Advanced search
Publication Cover
Cogent Economics & Finance Volume 10, 2022 - Issue 1
Submit an article Journal homepage
2,652
Views
1
CrossRef citations to date
0
Altmetric
FINANCIAL ECONOMICS

The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19: Empirical insights of Pakistan

Mosab I. Tabash1 College of Business, Al Ain University, Al Ain, United Arab EmiratesORCID Iconhttps://orcid.org/0000-0003-3688-7224View further author information
ORCID Icon,
Zaheeruddin Babar2 Faculty of Management Studies, University of Central Punjab, Lahore, PakistanCorrespondence[email protected]
ORCID Iconhttps://orcid.org/0000-0001-6375-3606View further author information
ORCID Icon,
Umaid A Sheikh2 Faculty of Management Studies, University of Central Punjab, Lahore, PakistanORCID Iconhttps://orcid.org/0000-0001-8181-6498View further author information
ORCID Icon,
Ather Azim Khan2 Faculty of Management Studies, University of Central Punjab, Lahore, PakistanORCID Iconhttps://orcid.org/0000-0002-8623-5841View further author information
ORCID Icon &
Suhaib Anagreh3 Business Department, Higher Colleges of Technology, Dubai, United Arab EmiratesORCID Iconhttps://orcid.org/0000-0003-1751-7674View further author information
ORCID Icon
Article: 2129366 | Received 24 Jan 2022, Accepted 25 Sep 2022, Published online: 10 Oct 2022

References

  • Adedeji, A. N., Ahmed, F. F., & Adam, S. U. (2021). Examining the dynamic effect of COVID-19 pandemic on dwindling oil prices using structural vector autoregressive model. Energy, 230(1), 120813. https://doi.org/10.1016/j.energy.2021.120813
  • Adjasi, C. K. D. (2009). Macroeconomic uncertainty and conditional stock‐price volatility in frontier African markets: Evidence from Ghana. The Journal of Risk Finance, 10(4), 333–22. https://doi.org/10.1108/15265940910980641
  • Aggarwal, P., & Manish, M. K. (2020). Effect of oil fluctuation on stock market return: An empirical study from India. International Journal of Energy Economics and Policy, 10 (2), 213–217. https://www.econjournals.com/index.php/ijeep/article/view/8802
  • Ahmed, A. D., & Huo, R. (2020). Linkages among energy price, exchange rates and stock markets: Evidence from emerging African economies. Applied Economics, 52(18), 1921–1935. https://doi.org/10.1080/00036846.2020.1726861
  • Ajaz, T., Nain, M. Z., Kamaiah, B., & Sharma, N. K. (2017). Stock prices, exchange rate and interest rate: Evidence beyond symmetry. Journal of Financial Economic Policy, 9(1), 2–19. https://doi.org/10.1108/JFEP-01-2016-0007
  • Akbar, M., Iqbal, F., & Noor, F. (2019). Bayesian analysis of dynamic linkages among gold price, stock prices, exchange rate and interest rate in Pakistan. Resources Policy, 62(1), 154–164. https://doi.org/10.1016/j.resourpol.2019.03.003
  • Alamgir, F., & Amin, S. B. (2021). The nexus between oil price and stock market: Evidence from South Asia. Energy Reports, 7(1), 693–703. https://doi.org/10.1016/j.egyr.2021.01.027
  • Al-hajj, E., Al-Mulali, U., & Solarin, S. A. (2018). Oil price shocks and stock returns nexus for Malaysia: Fresh evidence from nonlinear ARDL test. Energy Reports, 4(1), 624–637. https://doi.org/10.1016/j.egyr.2018.10.002
  • Ali, S. R. M., Mensi, W., Anik, K. I., Rahman, M., & Kang, S. H. (2022). The impacts of COVID-19 crisis on spillovers between the oil and stock markets: Evidence from the largest oil importers and exporters. Economic Analysis and Policy, 73(1), 345–372. https://doi.org/10.1016/j.eap.2021.11.009
  • Anisak, N., & Mohamad, A. (2019). Foreign Exchange Exposure of Indonesian Listed Firms. Global Business Review. (1), 0972150919843371. https://doi.org/10.1177/0972150919843371
