Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model

被引：60

作者：

Hashmi, Shabir Mohsin ^{[1
]}

Chang, Bisharat Hussain ^{[2
]}

Huang, Liangfang ^{[3
]}

Uche, Emmanuel ^{[4
]}

机构：

[1] Yancheng Inst Technol, Sch Econ & Management, Yancheng, Jiangsu, Peoples R China

[2] SZABIST, Dept Management Sci, Larkana Campus, Larkana, Pakistan

[3] Liuzhou Inst Technol, Sch Econ & Management, 99 Xinliu Ave, Liuzhou, Guangxi, Peoples R China

[4] Abia State Univ Uturu, Dept Econ, Uturu, Abia State, Nigeria

来源：

RESOURCES POLICY | 2022年 / 75卷

关键词：

Quantile ARDL model; Oil prices; Stock market; Exchange rate; Pakistan; MACROECONOMIC VARIABLES; RISK-FACTORS; GOLD PRICE; SHOCKS; MARKET; RETURNS; LINKAGES; DYNAMICS; PAKISTAN; IMPACT;

D O I：

10.1016/j.resourpol.2021.102543

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

This study examines the interaction between oil prices, exchange rate, and stock returns in Pakistan by using quarterly data from January 2000 to December 2019. We extend the existing literature by using quantile ARDL model which helps to examine the short-run and long-run relationship across different (bullish, bearish, and normal) states of oil, currency, and stock markets. Findings indicate that the impact of oil prices and exchange rate on stock prices varies across bullish, bearish, and normal states of the stock market. On the contrary, the impact of oil prices and stock prices on exchange rate does not vary across different states of the currency market. These findings provide important policy implications for Governments and other stakeholders in the context of Pakistan.

引用

页数：8

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