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Oil Prices and Stock Markets during the 2014–16 Oil Price Slump: Asymmetries and Speed of Adjustment in GCC and Oil-Importing Countries

Author

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  • Anjum Siddiqui
  • Haider Mahmood
  • Dimitris Margaritis
Abstract
We assess the effect of the oil price slump of 2014–2016 on the stock markets of the GCC countries and the four largest oil importers: China, Japan, India, and South Korea. We find that compared to the pre-slump period negative oil price changes had larger effects on equity prices in oil exporting countries, whereas positive oil price innovations had larger effects on oil importers. We also observed intertemporal symmetry switching in GCC countries and an increase in the speed of adjustment of equity prices during the slump for both oil importers and exporters from which we infer a time varying relationship between oil and equity prices.

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  • Anjum Siddiqui & Haider Mahmood & Dimitris Margaritis, 2020. "Oil Prices and Stock Markets during the 2014–16 Oil Price Slump: Asymmetries and Speed of Adjustment in GCC and Oil-Importing Countries," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(15), pages 3678-3708, December.
    • Handle: RePEc:mes:emfitr:v:56:y:2020:i:15:p:3678-3708
    DOI: 10.1080/1540496X.2019.1570497
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    Cited by:

    1. Guan, Bo & Mazouz, Khelifa & Xu, Yongdeng, 2024. "Asymmetric volatility spillover between crude oil and other asset markets," Energy Economics, Elsevier, vol. 130(C).
    2. Mahmood, Haider & Chaudhary, A. R., 2013. "Impact of FDI on Income Inequality in Pakistan," MPRA Paper 109460, University Library of Munich, Germany.
    3. Abbass, Kashif & Sharif, Arshian & Song, Huaming & Ali, Malik Tayyab & Khan, Farina & Amin, Nabila, 2022. "Do geopolitical oil price risk, global macroeconomic fundamentals relate Islamic and conventional stock market? Empirical evidence from QARDL approach," Resources Policy, Elsevier, vol. 77(C).
    4. Al-Qahtani, Maleeha Mohammed Zaaf & Alkhateeb, Tarek Tawfik Yousef & Mahmood, Haider & Abdalla, Manal Abdalla Zahed & Mawad, Ghada Shihata Ebrahim & Alkhatib, Maha Ahmed Hussein, 2020. "Exploring the Level of Managerial, Political, Academic, Economic and Social Women Empowerment in Saudi Arabia," MPRA Paper 109447, University Library of Munich, Germany.
    5. Mahmood, Haider & Alkhateeb, Tarek Tawfik Yousef & Al-Qahtani, Maleeha Mohammed Zaaf & Allam, Zafrul Allam & Ahmad, Nawaz & Furqan, Maham, 2019. "Energy consumption, economic growth and pollution in Saudi Arabia," MPRA Paper 109143, University Library of Munich, Germany.
    6. Al-Fayoumi, Nedal & Bouri, Elie & Abuzayed, Bana, 2023. "Decomposed oil price shocks and GCC stock market sector returns and volatility," Energy Economics, Elsevier, vol. 126(C).
    7. Muhammad Tanveer & Harsandaldeep Kaur & George Thomas & Haider Mahmood & Mandakini Paruthi & Zhang Yu, 2021. "Mobile Phone Buying Decisions among Young Adults: An Empirical Study of Influencing Factors," Sustainability, MDPI, vol. 13(19), pages 1-18, September.
    8. Mahmood, Haider, 2020. "Level of Education and Renewable Energy Consumption Nexus in Saudi Arabia," MPRA Paper 109141, University Library of Munich, Germany.
    9. Ahmad, Abdul-Rahim & Tasadduq, Imran A. & Imam, Muhammad Hasan & Al-Ahmadi, Mohammad Saad & Ahmad, Muhammad Bilal & Tanveer, Muhammad & Mahmood, Haider, 2021. "Intelligent Decision Support in Automating ABET Accreditation Processes: A Conceptual Framework," MPRA Paper 109151, University Library of Munich, Germany.
    10. Tanveer, Muhammad & Hassan, Shafiqul & Mahmood, Haider & Khan, Syed Abdul Rehman, 2021. "The Use of Social Media by Managers During the Pandemic to Accomplish the Tasks," MPRA Paper 109249, University Library of Munich, Germany.
    11. Asadi, Mehrad & Roubaud, David & Tiwari, Aviral Kumar, 2022. "Volatility spillovers amid crude oil, natural gas, coal, stock, and currency markets in the US and China based on time and frequency domain connectedness," Energy Economics, Elsevier, vol. 109(C).
    12. Tanveer, Muhammad & Mahmood, Haider & Haq, Ikram Ul & Rather, Raouf Ahmad & Ali, Haider, 2021. "Higher Education Quality Assurance Framework Pathway for Transformation in Pakistan: Managerial and Economic Perspectives," MPRA Paper 109253, University Library of Munich, Germany.
    13. Mahmood, Haider & Tanveer, Muhamamd & Ahmad, Abdul-Rahim & Furqan, Maham, 2021. "Rule of Law and Control of Corruption in Managing CO2 Emissions Issue in Pakistan," MPRA Paper 109250, University Library of Munich, Germany.

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