  • Areli Bermudez Delgado, N., Bermudez Delgado, E., & Saucedo, E. (2018). The relationship between oil prices, the stock market and the exchange rate: Evidence from Mexico. The North American Journal of Economics and Finance, 45(1), 266–275. https://doi.org/10.1016/j.najef.2018.03.006
  • Ashraf, B. N. (2020). Stock markets’ reaction to COVID-19: Cases or fatalities? Research in International Business and Finance, 54(1), 101249. https://doi.org/10.1016/j.ribaf.2020.101249
  • Bagchi, B. (2017). Volatility spillovers between crude oil price and stock markets: Evidence from BRIC countries. International Journal of Emerging Markets, 12(2), 352–365. https://doi.org/10.1108/IJoEM-04-2015-0077
  • Bai, S., & Koong, K. S. (2018). Oil prices, stock returns, and exchange rates: Empirical evidence from China and the United States. The North American Journal of Economics and Finance, 44(1), 12–33. https://doi.org/10.1016/j.najef.2017.10.013
  • Basher, S., Haug, A., & Sadorsky, P. (2016). The impact of oil shocks on exchange rates: A Markov-switching approach. Energy Economics, 54(C), 11–23. https://econpapers.repec.org/RePEc:eee:eneeco:v:54:y:2016:i:c:p:11-2310.1016/j.eneco.2015.12.004
  • Basher, S. A., & Sadorsky, P. (2006). Oil price risk and emerging stock markets. Global Finance Journal, 17(2), 224–251. https://doi.org/10.1016/j.gfj.2006.04.001
  • Benkraiem, R., Lahiani, A., Miloudi, A., & Shahbaz, M. (2018). New insights into the US stock market reactions to energy price shocks. Journal of International Financial Markets, Institutions and Money, 56(1), 169–187. https://doi.org/10.1016/j.intfin.2018.02.004
  • Ceylan, R., Ivrendi, M., Shahbaz, M., & Omay, T. (2020). Oil and stock prices: New evidence from a time varying homogenous panel smooth transition VECM for seven developing countries. International Journal of Finance and Economics. (1), 1–16. https://doi.org/10.1002/ijfe.2202
  • Chang, B. H., Bhutto, N. A., Turi, J. A., Hashmi, S. M., & Gohar, R. (2021). Macroeconomic variables and stock indices: An asymmetric evidence from quantile ARDL model. South Asian Journal of Business Studies, 10(2), 242–264. https://doi.org/10.1108/SAJBS-09-2019-0161
  • Chen, -S.-S., & Chen, H.-C. (2007). Oil prices and real exchange rates. Energy Economics, 29(3), 390–404. https://doi.org/10.1016/j.eneco.2006.08.003
  • Chen, H., Liu, L., Wang, Y., & Zhu, Y. (2016). Oil price shocks and U.S. dollar exchange rates. Energy, 112(1), 1036–1048. https://doi.org/10.1016/j.energy.2016.07.012
  • Cho, J. S., Kim, T., & Shin, Y. (2015). Quantile cointegration in the autoregressive distributed-lag modeling framework. Journal of Econometrics, 188(1), 281–300. https://doi.org/10.1016/j.jeconom.2015.05.003
  • Chortareas, G., Cipollini, A., & Eissa, M. A. (2011). Exchange rates and stock prices in the MENA Countries: What Role for Oil? Review of Development Economics, 15(4), 758–774. https://doi.org/10.1111/j.1467-9361.2011.00641.x
  • Cunado, J., & Perez de Gracia, F. (2014). Oil price shocks and stock market returns: Evidence for some European countries. Energy Economics, 42(1), 365–377. https://doi.org/10.1016/j.eneco.2013.10.017
  • Das, D., & Kannadhasan, M. (2020). The asymmetric oil price and policy uncertainty shock exposure of emerging market sectoral equity returns: A quantile regression approach. International Review of Economics & Finance, 69(1), 563–581. https://doi.org/10.1016/j.iref.2020.06.013
  • Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
  • Dornbusch, R., & Fischer, S. (1980). Exchange rates and the current account. American Economic Review, 7(5), 960–971. American economic Association .
