The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital...The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital Asset Pricing Model (CAPM) and nonlinear exchange rate exposure model to the Renminbi against US dollar. The results show that the currency exposure does vary in the oil-gas stock prices throughout the bull and bear market. The study suggests that the models of the equilibrium exchange rate exposure must be extended to considering the nonlinear exchange rate exposure, the regime periods of bull and bear market, and the industry types that is sensitive to the currency exposures. The nonlinear dynamic relationship between the exchange rate changes and the Chinese energy stock prices throughout the bull and bear market add to the recent empirical evidences that foreign exchange markets and stock markets are closely correlated.展开更多
Oil price fluctuations affect equity values in North American, European, and Gulf Cooperation Council (GCC) stock markets, as evidenced by prior studies. However, they only focus on market-wide level analysis. This ...Oil price fluctuations affect equity values in North American, European, and Gulf Cooperation Council (GCC) stock markets, as evidenced by prior studies. However, they only focus on market-wide level analysis. This study, through both market level and sector level analyses, examines the sensitivity of Malaysian stock returns to oil price fluctuations over the period from January 2000 to March 2014. A multifactor market model has been employed to capture this sensitivity. The regression results show a positive impact of oil price changes on the Financial Times Stock Exchange Kuala Lumpur Composite Index (FTSE KLCI) market return. Consumer staples and energy sector index returns were also positively affected by oil price changes. On the other hand, utilities and telecom services were negatively affected over the study period. Moreover, Granger causality analysis was performed to see if oil price fluctuations Granger cause the stock indices to change. With one month lag period, oil price fluctuations Granger cause consumer staple, energy, industrials, and telecommunication services return. Relevant policymakers and market caretakers (Ministry of Finance, Central Bank, and Security Commission) may use the fmdings of this study to develop and incorporate a preventive mechanism to minimize the unfavorable impacts of oil price fluctuations on different sectors of stock market, and Malaysian economy in general.展开更多
文摘The paper embarks to investigate the relationship between currency risk and stock prices of the oil and natural gas exploitation industry in the value-weighted Hushen-300 stock market, by applying the standard Capital Asset Pricing Model (CAPM) and nonlinear exchange rate exposure model to the Renminbi against US dollar. The results show that the currency exposure does vary in the oil-gas stock prices throughout the bull and bear market. The study suggests that the models of the equilibrium exchange rate exposure must be extended to considering the nonlinear exchange rate exposure, the regime periods of bull and bear market, and the industry types that is sensitive to the currency exposures. The nonlinear dynamic relationship between the exchange rate changes and the Chinese energy stock prices throughout the bull and bear market add to the recent empirical evidences that foreign exchange markets and stock markets are closely correlated.
文摘Oil price fluctuations affect equity values in North American, European, and Gulf Cooperation Council (GCC) stock markets, as evidenced by prior studies. However, they only focus on market-wide level analysis. This study, through both market level and sector level analyses, examines the sensitivity of Malaysian stock returns to oil price fluctuations over the period from January 2000 to March 2014. A multifactor market model has been employed to capture this sensitivity. The regression results show a positive impact of oil price changes on the Financial Times Stock Exchange Kuala Lumpur Composite Index (FTSE KLCI) market return. Consumer staples and energy sector index returns were also positively affected by oil price changes. On the other hand, utilities and telecom services were negatively affected over the study period. Moreover, Granger causality analysis was performed to see if oil price fluctuations Granger cause the stock indices to change. With one month lag period, oil price fluctuations Granger cause consumer staple, energy, industrials, and telecommunication services return. Relevant policymakers and market caretakers (Ministry of Finance, Central Bank, and Security Commission) may use the fmdings of this study to develop and incorporate a preventive mechanism to minimize the unfavorable impacts of oil price fluctuations on different sectors of stock market, and Malaysian economy in general.