The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19: Empirical insights of Pakistan
This study analyzes the trilateral relationship between macroeconomic variables of oil prices, stock market index, and exchange rate to demonstrate their behavior and inter-relationship in the economic setup of Pakistan. The investigated period includes daily time series data ranging from 4 January...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2022-12-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | https://www.tandfonline.com/doi/10.1080/23322039.2022.2129366 |
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| author | Mosab I. Tabash Zaheeruddin Babar Umaid A Sheikh Ather Azim Khan Suhaib Anagreh |
| author_facet | Mosab I. Tabash Zaheeruddin Babar Umaid A Sheikh Ather Azim Khan Suhaib Anagreh |
| author_sort | Mosab I. Tabash |
| collection | DOAJ |
| description | This study analyzes the trilateral relationship between macroeconomic variables of oil prices, stock market index, and exchange rate to demonstrate their behavior and inter-relationship in the economic setup of Pakistan. The investigated period includes daily time series data ranging from 4 January 2016 to 30 April 2021. The study consists of three sub-periods: the pre-COVID-19 period ranging from 4 January 2016 to 31 December 2019, COVID-19 period ranging from 1 January 2020 to 30 April 2021, and overall period ranging from 4 January 2016 to 30 April 2021 by using a Vector Autoregressive (VAR) model. The results illustrate that oil prices changes, and stock index have an insignificant direct relationship both in pre-COVID-19 and overall sub-periods of study while a positive and statistically significant relationship during the COVID-19 period. This research also suggests that stock index has a direct and statistically significant but negative impact on the exchange rate in all sub-periods of study. This research also gives practical implications for forex investors and traders to analyze the inflating and deflating stock market patterns for future investment opportunities. However, most of the previous studies emphasized on the direct influence of exchange rate on the stock market and no effort is made on vice versa association. Furthermore, this research presents a practical relevance for the stock market investors that health uncertainty regime affected the insignificant association between oil price and stock market indices and this relation turns out to be significant during the crisis regime. |
| format | Article |
| id | doaj-art-e4562499db8b40c98ba536eb36554781 |
| institution | DOAJ |
| issn | 2332-2039 |
| language | English |
| publishDate | 2022-12-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj-art-e4562499db8b40c98ba536eb365547812025-08-20T03:22:21ZengTaylor & Francis GroupCogent Economics & Finance2332-20392022-12-0110110.1080/23322039.2022.2129366The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19: Empirical insights of PakistanMosab I. Tabash0Zaheeruddin Babar1Umaid A Sheikh2Ather Azim Khan3Suhaib Anagreh4College of Business, Al Ain University, Al Ain, United Arab EmiratesFaculty of Management Studies, University of Central Punjab, Lahore, PakistanFaculty of Management Studies, University of Central Punjab, Lahore, PakistanFaculty of Management Studies, University of Central Punjab, Lahore, PakistanBusiness Department, Higher Colleges of Technology, Dubai, United Arab EmiratesThis study analyzes the trilateral relationship between macroeconomic variables of oil prices, stock market index, and exchange rate to demonstrate their behavior and inter-relationship in the economic setup of Pakistan. The investigated period includes daily time series data ranging from 4 January 2016 to 30 April 2021. The study consists of three sub-periods: the pre-COVID-19 period ranging from 4 January 2016 to 31 December 2019, COVID-19 period ranging from 1 January 2020 to 30 April 2021, and overall period ranging from 4 January 2016 to 30 April 2021 by using a Vector Autoregressive (VAR) model. The results illustrate that oil prices changes, and stock index have an insignificant direct relationship both in pre-COVID-19 and overall sub-periods of study while a positive and statistically significant relationship during the COVID-19 period. This research also suggests that stock index has a direct and statistically significant but negative impact on the exchange rate in all sub-periods of study. This research also gives practical implications for forex investors and traders to analyze the inflating and deflating stock market patterns for future investment opportunities. However, most of the previous studies emphasized on the direct influence of exchange rate on the stock market and no effort is made on vice versa association. Furthermore, this research presents a practical relevance for the stock market investors that health uncertainty regime affected the insignificant association between oil price and stock market indices and this relation turns out to be significant during the crisis regime.https://www.tandfonline.com/doi/10.1080/23322039.2022.2129366Transmission mechanism between OP and EROil prices and stock market indicesCOVID-19Unrestricted VAR frameworkVariance decomposition in VARIRF |
| spellingShingle | Mosab I. Tabash Zaheeruddin Babar Umaid A Sheikh Ather Azim Khan Suhaib Anagreh The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19: Empirical insights of Pakistan Cogent Economics & Finance Transmission mechanism between OP and ER Oil prices and stock market indices COVID-19 Unrestricted VAR framework Variance decomposition in VAR IRF |
| title | The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19: Empirical insights of Pakistan |
| title_full | The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19: Empirical insights of Pakistan |
| title_fullStr | The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19: Empirical insights of Pakistan |
| title_full_unstemmed | The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19: Empirical insights of Pakistan |
| title_short | The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19: Empirical insights of Pakistan |
| title_sort | linkage between oil price stock market indices and exchange rate before during and after covid 19 empirical insights of pakistan |
| topic | Transmission mechanism between OP and ER Oil prices and stock market indices COVID-19 Unrestricted VAR framework Variance decomposition in VAR IRF |
| url | https://www.tandfonline.com/doi/10.1080/23322039.2022.2129366 |
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