  • El-Masry, A. A., & Badr, O. M. (2021). Stock market performance and foreign exchange market in Egypt: Does 25th January revolution matter? International Journal of Emerging Markets, 16(6), 1048–1076. https://doi.org/10.1108/IJOEM-11-2017-0477
  • Fayyad, A., & Daly, K. (2011). The impact of oil price shocks on stock market returns: Comparing GCC countries with the UK and USA. Emerging Markets Review, 12(1), 61–78. https://doi.org/10.1016/j.ememar.2010.12.001
  • Gharib, C., Mefteh-Wali, S., & Jabeur, S. B. (2021). The bubble contagion effect of COVID-19 outbreak: Evidence from crude oil and gold markets. Finance Research Letters, 38(1), 101703. https://doi.org/10.1016/j.frl.2020.101703
  • Ghulam, A., McMillan, D. G., & Wang, S. (2018). Conditional volatility nexus between stock markets and macroeconomic variables. Journal of Economic Studies, 45(1), 77–99. https://doi.org/10.1108/JES-03-2017-0062
  • Golub, S. (1983). Oil Prices and Exchange Rates. The Economic Journal, 93(371), 576–593. https://doi.org/10.2307/2232396
  • Habib, M. M., Bützer, S., & Stracca, L. (2016). Global exchange rate configurations: Do oil shocks matter? IMF Economic Review, 64(3), 443–470. https://doi.org/10.1057/imfer.2016.9
  • Hadhri, S. (2021). The nexus, downside risk and asset allocation between oil and Islamic stock markets: A cross-country analysis. Energy Economics, 101(1), 105448. https://doi.org/10.1016/j.eneco.2021.105448
  • Hatemi–J, A., & Irandoust, M. (2002). On the causality between exchange rates and stock prices: A Note. Bulletin of Economic Research, 54(2), 197–203
  • He, X., Mishra, S., Aman, A., Shahbaz, M., Razzaq, A., & Sharif, A. (2021). The linkage between clean energy stocks and the fluctuations in oil price and financial stress in the US and Europe? Evidence from QARDL approach. Resources Policy, 72(1), 102021. https://doi.org/10.1016/j.resourpol.2021.102021
  • Hussain, C. B. (2019). Dynamic analysis of the relationship between stock prices and macroeconomic variables. In M. M. Saeed (Ed.), South Asian Journal of Business Studies,1–32. Emerald . https://doi.org/10.1108/SAJBS-06-2018-0062
  • Iqbal, N., Naeem, M. A., & Suleman, M. T. (2022). Quantifying the asymmetric spillovers in sustainable investments. Journal of International Financial Markets, Institutions and Money, 77(1), 101480. https://doi.org/10.1016/j.intfin.2021.101480
  • Ivanovski, K., & Hailemariam, A. (2021). Forecasting the dynamic relationship between crude oil and stock prices since the 19th century. Journal of Commodity Markets, 24(1), 100169. https://doi.org/10.1016/j.jcomm.2021.100169
  • Izzeldin, M., Muradoğlu, Y. G., Pappas, V., & Sivaprasad, S. (2021). The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model. International Review of Financial Analysis, 74(1), 101671. https://doi.org/10.1016/j.irfa.2021.101671
  • Jiang, Y., Wang, G.-J., Ma, C., & Yang, X. (2021). Do credit conditions matter for the impact of oil price shocks on stock returns? Evidence from a structural threshold VAR model. International Review of Economics & Finance, 72(1), 1–15. https://doi.org/10.1016/j.iref.2020.10.019
  • Ji, Q., Shahzad, S. J. H., Bouri, E., & Suleman, M. T. (2020). Dynamic structural impacts of oil shocks on exchange rates: Lessons to learn. Journal of Economic Structures, 9(1), 20. https://doi.org/10.1186/s40008-020-00194-5
  • Kin, S., & Courage, M. (2014). The impact of oil prices on the exchange rate in South Africa. Journal of Economics, 5(2), 193–199. https://doi.org/10.1080/09765239.2014.11884996
  • Kocaarslan, B., & Soytas, U. (2019a). Dynamic correlations between oil prices and the stock prices of clean energy and technology firms: The role of reserve currency (US dollar). Energy Economics, 84(1), 104502. https://doi.org/10.1016/j.eneco.2019.104502
  • Kocaarslan, B., & Soytas, U. (2019b). Asymmetric pass-through between oil prices and the stock prices of clean energy firms: New evidence from a nonlinear analysis. Energy Reports, 5(1), 117–125. https://doi.org/10.1016/j.egyr.2019.01.002
  • Krugman, P. R., Bhandari, J. S., & Putnam, B. H. (1983). Economic Interdependence and flexible exchange rates. MIT Press.
