OIL PRICES MOVEMENTS AND INDUSTRY STOCK RETURNS: EVIDENCE FROM PAKISTAN STOCK EXCHANGE (PSX)

M. Asif, Sharif Ullah Jan, Shabab Iqbal
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引用次数: 1

Abstract

The recent financial and economic recessions have chiefly increased the importance of risk management and forecasting for business firms. Capital markets being the main pillar of economy are affected the most in such circumstances. The current study has attempted to investigate the impact of oil prices on the returns and volatility of Pakistani listed firms using the GARCH (1,1) model. Furthermore, this relationship has been investigated by categorizing the existing sectors of the Pakistan Stock Exchange (PSX) into oil producers, oil users, and oil substitutes for the period from January 2015 to December 2019. The findings of the study highlighted some strong evidence regarding the oil price movement and the firms’ returns across these sectors. Interestingly, firms’ returns behave differently about the magnitude of significance and direction of symbols based on their nature of the industry. Therefore, it is suggested for future studies to consider the nature of the sector of oil while exploring the relationship between oil prices and stock returns.
石油价格变动和行业股票回报:来自巴基斯坦证券交易所(psx)的证据
最近的金融和经济衰退主要增加了风险管理和预测对商业公司的重要性。在这种情况下,作为经济主要支柱的资本市场受到的影响最大。目前的研究试图利用GARCH(1,1)模型调查石油价格对巴基斯坦上市公司收益和波动性的影响。此外,通过将2015年1月至2019年12月期间巴基斯坦证券交易所(PSX)的现有行业分类为石油生产商、石油用户和石油替代品,研究了这种关系。研究结果强调了一些关于油价走势和这些行业公司回报的有力证据。有趣的是,基于行业性质的不同,公司的回报对符号的重要性和方向表现不同。因此,建议未来的研究在探讨石油价格与股票收益的关系时,考虑石油行业的性质。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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