islamic stock markets |
| title_sort | effect of oil market shocks on the stock markets time varying asymmetric causal relationship for conventional and islamic stock markets |
| topic | Oil prices Stock market Asymmetric causality Time-varying causality Islamic stock markets |
| url | http://www.sciencedirect.com/science/article/pii/S2352484721002754 |
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