  • Kumar, S. (2019). Asymmetric impact of oil prices on exchange rate and stock prices. The Quarterly Review of Economics and Finance, 72(1), 41–51. https://doi.org/10.1016/j.qref.2018.12.009
  • Kumeka, T. T., Uzoma-Nwosu, D. C., & David-Wayas, M. O. (2022). The effects of COVID-19 on the interrelationship among oil prices, stock prices and exchange rates in selected oil exporting economies. Resources Policy, 77(1), 102744. https://doi.org/10.1016/j.resourpol.2022.102744
  • Le, T. H., & Chang, Y. (2015). Effects of oil price shocks on the stock market performance: Do nature of shocks and economies matter? Energy Economics, 51(1), 261–274. https://doi.org/10.1016/j.eneco.2015.06.019
  • Li, C., Lin, S., Sun, Y., Afshan, S., & Yaqoob, T. (2022). The asymmetric effect of oil price, news-based uncertainty, and COVID-19 pandemic on equity market. Resources Policy, 77(1), 102740. https://doi.org/10.1016/j.resourpol.2022.102740
  • Lin, B., & Su, T. (2020). Does oil price have similar effects on the exchange rates of BRICS? International Review of Financial Analysis, 69(1), 101461. https://doi.org/10.1016/j.irfa.2020.101461
  • Liu, Z., Huynh, T. L. D., & Dai, P.-F. (2021). The impact of COVID-19 on the stock market crash risk in China. Research in International Business and Finance, 57(1), 101419. https://doi.org/10.1016/j.ribaf.2021.101419
  • Lv, X., Lien, D., & Yu, C. (2020). Who affects who? Oil price against the stock return of oil-related companies: Evidence from the U.S. and China. International Review of Economics & Finance, 67(1), 85–100. https://doi.org/10.1016/j.iref.2020.01.002
  • Managi, S., Yousfi, M., Ben Zaied, Y., Ben Mabrouk, N., & Ben Lahouel, B. (2022). Oil price, US stock market and the US business conditions in the era of COVID-19 pandemic outbreak. Economic Analysis and Policy, 73(1), 129–139. https://doi.org/10.1016/j.eap.2021.11.008
  • Mensi, W., Hkiri, B., Al-Yahyaee, K. H., & Kang, S. H. (2018). Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approach. International Review of Economics & Finance, 54(1), 74–102. https://doi.org/10.1016/j.iref.2017.07.032
  • Olayeni, O. R., Tiwari, A. K., & Wohar, M. E. (2020). Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate. Energy Economics, 92(1), 104938. https://doi.org/10.1016/j.eneco.2020.104938
  • Pershin, V., Molero, J. C., & de Gracia, F. P. (2016). Exploring the oil prices and exchange rates nexus in some African economies. Journal of Policy Modeling, 38(1), 166–180. https://doi.org/10.1016/j.jpolmod.2015.11.001
  • Reboredo, J. C. (2012). Modelling oil price and exchange rate co-movements. Journal of Policy Modeling, 34(3), 419–440. https://doi.org/10.1016/j.jpolmod.2011.10.005
  • Reddy, Y. V., & Sebastin, A. (2008). Interaction between forex and stock markets in India: An entropy approach. Vikalpa, 33(4), 27–46. https://doi.org/10.1177/0256090920080403
  • Sari, R., Hammoudeh, S., & Soytas, U. (2010). Dynamics of oil price, precious metal prices, and exchange rate. Energy Economics, 32(2), 351–362. https://doi.org/10.1016/j.eneco.2009.08.010
  • Shahrestani, P., & Rafei, M. (2020). The impact of oil price shocks on Tehran stock exchange returns: Application of the Markov switching vector autoregressive models. Resources Policy, 65(43), 101579. https://doi.org/10.1016/j.resourpol.2020.101579
