Impact of oil price shocks on stock returns: evidence from selected Southeast Asian economies

Simple item page
dc.contributor.authorSiddiqui, Ammar Ahmed
dc.date.accessioned2020-09-17T12:11:58Z
dc.date.available2020-09-17T12:11:58Z
dc.date.issued2017
dc.descriptionA research report submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, Johannesburg, in partial fulfilment of the requirements for the degree of Master of Mamagementen_ZA
dc.description.abstractThis paper investigates the impact of oil price shocks on stock market returns in selected Southeast Asian countries. We selected five countries, those are Indonesia, Singapore, Malaysia Thailand and Philippine. We employ autoregressive distributed lag model (ARDL) and VECM model in the analysis. We model both positive oil price shock and negative oil price shock. We find that the real Brent price is positively correlated with all the stock markets in the selected countries. The results of ARDL model indicate that positive oil price shock exhibits a negative impact on the stock market returns while lag one negative oil price shock exhibits a positive impact on the stock market returns in the short run. However, only Indonesia and Singapore exhibit a significant response to positive and negative oil shocks in the ARDL model. The cointegration analysis indicates a long run causal relationship from oil price to stock market returns for Malaysia and Singapore. This result is confirmed by the error correction model with significant and negative but low speed of adjustment.en_ZA
dc.description.librarianNG (2020)en_ZA
dc.facultyFaculty Commerce, Law and Managementen_ZA
dc.format.extentOnline resource (vi, 23 leaves)
dc.identifier.urihttps://hdl.handle.net/10539/29683
dc.language.isoenen_ZA
dc.rights.holderUniversity of the Witswatersrand, Johannesburg
dc.schoolWits Business School en_ZA
dc.subject.lcshPetroleum products--Prices
dc.subject.lcshFinancial crises
dc.subject.lcshStocks--Prices
dc.subject.otherSDG-8: Decent work and economic growth
dc.titleImpact of oil price shocks on stock returns: evidence from selected Southeast Asian economiesen_ZA
dc.typeDissertationen_ZA
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
Research report- A Siddiqui.pdf
Size:
1.08 MB
Format:
Adobe Portable Document Format
Description:
'Main work'
Download
License bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
license.txt
Size:
1.71 KB
Format:
Item-specific license agreed upon to submission
Description:
Download
Collections
Electronic Theses and Dissertations (Masters/MBA)