Linkages among energy price, exchange rates and stock markets: Evidence from emerging African economies

References

• Amano, R. A., and V. N. Simon. 1998. “Exchange Rates and Oil Prices.” Review of International Economics 6 (4): 683–694.
   Google Scholar
• Arouri, M. E. H., A. Lahiani, and D. K. Nguyen. 2011. “Return and Volatility Transmission between World Oil Prices and Stock Markets of the GCC Countries.” Economic Modelling 28 (4): 1815–1825.
   Web of Science ®Google Scholar
• Babatunde, A., O. A. Musibau, and A. F. Adenikinju. 2013. “Oil Price Shocks and Stock Market Behaviour in Nigeria.” Journal of Economic Studies 40 (2): 180–202.
   Google Scholar
• Bahmani-Oskooee, M., and A. Sohrabian. 1992. “Stock Prices and the Effective Exchange Rate of the Dollar.” Applied Economics 24 (4): 459–464.
   Web of Science ®Google Scholar
• Basher, S. A., and P. Sadorsky. 2006. “Oil Price Risk and Emerging Stock Markets.” Global Finance Journal 17 (2): 224–251.
   Google Scholar
• Beirne, J., G. M. Caporale, M. Schulze-Ghattas, and N. Spagnolo. 2013. “Volatility Spillovers and Contagion from Mature to Emerging Stock Markets.” Review of International Economics 21 (5): 1060–1075.
   Web of Science ®Google Scholar
• Bollerslev, T., R. F. Engle, and J. M. Wooldridge. 1988. “A Capital Asset Pricing Model with Time-Varying Covariances.” Journal of Political Economy 96 (1): 116–131.
   Web of Science ®Google Scholar
• BP. 2016. BP Statistical Review of World Energy, London, BP.
   Google Scholar
• Braha, H., and E. Anoruo. 2011. “Volatility Transmission between Stock Market and Foreign Exchange Returns: Evidence from Botswana, Kenya and South Africa.” African Journal of Business & Economic Research 6 (2/3): 73–91.
   Google Scholar
• Branson, W. H., and D. W. Henderson. 1985. “The Specification and Influence of Assets Markets.” In Handbook of International Economics, edited by R. W. Jones and P. B. Kenen, 749–805. Vol. 2. Amsterdam: Elsevier.
   Google Scholar
• Branson, W. H. 1983. “Macroeconomic Determinants of Real Exchange Rate Risk.” In Managing Foreign Exchange Rate Risk, edited by R. J. Herring, 33–74. Cambridge, MA: Cambridge University Press.
   Google Scholar
• Cantore, N., A. Antimiani, and P. R. Anciaes. 2012. “Energy Price Shocks. Sweet and Sour Consequences for Developing Countries.” Overseas Development Institute (ODI), Working Paper 335, London
   Google Scholar
• Chang, C.-L., M. McAleer, and R. Tansuchat. 2011. “Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH.” Energy Economics 33 (5): 912–923.
   Web of Science ®Google Scholar
• Chaudhuri, K., and B. C. Daniel. 1998. “Long-run Equilibrium Real Exchange Rates and Oil Prices.” Economics Letters 58 (2): 231–238.
   Web of Science ®Google Scholar
• Chen, S.-S., and H.-C. Chen. 2007. “Oil Prices and Real Exchange Rates.” Energy Economics 29 (3): 390–404.
   Web of Science ®Google Scholar
• Cunado, J., and F. P. de Gracia. 2014. “Oil Price Shocks and Stock Market Returns: Evidence for Some European Countries.” Energy Economics 42: 365–377.
   Web of Science ®Google Scholar
• Dornbusch, R., and S. Fischer. 1980. “Exchange Rates and the Current Account.” The American Economic Review 70 (5): 960–971.
   Web of Science ®Google Scholar
• Engle, R. F., and K. F. Kroner. 1995. “Multivariate Simultaneous Generalized ARCH.” Econometric Theory 11 (1): 122–150.
   Web of Science ®Google Scholar
• Fowowe, B. 2015. “The Relationship between Stock Prices and Exchange Rates in South Africa and Nigeria: Structural Breaks Analysis.” International Review of Applied Economics 29 (1): 1–14.
   Web of Science ®Google Scholar
• Golub, S. S. 1983. “Oil Prices and Exchange Rates.” The Economic Journal 93 (371): 576–593.
   Web of Science ®Google Scholar
• Granger, C. W. J. 1969. “Investigating Causal Relations by Econometric Models and Cross-spectral Methods.” Econometrica 37 (3): 424–438.
   Web of Science ®Google Scholar
• Hamilton, J. D. 1983. “Oil and the Macroeconomy since World War II.” Journal of Political Economy 91 (2): 228–248.
   Web of Science ®Google Scholar
• Hammoudeh, S. M., Y. Yuan, and M. Michael. 2009. “Shock and Volatility Spillovers among Equity Sectors of the Gulf Arab Stock Markets.” The Quarterly Review of Economics and Finance 49 (3): 829–842.
   Google Scholar
• Hassan, S. A., and F. Malik. 2007. “Multivariate GARCH Modeling of Sector Volatility Transmission.” The Quarterly Review of Economics and Finance 47 (3): 470–480.
   Google Scholar
• Huang, R. D., R. W. Masulis, and H. R. Stoll. 1996. “Energy Shocks and Financial Markets.” Journal of Futures Markets 16 (1): 1–27.
   Web of Science ®Google Scholar
• Huang, Y., and F. Guo. 2007. “The Role of Oil Price Shocks on China’s Real Exchange Rate.” China Economic Review 18 (4): 403–416.
