Wyniki wyszukiwania - BazEkon

1

Analiza związków pomiędzy wybranymi rynkami kapitałowymi z wykorzystaniem pojęcia przyczynowości w sensie Grangera

100%

Dziekoński K., Tarka D.

Prace Naukowe Akademii Ekonomicznej we Wrocławiu. Taksonomia

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2005

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12

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nr 1076 Klasyfikacja i analiza danych - teoria i zastosowania

623-631

W prezentowanym artykule autorzy analizują wpływ zachowań rynków sklasyfikowanych jako centra finansowe (giełdy, których kapitalizacja w grudniu 2003 r. przekroczyła 500 mld euro) na zachowania rynków lokalnych. Za centra finansowe przyjęto giełdy: Niemiec, Francji, Wielkiej Brytanii i Stanów Zjednoczonych. Za najbardziej reprezentatywny rynek kapitałowy krajów w procesie transformacji przyjęto giełdę w Warszawie. Jest to jednocześnie rynek, na którym może być widoczny wpływ największych i renomowanych rynków kapitałowych. Giełda w Warszawie, aspirująca do roli lidera rynków środkowoeuropejskich, może mieć największy potencjał w przeciwstawianiu się naciskom, rozumianym jako wartości notowań, płynącym z rynków zagranicznych. Dodatkowym atutem giełdy w Warszawie jest spory udział inwestorów zagranicznych, wynoszący w 2001 r. ok. 39%, oraz to, że są na niej notowane praktycznie tylko polskie firmy. Jeżeli inwestorzy zagraniczni przy wycenie akcji polskich firm nie będą się kierować globalną sytuacją ekonomiczną, może to świadczyć o niewielkim jeszcze stopniu zintegrowania polskiego rynku kapitałowego z globalnym rynkiem kapitałowym i/lub niewielkim wpływie "psychologicznym" centrów finansowych. (fragment tekstu)

2

Modeling Dynamic Causalities between the Indonesian Rupiah and Forex Markets of ASEAN, Japan and Europe

100%

Sofyan H., Majid M. S. A., Rahmanda M. R.

Contemporary Economics

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2019

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13

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nr 1

35-48

Historically, the Indonesian Rupiah (IDR) has fluctuated throughout the years, and its fluctuations have been very much interrelated with other forex markets. Since the IDR fluctuations impact national economic growth, investigating the movements of forex markets with respect to the IDR provides important policy implications. Due to limited previous studies investigating the interactions between the IDR and forex markets, this study explores the dynamic causality over both the short and long run between the IDR and the forex markets of ASEAN (Association of South East Asian Nations), Japan and Europe. The study utilizes the daily nominal exchange rates of Indonesia, Thailand, Malaysia, Singapore, the Philippines, Japan, the U.S., and Europe spanning from January 1, 2008, to December 31, 2015. These data were then analyzed using the cointegration and vector error correction (VECM) techniques. The study found that the IDR was cointegrated with the forex markets of ASEAN, Japan, and Europe. The IDR was found to be the most dependent market compared to the other ASEAN forex markets since those forex markets appeared to have close causal linkages between them. For multivariate causalities, the Philippine Peso was found to be the only forex market that was independent of both the Japanese and European forex markets. Additionally, the ASEAN forex markets were more influenced by the forex markets of Japan rather than those of Europe. Since the forex markets become more integrated regionally, there is a need for policy synchronization among those countries in order to manage the impacts of forex fluctuations. (original abstract)

3

Causal Relationships Between the Metals Market and the Stock Market in the Face of the Changes Taking Place in the Modern World

100%

Zeug-Żebro K.

Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska

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2022

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z. 167 Contemporary Challenges in the Performance of Organisations = Współczesne wyzwania organizacji

623-636

Purpose: The high uncertainty on the industrial metals market that has occurred in recent years is an important premise for looking for methods that will allow for a good predict of the price of these raw materials and their volatility in the future. The detection of causal relationships between the price of metals and the rate of certain financial instruments may improve the quality of forecasts by reducing the variance of the prediction error. The aim of the research is to test of the causality between the rate of the selected metals and the factors influencing their price. Design/methodology/approach: In order to study the causal relationships between the selected variables, the linear Granger test and the non-parametric Diks-Panchenko test were used. The second test can be used to detect causal relationships that are not necessarily linear. Findings: In the first phase of the research, the Granger linear causality test of variable pairs was carried out. For this purpose, the equations of the VAR model with the same number of lags for both variables were estimated and the test of the total significance of the delays of a given variable was applied in the equation explaining the second variable. Then, in order to compare the obtained results, the non-parametric Diks-Panchenko test was used for the same variables. Research limitations/implications: The indications of the Diks-Panchenko test depend on the number delays of variables. At a later stage of the research, one should, inter alia, check in more detail the influence of the delays adopted for the variables in this test. Practical implications: Application in making investment decisions on the capital market. Originality/value: The use of information on causal relationships to improve the quality of industrial metal price forecasts.(original abstract)

4

Identification of Cause-and-Effect Relationships in the Real Estate Market Using the VAR Model and the Granger Test

75%

Cellmer R., Bełej M., Cichulska A.

