Is the influence of oil prices changes on oil and gas stock prices in Nigeria symmetric or asymmetric?

Figures & data

Table 1. Literature summary

Author	Period		Country	Model	Stock Market Proxy	Finding
(Raifu and Oshota, 2022)	Jan 1990-Dec 2018		Nigeria	Markov regime-switching	ASI	Oil price shock has a positive (negative) impact on the stock return in low volatility state (high volatility state).
Sanusi and Kapingura (2022)	Jan. 2003 to Aug. 2019		South Africa	DCC-GARCH, Multivariate Markov regime switching models	Market capitalization	Oil price had no effect on stock performance in regime 2 but the reverse is true.
(Okere, Muoneke and Onuoha, 2021)	Jan 1995-Dec. 2019		Nigeria	NARDL	ASI	Positive and negative oil price shock has a positive influence on stock market performance
(Obi, Oluseyi and Evans, 2018)	1986 to 2016		Nigeria	NARDL	ASI	Oil price impact on stock performance is asymmetric
(Olayeni, Tiwari and Wohar, 2020)			Nigeria	Single Equation based on threshold vector ADL.	ASI	Longrun asymmetry is important for equilibrium.
(Nwosa, 2020)	1 Dec. 2019-31 May		Nigeria	VAR	All Share Index (ASI)	Oil price has significantly influenced the stock market performance
(Soyemi, Akingunola and Ogebc, 2019)	2007-2014		Nigeria	Asymmetric (Egarch)	Composite stock market index (ASI)	Oil shock positively impacts company stock returns. The price of oil impact is positive on stock market returns
(Basher, Haug and Sadorsky, 2018)	2012-2014		Oil exporting countries	SVAR Markov-Switching model	Composite MSCI	Canada, Russia, Kuwait, and the UAE are impacted by speculative shocks while flow oil supply shocks are important for UK, Kuwait, and UAE. Mexico is not affected by oil market shocks.
(Ojikutu, Onolemhemhen and Isehunwa, 2017)	1985-2014		Nigeria	Symmetric (OLS)	Composite All Share Index (ASI)	The positive long-run impact of oil price
(Salisu & Isah, 2017)	2000-2015		5 Oil exporting and 8 importing countries	Asymmetric. Panel ARDL using PMG and MG framework	Composite stock index	Oil exporting and importing countries respond negatively to price of oil shocks. The impact is stronger in oil-importing countries.
(Bouri et al., 2016)	2004-2010		ARAB	Multivariate ARMAX-(E)GARCH	Sectoral indices: Financials, Industrials, and Services	Oil returns significantly impact the financial and services sector but not significant for the industrial sector.
(Gupta, 2016)	1983-2014		70 Countries	Symmetric	Sectoral Oil & gas stock price (firm-level)	Firm-level return is positively impacted by price of oil. Firms located in the non-competitive market respond less to price of oil shocks than those in competitive markets.
(Asteriou, Dimitras, & Lendewig, 2013b)	1988-2008		Oil exporting and Importing Countries	Symmetric model (VECM)	MSCI	stronger oil impact on oil-importing countries than in exporting ones
(Babatunde, Adenikinju, & Adenikinju, 2013)	1995-2008		Nigeria	Asymmetric (multivariate VAR.)	Sectoral index (NSMCI). Financial, services, commercial and agriculture.	The impact of the price of the oil shock on the stock market is positive but statistically insignificant but becomes negative over time, depending on the nature of the price of oil shocks. There is no evidence of an Asymmetric price of oil impact.
(Effiong, 2014)	1995–2011		Nigeria	Symmetric (SVAR)	Composite index ASI	Negative price impact on NSE stocks but not significant. Negative oil price impact on oil-related demand shocks.
(Park & Ratti, 2008)	1986-2005		USA and Europe	Asymmetry Garch and VAR	Composite Index	The impact of price of oil on stock returns is NOT asymmetric for all EU countries. Oil price increase depressed stock returns.
(Basher & Sadorsky, 2006)	1992-2005		Emerging economies	CAPM	Composite MSCI stock index	Price of oil risk impacts on stock markets of emerging economies
(Narayan and Sharma, 2011)	2000-2008		Vietnam	DOLS, AND GARCH	Composite	Price of oil positively impacts on the stock market
(Jones and Kaul, 1996)			USA, Canada, Japan, and UK	OLS	Composite S&P 500	Price of oil impacts stock markets in the UK and Japan. Stock markets in the USA and Canada responded purely to price of oil shocks during the post-war era.
Hashmi et al., 2022	2000M01-2022M12		Pakistan	Quantile ARDL	Composite Stock price	there are differences in the effects of exchange rates and oil prices on stock prices under bullish, bearish, and normal market conditions.
(Omoke and Uche, 2021)	1990Q1- 2019Q4		OPEC	Quantile ARDL	Composite Stock price	Asymmetric short-term impacts were seen in Nigeria and the UAE. Additionally, data suggests that continuous oil price shocks cause purchasing power (PP) in Saudi Arabia, Nigeria, and Angola to rapidly drop.

