Does Energy Prices Affect the Investor Sentiment?: Short- and Long-Term Analysis in Equity Market of Istanbul Stock Exchange (original) (raw)
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IAEME PUBLICATION, 2020
Fluctuations in crude oil price trigger speculation that is reflected in the volatility of the stock market. The study sought to explore the association between crude oil price and the sensitive index of Bombay Stock Exchange for the period April 2000 to August 2019. The findings of the Johansen Cointegration test showed no long-run association between the two variables that are integrated of order one I (1). In the short run Sensex exerted a significant positive impact on crude oil price without any feedback effect as evident in the results of the Vector Autoregression model. The study argues that the impact of crude oil price on Sensex might be transmitted indirectly through other macroeconomic variables such as exchange rate and inflation. Consistent with the regression results, the Granger causality test revealed that Sensex Granger cause crude oil prices but there is no evidence of causal impact of crude oil price on Sensex. The impulse response function indicated that crude oil price, in the short run up to third period responds positively to standard deviation in the Sensex. The influence of the sensitive index on crude oil prices is sought to be rationalized in terms of demand shock in the global oil market due to expansion of the primary oil importing economies including India.
International Journal of Energy Economics and Policy
In this study, we provide empirical evidence on the relative impact of energy market sentiments on the stock and ESG index returns in the U.S. and Gulf Cooperation Council (GCC) economies. Specifically, we study movements in four distinct categories of energy sentiments (natural gas, crude oil, RBOB gasoline, and heating oil) displayed by professional investors and investigate their relative impact on ESG investments and stock returns in the U.S. and GCC economies. We employ the recently developed automatic time series forecasting methodology Autometrics to examine the postulated relationships. The results of the regression models suggest that there is a significant negative impact of stock sentiments and a positive impact of energy sentiments on the S&P 500 returns. However, in the case of the U.S. energy companies' returns, there are significantly higher effects of only energy market sentiments (mainly crude oil and RBOB gasoline). In the case of the GCC stock markets, there a...
Do Energy Prices Affect U.S. Investor Sentiment
The current literature has examined the effect of investor sentiment on energy prices, but no study ever has explored the validity of the reverse question. Therefore, this article explore whether energy prices (i.e., crude oil and natural gas prices) affect U.S. investor sentiment, using the methodology of quantile regression. The empirical results document that controlling for a number of U.S. macroeconomic and financial factors, there exists a statistically significant association between oil and natural gas prices and investor sentiment. However, only natural gas prices appear to retain their statistical significance over the majority of quantiles. These findings received robust support under alternative measures of the investor sentiment index.
Energies, 2021
The subject of this publication is an analysis of the sentiment of stock exchange investors in terms of making investment decisions in the energy sector of the Polish stock exchange. The investment mood is considered in the context of the possible impact of weather factors on investment decisions. Possible effects are verified in relation to the rates of return and the volume of trading of energy sector entities. The analysis is carried out both in terms of co-integration analyses as well as in econometric terms, in the cross-section of classic OLS models or causality analysis using VAR vector autoregression models. The main purpose of the issues discussed is the problem of indicating (illustrating) the presence or absence of mutual relations between weather factors and the stock market in terms of the methods considered.
Econjournals, 2022
Petroleum and natural gas, which are among the most used energy sources in the world, have a significant impact on financial markets and macroeconomic indicators as they are used as raw materials in many fields. For this reason, Russia, Turkey, Brazil, and India, as energy importers and developing countries, may be affected positively or negatively by changes in energy prices. The main purpose of this study is to examine the correlation between Brent oil, crude oil (WTI), and natural gas (NG) prices and Moscow Stock Exchange Index (RTSI), Borsa Istanbul Index (XU100), Bovespa Brazilian Stock Exchange Index (BVSP), and Indian National Stock Exchange Nifty 50 Index (NSEI). In the study, weekly data between February 16, 2020 and December 26, 2021 were examined. Vector autoregressive (VAR) model was used to examine the correlation between the variables included in the analysis, and the direction of the correlation between the variables was determined by the Granger causality test. According to the results of the VAR model, Brent oil and crude oil prices have significant effects on the indices included in the analysis; however, natural gas price does not have a significant effect on indices, Brent oil, and crude oil prices. On the other hand, the results of the Granger causality test confirm the findings of the VAR analysis. Granger causality test results reveal that in Granger’s sense, only BVSP and NSEI are the cause of Brent oil price, RTSI, BVSP, NSEI, and XU100 are the cause of WTI, and WTI is the cause of NSEI.
