OIL PRICES MOVEMENTS AND INDUSTRY STOCK RETURNS: EVIDENCE FROM PAKISTAN STOCK EXCHANGE (PSX)

Autor:	Muhammad Asif, Sharif Ullah Jan, Shahid Iqbal
Rok vydání:	2021
Předmět:	business.industry Autoregressive conditional heteroskedasticity media_common.quotation_subject Monetary economics Recession Stock exchange Economics Volatility (finance) Oil price business Capital market Risk management Stock (geology) media_common
Zdroj:	March 2021. 37:84-96
ISSN:	2708-1737 1019-8180
DOI:	10.51380/gujr-37-01-08
Popis:	The recent financial and economic recessions have chiefly increased the importance of risk management and forecasting for business firms. Capital markets being the main pillar of economy are affected the most in such circumstances. The current study has attempted to investigate the impact of oil prices on the returns and volatility of Pakistani listed firms using the GARCH (1,1) model. Furthermore, this relationship has been investigated by categorizing the existing sectors of the Pakistan Stock Exchange (PSX) into oil producers, oil users, and oil substitutes for the period from January 2015 to December 2019. The findings of the study highlighted some strong evidence regarding the oil price movement and the firms’ returns across these sectors. Interestingly, firms’ returns behave differently about the magnitude of significance and direction of symbols based on their nature of the industry. Therefore, it is suggested for future studies to consider the nature of the sector of oil while exploring the relationship between oil prices and stock returns.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::258442bd2abab16225879c3e1d8fd24c https://doi.org/10.51380/gujr-37-01-08 Zobrazit plný text záznamu