Table 2. Descriptive statistics

	LEXR	lOil&Gas	lOil price
Maximum	4.59	6.12	9.29
Mean	4.38	5.69	8.76
Median	4.35	5.78	8.924
Minimum	4.15	5.05	7.71
Skewness	0.13	−0.72	−0.94
Std. Dev.	0.13	0.30	0.40
Kurtosis	1.59	2.37	2.99
Jarque-Bera	2.72	3.15	3.25

Source: Author’s computation.

Table 3. ADF and NG-perronunit root result. In the long run, Oil price and exchange rate has a significant effect on oil and gas price. The long-term impact of oil prices (0.66) suggests that a 1% reduction (increase) in the price of oil results in a 0.66% decrease (increase) in the price of oil and gas stock (see, Table 4). This finding is statistically significant, indicating that the oil price had a significant impact on the price of oil and gas stocks. The exchange rate will have a detrimental long-term effect (−1.74). It suggests that a 1% change in the exchange rate will, on average, result in a 1.74% change in the oil and gas index. This outcome is consistent with Sadorsky’s findings from 2001 for Canada. The oil and gas stocks price is an index computed for few oil exploration and marketing firms listed on the Nigerian Stock Exchange. These firms sell and distribute refined oil (petrol) products, which are primarily imported, in addition to the exportation of crude oil. Refined oil for import into Nigeria becomes less costly due to an increase in the currency rate, while the production of indigenous oil and gas businesses becomes more expensive (less attractive to foreigners if exported). When the exchange rate increases, this may disrupt the oil and gas companies’ cash flow and drive down the price of their stocks. “Where: () is t-Statistics; ***,**, * represents 1%, 5% and 10% respectively”

Panel A				Panel B
ADF				NG-PERRON
Series	Intercept	Trend	Conclusion	Series	Intercept	Trend	Conclusion
D (lprice of oil)	−4.51**	−4.97**	I(1)	D (lprice of oil)	−2.22**	−4.93**	I(1)
D(lOil&Gas)	−3.82**	−3.79**	I(1)	D(lOil&Gas)	−2.40**	−2.51	I(1)
D(EXR)	−4.14**	−3.52**	I(1)	D(EXR)	−2.03**	−2.05	I(1)
LEXR	−1.03	−2.15		LEXR	−0.32	−1.83
lPrice of oil	−1.41	−1.76		lPrice of oil	−1.41	−1.76
lOil&Gas	−1.77	−1.79		lOil&Gas	−1.62	−1.72

Table 4. ARDL estimates

Variables	Lags ARDL(4, 3, 3)
	0	1	2	3
D(lOil&Gas)	-	0.40 (1.69)	0.51 (1.91)	0.58 (1.78)
D(lPrice of oil)	−0.28 (−0.92)	0.45 (1.00)	−0.11 (−0.38)
D(lEXC)	0.33 (0.30)	−0.37 (−0.19)	0.24 (0.15)
ECT(−1)	−0.54 (2.74)
R-Sqd	0.88
Adj. R	0.77
F-Stats	2.71**
LM	0.02**	0.65
ARCH	0.77	2.00
JB	0.43	-
Ramset-R	-	3.06	3.15
FBOUND	4.43**
LR Coefficients
Variables	C	LEXCH	LOP
	3.89** (−2.75)	−1.74** (2.16)	0.66** (−2.75)

“Where: () is t-Statistics; ***,**, * represents 1%, 5% and 10% respectively”

Table 5. NARDL estimates

Variables	Lags
	0	1	2	3
ECT(−1)		−0.33** (−2.51)
D(lPrice of oil ^+)	−1.76* (−4.48)	1.25 (−1.63)	0.09 (−0.19)
D(lPrice of oil^−)	0.855** (2.89)	0.98** (2.56)	−0.06 (−0.18)
D(lOil&Gas)		0.199 (0.86)	0.39** (1.97)	0.59** (2.96)
D(lEXC)	−3.171* (−3.41)	−0.81 (−0.63)	0.85 (0.94)
F-Statistics	4.43**
R-Sqd	0.98
Adj. R	0.92
Panel B: Diagnostics
LM	-	0.6	0.77
ARCH	-	0.36	0.66
JB	0.4	-	-
Ramsey-Reset		0.3	0.36
$WAL{D}_F^{SR}$	0.01
$WAL{D}_F^{LR}$	−1.72
FBOUND	4.43**
Panel C: LR Coefficients
Variables	lPrice of oil^+	lPrice of oil^−	LEXC	C
	2.92** (2.26)	1.35** (2.67)	1.44 (−0.49)	14.48 (1.05)

Note: “Where: () is t-Statistics; ***,**, * represents 1%, 5% and 10% respectively”

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