Influence of Oil Price Volatility of Developed Countries on Emerging Countries Stock Market Returns by Using Threshold Based Approach

摘要

This study reveals the nonlinear relationship between oil price volatility of the developed countries and emerging stock market returns. We analyzed the effects of oil price volatility of the developed markets style="font-family:Verdana;font-size:12px;">i.e. style="font-family:Verdana;font-size:12px;"> India, United States and United Kingdom on the emerging stock market returns. We used VAR, Granger Causality, impulse responses and logistic transition based autoregressive model (LSTR) in two groups. In group one style="font-family:Verdana;">, style="font-family:Verdana;"> we considered US oil price volatility with six emerging countries style="font-family:Verdana;">and regions style="font-size:10pt;font-family:""> style="font-family:Verdana;font-size:12px;">stock market returns style="font-family:Verdana;font-size:12px;">i.e. style="font-family:Verdana;font-size:12px;"> France, Spain, Malaysia, Japan, Singapore and Taiwan. In group two, we considered oil price with respect to India with the same six emerging countries stock market returns. The data covers the daily closing prices for seven years from 2011 to 2017 for emerging countries and for oil prices the data we use West Texas Intermediate (WTI) spot price of crude oil for US and India. This study help style="font-family:Verdana;">s style="font-family:Verdana;"> the investors to understand the impact of oil prices of US and Indian market with respect to emerging markets and whether to identify the dependency of emerging stock markets returns on the oil prices of US and India. style="font-size:10pt;font-family:""> style="font-family:Verdana;">All the analysis was performed by using R and EVIEWS software.