TITLE:
Influence of Oil Price Volatility of Developed Countries on Emerging Countries Stock Market Returns by Using Threshold Based Approach
AUTHORS:
Kirti Arekar, Rinku Jain
KEYWORDS:
Logistic Transition Based Autoregressive Model (LSTR), Non-Linear, Vector Decomposition Method, Emerging Markets
JOURNAL NAME:
Theoretical Economics Letters,
Vol.7 No.6,
October
30,
2017
ABSTRACT: This study reveals the nonlinear
relationship between oil price volatility of the developed countries and
emerging stock market returns. We analyzed the effects of oil price volatility
of the developed markets i.e. India,
United States and United Kingdom on the emerging stock market returns. We used
VAR, Granger Causality, impulse responses and logistic transition based
autoregressive model (LSTR) in two groups. In group one, we considered US oil
price volatility with six emerging countries and regions stock market returns i.e. France, Spain, Malaysia, Japan, Singapore and Taiwan. In group two, we
considered oil price with respect to India with the same six emerging countries
stock market returns. The data covers the daily closing prices for seven years
from 2011 to 2017 for emerging countries and for oil prices the data we use
West Texas Intermediate (WTI) spot price of crude oil for US and India. This
study helps the investors to understand the impact of oil prices of US and Indian
market with respect to emerging markets and whether to identify the dependency
of emerging stock markets returns on the oil prices of US and India. All the analysis was performed by using R and EVIEWS software.