Impact of energy prices on equity markets: the analysis of different market conditions

Energy prices have been considered to be an essential component in the development of any country both economically and financially. After the global financial crisis, the upsurge in prices for different kind of commodities has gained the attention of policymakers to the part of investors ' act...

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Main Author:	Sharif, Arshian
Format:	Thesis
Language:	eng eng
Published:	2022
Subjects:	HG Finance QA299.6-433 Analysis
Online Access:	https://etd.uum.edu.my/10969/1/s903048_01.pdf https://etd.uum.edu.my/10969/2/s903048_02.pdf
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spelling	my-uum-etd.109692024-02-12T02:14:36Z Impact of energy prices on equity markets: the analysis of different market conditions 2022 Sharif, Arshian Abd Karim, Mohd Zaini Othman Yeop Abdullah Graduate School of Business Othman Yeop Abdullah Graduate School of Business HG Finance QA299.6-433 Analysis Energy prices have been considered to be an essential component in the development of any country both economically and financially. After the global financial crisis, the upsurge in prices for different kind of commodities has gained the attention of policymakers to the part of investors ' action in financial markets. These rises and fall in the prices significantly influence the relationship between energy prices and equity market prices around the globe. In connection with this, the present research aims to examine the effect of different energy prices (such as oil, heating oil, natural gas and gasoline) on the prices dynamics of the equity market in top energy-consuming countries. To attain this objective, the current research collects time-series data of the top five energy-consuming countries including the United States of America, China, India, Japan and Canada. The study used the daily time-series data from 1st January 1996 to 30th November 2020. The study applied different linear and nonlinear estimation to confirm the association between different energy prices and equity market prices. The findings of nonlinear estimation (i.e. quantile cointegration) confirmed a significant nonlinear connection between different energy prices and equity market in top energy-consuming countries. Furthermore, the findings of quantile-on-quantile regression confirmed that the effect of all energy prices are mostly positive on equity returns except the oil prices returns which affect negatively equity returns during normal market conditions. Moreover, on the extreme tails, the effect is strong and weak positive for all energy prices returns in the USA and Canada. On the other hand, China and Japan have a similar case, the energy prices show a positive and significant impact on equity returns mostly in the normal market conditions and also in bearish and bullish market conditions. In the case of India, the effect of oil, natural gas and heating oil (gasoline and energy portfolio) are negative (positive) on equity returns during normal market conditions. However, the effect of all energy prices returns are strong positive on equity returns during bearish and bullish market conditions. On the other hand, the outcomes endorse that the influence of different energy prices returns on equity price volatility are different across the quantiles and the maximum fluctuation in the relationship can be seen on extreme tails of the conditional distribution which is bearish and bullish market conditions. In the case of the USA, India and Canada, the effect of all energy prices are mostly positive on equity volatility except the energy portfolio returns which affect negatively equity volatility during normal market conditions. Moreover, on the extreme tails, the effect is strongly positive and negative for all energy prices returns. On the other hand, China and Japan have a similar case, the energy prices show a positive and significant impact on equity volatility mostly in the normal market conditions and also in bearish and bullish market conditions. The study recommends several policy implications to the investor and all for the top energy-consuming countries considering the relationship between energy prices and equity market prices. 2022 Thesis https://etd.uum.edu.my/10969/ https://etd.uum.edu.my/10969/1/s903048_01.pdf text eng 2025-04-10 staffonly https://etd.uum.edu.my/10969/2/s903048_02.pdf text eng staffonly other doctoral Universiti Utara Malaysia
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Abd Karim, Mohd Zaini
topic	HG Finance QA299.6-433 Analysis
spellingShingle	HG Finance QA299.6-433 Analysis Sharif, Arshian Impact of energy prices on equity markets: the analysis of different market conditions
description	Energy prices have been considered to be an essential component in the development of any country both economically and financially. After the global financial crisis, the upsurge in prices for different kind of commodities has gained the attention of policymakers to the part of investors ' action in financial markets. These rises and fall in the prices significantly influence the relationship between energy prices and equity market prices around the globe. In connection with this, the present research aims to examine the effect of different energy prices (such as oil, heating oil, natural gas and gasoline) on the prices dynamics of the equity market in top energy-consuming countries. To attain this objective, the current research collects time-series data of the top five energy-consuming countries including the United States of America, China, India, Japan and Canada. The study used the daily time-series data from 1st January 1996 to 30th November 2020. The study applied different linear and nonlinear estimation to confirm the association between different energy prices and equity market prices. The findings of nonlinear estimation (i.e. quantile cointegration) confirmed a significant nonlinear connection between different energy prices and equity market in top energy-consuming countries. Furthermore, the findings of quantile-on-quantile regression confirmed that the effect of all energy prices are mostly positive on equity returns except the oil prices returns which affect negatively equity returns during normal market conditions. Moreover, on the extreme tails, the effect is strong and weak positive for all energy prices returns in the USA and Canada. On the other hand, China and Japan have a similar case, the energy prices show a positive and significant impact on equity returns mostly in the normal market conditions and also in bearish and bullish market conditions. In the case of India, the effect of oil, natural gas and heating oil (gasoline and energy portfolio) are negative (positive) on equity returns during normal market conditions. However, the effect of all energy prices returns are strong positive on equity returns during bearish and bullish market conditions. On the other hand, the outcomes endorse that the influence of different energy prices returns on equity price volatility are different across the quantiles and the maximum fluctuation in the relationship can be seen on extreme tails of the conditional distribution which is bearish and bullish market conditions. In the case of the USA, India and Canada, the effect of all energy prices are mostly positive on equity volatility except the energy portfolio returns which affect negatively equity volatility during normal market conditions. Moreover, on the extreme tails, the effect is strongly positive and negative for all energy prices returns. On the other hand, China and Japan have a similar case, the energy prices show a positive and significant impact on equity volatility mostly in the normal market conditions and also in bearish and bullish market conditions. The study recommends several policy implications to the investor and all for the top energy-consuming countries considering the relationship between energy prices and equity market prices.
format	Thesis
qualification_name	other
qualification_level	Doctorate
author	Sharif, Arshian
author_facet	Sharif, Arshian
author_sort	Sharif, Arshian
title	Impact of energy prices on equity markets: the analysis of different market conditions
title_short	Impact of energy prices on equity markets: the analysis of different market conditions
title_full	Impact of energy prices on equity markets: the analysis of different market conditions
title_fullStr	Impact of energy prices on equity markets: the analysis of different market conditions
title_full_unstemmed	Impact of energy prices on equity markets: the analysis of different market conditions
title_sort	impact of energy prices on equity markets: the analysis of different market conditions
granting_institution	Universiti Utara Malaysia
granting_department	Othman Yeop Abdullah Graduate School of Business
publishDate	2022
url	https://etd.uum.edu.my/10969/1/s903048_01.pdf https://etd.uum.edu.my/10969/2/s903048_02.pdf
_version_	1794023799887233024

Impact of energy prices on equity markets: the analysis of different market conditions

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