Iranian Journal of Finance
Investor sentiment is one of the non-fundamental factors that affect the financial markets, which itself is influenced by various factors, including oil price changes. This study aims to investigate the impact of oil price on investor sentiment in stock market industries in the Tehran Stock Exchange (TSE) using monthly data from April 2010 to June 2020. To investigate this issue, stock exchange industries were grouped into three categories: total industries, oilrelated industries, and non-oil industries, and the effect of oil prices on investor sentiments in these three groups was examined using the pooled mean group (PMG) technique. The PMG approach considers both the short-and long-run relation between series and provides reliable results in the context of dynamic heterogeneous panel models. The implementation of PMG in all three models shows the impact of oil prices on investor sentiment over both the short and long run. Findings suggest also that oil price has positive and significant in all three models in the long run and the oil price coefficient is higher in oil-related industries than non-oil-related industries. These results are the opposite of the The Dynamic Impact of Oil Price on Investor Sentiment in… results obtained by similar studies, which can be due to the special features of countries, e.g. being oil exporters or oil importers.
Energies
This paper aims to explore the dynamic relationships between the crude oil price (shocks) and investor sentiment. Specifically, this paper utilizes web crawler to construct Chinese investor sentiment index. The structural vector autoregression (SVAR) model is then used to decompose the crude oil price shocks into three types of oil price shocks. Finally, the wavelet coherence analysis (WTC) is employed to study the dynamic correlation between crude oil price (shocks) and investor sentiment in the time and frequency domain, and their asymmetric dynamic correlation under different trends of crude oil price. Using data from February 2013 to June 2021, our empirical results suggest the heterogeneous dynamic correlations and lead-lag relationships exist between crude oil price (shocks) and investor sentiment over different time and frequency domains. In addition, there are asymmetric dynamic correlations and lead–lag relationships between crude oil price (shocks) and investor sentiment u...
Analysis of the effect of Energy Prices on Stock Indexes During the Epidemic Crisis
International Journal of Energy Economics and Policy
Petroleum and natural gas, which are among the most used energy sources in the world, have a significant impact on financial markets and macroeconomic indicators as they are used as raw materials in many fields. For this reason, US, England, Japan, Russia, Turkey, Brazil, and India, as energy importers and developing countries, may be affected positively or negatively by changes in energy prices. The main purpose of this study is to examine the correlation between Brent oil, crude oil (WTI), and natural gas (NG) prices and Moscow Stock Exchange Index (RTSI), Borsa Istanbul Index (XU100), Bovespa Brazilian Stock Exchange Index (BVSP), Indian National Stock Exchange Nifty 50 Index (NSEI), Standard and Poor’s 500 Index (S and P 500), London Stock Exchange (FTSE 100), and Тokyo Stock Exchange (N225). In the study, weekly data between February 16, 2020 and December 26, 2021 were examined. Vector autoregressive (VAR) model was used to examine the correlation between the variables included...
Stock price movements : does change in energy price matter?
2009
This paper investigates the impact of oil price shocks on the Malaysian stock market. The co-integration test results documented zero co-integration equation. This finding implies no long-run relationship between the variables in the system. The causality test which looks at short run dynamic interactions between the variables also documented the same finding where shocks in all types of oil prices do not impose any effect on movements in stock price. This finding leads us to conclude that, a change in oil price(s) has no significant effect on stock market both in the short-run and longrun. These findings also lead us to conclude thaPt, change in oil price, particularly domestic oil price 1 cannot be used as a policy tool in adjusting the stock market in any case shocks in oil price strike again in future.
Energy Prices and the Nigerian Stock Market
International Journal of Energy Economics and Policy, 2019
This paper analysed the relation between the stock market indices and the developments in the international energy market using historical monthly data from January 1985 to December 2017. Energy prices as applied in the study are composed of changes in the prices of crude oil, natural gas (NGS) and liquefied NGS (LNGS). We employed the traditional vector autoregressive techniques in estimating the linkages between the variables of interest. Our findings showed that changes in energy prices did not have significant influence on the stock market. Although there was evidence of a long-run relationship between the two variables, no causal relationship was found to exist between them; this entails that past values of the prices of crude oil, NGS and LNGS were not vital in predicting the developments in the stock market. Likewise, lagged values of the stock market indices were not instrumental in forecasting the movements in energy prices. Thus, we conclude that the stock market could be more responsiveness to other macroeconomic indicators other than the energy prices.