   Web of Science ®Google Scholar
• Jawadi, F., W. Louhichi, H. B. Ameur, and A. I. Cheffou. 2016. “On oil-US Exchange Rate Volatility Relationships: An Intraday Analysis.” Economic Modelling 59: 329–334.
   Web of Science ®Google Scholar
• Jebran, K., and A. Iqbal. 2016. “Dynamics of Volatility Spillover between Stock Market and Foreign Exchange Market: Evidence from Asian Countries.” Financial Innovation 2 (1): 3.
   Web of Science ®Google Scholar
• Johansen, S., and K. Juselius. 1990. “Maximum Likelihood Estimation and Inference on Cointegration-with Applications to the Demand for Money.” Oxford Bulletin of Economics and Statistics 52 (2): 169–210.
   Web of Science ®Google Scholar
• Jones, C. M., and G. Kaul. 1996. “Oil and the Stock Markets.” The Journal of Finance 51 (2): 463–491.
   Web of Science ®Google Scholar
• Jouini, J., and N. Harrathi. 2014. “Revisiting the Shock and Volatility Transmissions among GCC Stock and Oil Markets: A Further Investigation.” Economic Modelling 38: 486–494.
   Web of Science ®Google Scholar
• Kling, J. L. 1985. “Oil Price Shocks and Stock Market Behavior.” Journal of Portfolio Management 12 (1): 34.
   Web of Science ®Google Scholar
• Kollias, C., N. Mylonidis, and S.-M. Paleologou. 2012. “The Nexus between Exchange Rates and Stock Markets: Evidence from the Euro-dollar Rate and Composite European Stock Indices Using Rolling Analysis.” Journal of Economics and Finance 36 (1): 136–147.
   Google Scholar
• Kroner, K. F., and V. K. Ng. 1998. “Modeling Asymmetric Comovements of Asset Returns.” The Review of Financial Studies 11 (4): 817–844.
   Web of Science ®Google Scholar
• Kroner, K. F., and J. Sultan. 1993. “Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures.” The Journal of Financial and Quantitative Analysis 28 (4): 535–551.
   Web of Science ®Google Scholar
• Krugman, P. 1983. “Oil Shocks and Exchange Rate Dynamics.” In Exchange Rates and International Macroeconomics, edited by J. A. Frankel, 259–284. Chicago: University of Chicago Press.
   Google Scholar
• Liang, C.-C., J.-B. Lin, and H.-C. Hsu. 2013. “Reexamining the Relationships between Stock Prices and Exchange Rates in ASEAN-5 Using Panel Granger Causality Approach.” Economic Modelling 32: 560–563.
   Web of Science ®Google Scholar
• Lizardo, R. A., and A. V. Mollick. 2010. “Oil Price Fluctuations and U.S. Dollar Exchange Rates.” Energy Economics 32 (2): 399–408.
   Web of Science ®Google Scholar
• Nieh, C.-C., and C.-F. Lee. 2001. “Dynamic Relationship between Stock Prices and Exchange Rates for G-7 Countries.” The Quarterly Review of Economics and Finance 41 (4): 477–490.
   Google Scholar
• Oskooe, S., and A. Paytakhti. 2012. “Oil Price Shocks and Stock Market in Oil-exporting Countries: Evidence from Iran Stock Market.” OPEC Energy Review 36 (4): 396–412.
   Google Scholar
• Pan, M.-S., R. C.-W. Fok, and Y. Angela Liu. 2007. “Dynamic Linkages between Exchange Rates and Stock Prices: Evidence from East Asian Markets.” International Review of Economics & Finance 16 (4): 503–520.
   Google Scholar
• Pershin, V., J. C. Molero, and F. P. de Gracia. 2016. “Exploring the Oil Prices and Exchange Rates Nexus in Some African Economies.” Journal of Policy Modeling 38 (1): 166–180.
   Web of Science ®Google Scholar
• Sadorsky, P. 1999. “Oil Price Shocks and Stock Market Activity.” Energy Economics 21 (5): 449–469.
   Web of Science ®Google Scholar
• Salisu, A. A., and H. Mobolaji. 2013. “Modeling Returns and Volatility Transmission between Oil Price and US–Nigeria Exchange Rate.” Energy Economics 39: 169–176.
   Web of Science ®Google Scholar
• Salisu, A. A., and T. F. Oloko. 2015. “Modeling Oil price–US Stock Nexus: A VARMA–BEKK–AGARCH Approach.” Energy Economics 50: 1–12.
   Web of Science ®Google Scholar
• Smyth, R., and M. Nandha. 2003. “Bivariate Causality between Exchange Rates and Stock Prices in South Asia.” Applied Economics Letters 10 (11): 699–704.
   Web of Science ®Google Scholar
• Tsagkanos, A., and C. Siriopoulos. 2013. “A Long-run Relationship between Stock Price Index and Exchange Rate: A Structural Nonparametric Cointegrating Regression Approach.” Journal of International Financial Markets, Institutions and Money 25: 106–118.
   Web of Science ®Google Scholar
• Zhang, Y.-J., Y. Fan, H.-T. Tsai, and Y.-M. Wei. 2008. “Spillover Effect of US Dollar Exchange Rate on Oil Prices.” Journal of Policy Modeling 30 (6): 973–991.
   Web of Science ®Google Scholar
• Zhao, H. 2010. “Dynamic Relationship between Exchange Rate and Stock Price: Evidence from China.” Research in International Business and Finance 24 (2): 103–112.
   Google Scholar