  • Sharif, A., Aloui, C., & Yarovaya, L. (2020). COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: Fresh evidence from the wavelet-based approach. International Review of Financial Analysis, 70(1), 101496. https://doi.org/10.1016/j.irfa.2020.101496
  • Shear, F., & Ashraf, B. N. (2022). The performance of Islamic versus conventional stocks during the COVID-19 shock: Evidence from firm-level data. Research in International Business and Finance, 60(1), 101622. https://doi.org/10.1016/j.ribaf.2022.101622
  • Sheikh, U., Ahmed, D. Z., Asad, D. M., Ahmed, D. Z., & McMillan, D. (2020). Asymmetrical relationship between oil prices, gold prices, exchange rate and stock prices during global financial crisis 2008; evidence from Pakistan. Cogent Economics & Finance, 8(1), 1757802. https://doi.org/10.1080/23322039.2020.1757802
  • Sims, C. A. (1980). Macroeconomics and Reality. Econometrica, 48(1), 1–48. https://doi.org/10.2307/1912017
  • Tawfeeq, M., Collins, A. R., Elbakidze, L., & Zaynutdinova, G. (2019). Linking crude oil prices and Middle East stock markets. OPEC Energy Review, 43(2), 136–167. https://doi.org/10.1111/opec.12145
  • Tsai, I. C. (2012). The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach. Journal of International Financial Markets, Institutions and Money, 22(3), 609–621. https://doi.org/10.1016/j.intfin.2012.04.005
  • Tuna, G., & Tuna, V. E. (2022). Are effects of COVID-19 pandemic on financial markets permanent or temporary? Evidence from gold, oil and stock markets. Resources Policy, 76(1), 102637. https://doi.org/10.1016/j.resourpol.2022.102637
  • Wang, Z.-J., & Zhao, L.-T. (2021). The impact of the global stock and energy market on EU ETS: A structural equation modelling approach. Journal of Cleaner Production, 289(1), 125140. https://doi.org/10.1016/j.jclepro.2020.125140
  • Wen, D., Liu, L., Ma, C., & Wang, Y. (2020). Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries. Energy, 212(1), 118740. https://doi.org/10.1016/j.energy.2020.118740
  • Youssef, M., & Mokni, K. (2020). Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach. Journal of Multinational Financial Management, 55(1), 100625. https://doi.org/10.1016/j.mulfin.2020.100625
  • Zaighum, I., Aman, A., Sharif, A., & Suleman, M. T. (2021). Do energy prices interact with global Islamic stocks? Fresh insights from quantile ARDL approach. Resources Policy, 72(1), 102068. https://doi.org/10.1016/j.resourpol.2021.102068
  • Zeinedini, S., Karimi, M. S., & Khanzadi, A. (2022). Impact of global oil and gold prices on the Iran stock market returns during the Covid-19 pandemic using the quantile regression approach. Resources Policy, 76(1), 102602. https://doi.org/10.1016/j.resourpol.2022.102602
  • Zhang, X., Ding, Z., Hang, J., & He, Q. (2022). How do stock price indices absorb the COVID-19 pandemic shocks? The North American Journal of Economics and Finance, 60 (1), 101672. https://doi.org/10.1016/j.najef.2022.101672
Supercharge Your Next Research Paper: Research and write your next paper with Jenni AI.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.