Real Estate Management and Valuation

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2019

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vol. 27, iss. 4

85-95

The real estate market, as an open, complex and dynamic system, responds to changes in the environment of economic, legal or social conditions, although the pace and direction of these changes depends on the level of inertia of this system. At the same time, this market stimulates the market environment through prices. This study attempts to identify cause-and-effect relationships in the scope of the impact of selected economic and social indicators on prices of residential premises, as well as to identify the effects of price changes on these indicators. The time horizon of the study covered the years from 2008 to 2018. In the studies, to assess the stationarity of time series, an extended Dickey-Fuller test was used for the model with a free expression and linear trend, a vector autoregression model (VAR) was then constructed and Granger tests and impulse response analysis were performed using the Impulse Response Function (IRF). As a result, it was demonstrated that the response of real estate prices to the impulse from explanatory variables appears between the first and the fourth quarters, and expires after about three years. (original abstract)

5

The Causal Link between FDI and Remittances in Kosovo, Switzerland, and Denmark

75%

Kida N.

Comparative Economic Research

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2021

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24

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nr 2

45-68

Pogoń za pieniędzmi i kapitałem jest nieustannym dążeniem każdej gospodarki. BIZ są uważane za siłę napędową wzrostu gospodarczego, podczas gdy przekazy pieniężne są w coraz większym stopniu katalizatorem dobrobytu ludności. Celem opracowania jest analiza związku między przekazami pieniężnymi a napływem BIZ do Kosowa, Szwajcarii i Danii. Wtórne dane uzyskane z opracowania World Development Indicators zostały przeanalizowane za pomocą metody zwykłych najmniejszych kwadratów i testu przyczynowości Grangera oraz przetworzone techniką SPSS 21. Pomiar korelacji między zmiennymi: bezpośrednimi inwestycjami zagranicznymi, wzrostem PKB per capita, saldem migracji, przekazami pieniężnymi, nakładami brutto na środki trwałe, spożyciem gospodarstw domowych i liczbą ludności, daje wiarygodne wyniki. Wykorzystując przekazy pieniężne jako zmienną zależną, pierwsza hipoteza została częściowo potwierdzona. Najbardziej istotne statystycznie determinanty zwiększające przekazy pieniężne to populacja, bezrobocie i migracje. Wyniki regresji są niezadowalające w przypadku zmiennej zależnej BIZ (druga hipoteza). Determinanty są skorelowane pozytywnie, ale nieistotnie statystycznie, co potwierdza, że istnieją inne czynniki wpływające na wzrost napływu BIZ. Macierz korelacji wykazuje wysoką korelację między zmiennymi. Model przyczynowości Grangera, poprzez test Walda, reprezentuje przyczynę tego zjawiska. BIZ nie generują przekazów pieniężnych, ale przekazy pieniężne wpływają na wielkość BIZ. Ograniczeniem badania jest niejednorodność danych i krajów w próbie. Wyniki badania będą posłużyć instytucjom rządowym w Kosowie do poprawy otoczenia biznesowego, tak aby kraj stał się atrakcyjny dla inwestorów zagranicznych, dzięki którym nastąpi wzrost kapitału i zatrudnienia. (abstrakt oryginalny)

6

Economic Restructuring and Employment in Vietnam: A Panel Granger Causality Approach

75%

Trong N. T., Dong N. T., Ly P. T.

Journal of International Studies

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2021

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14

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nr 2

58-69

Economic restructuring is an objective process that alters structure, density, speed and quality of economic relations between sectors and regions to achieve a more reasonable structure for the social and economic development of a country. This process can be very diverse, as sometimes it is not in accordance with rules, thus the results of economic restructuring may depend on subjective or objective factors. Vietnam is a country with an abundant labor force, thus economic restructuring towards creating more jobs for workers is considered a key task of its today's economy. Through the statistical data on the structure of economic sectors and employment in 56 provinces and cities across the country in the period of 1998-2017, combined with the use of Granger causality method, the article examines the relationship between economic restructuring and employment in Vietnam. The research results show that economic restructuring has a positive impact on employment, but there is no statistical evidence for the effect of employment on economic restructuring. The research results are consistent with the reality of economic restructuring and job growth in Vietnam, because when the structure of the economic sector changes suit the development of the world, the labor market in Vietnam also changes to meet the changing needs of the economy. (original abstract)

7

The Tourism-Led Terrorism Hypothesis - Evidence from Italy, Spain, UK, Germany and Turkey

75%

Nikšić Radić M., Dragičević D., Barkiđija Sotošek M.

Journal of International Studies

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2018

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11

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nr 2

236-249

The aim of this study was to explore the causal relationship between terrorism and international tourism arrivals in several selected European tourist destinations. The main goal is to look at this issue from another perspective, i.e. whether the tourism-led terrorism hypothesis can be proved valid in addition to the already established terrorist-led tourism hypothesis. The study used econometric techniques such as the unit root test, the Granger causality test in a vector autoregressive model (VAR model), the analysis of variance decomposition and the impulse response function for the monthly time-series data from 2001 (1) to 2015 (12). Based on the research conducted, it was found that tourism Granger causes terrorism in Turkey, United Kingdom and Germany, while terrorism Granger causes tourism in Italy and Spain. (original abstract)

8

Scientific Research Activity and GDP : an Analysis of Causality Based on 144 Countries from Around the World

75%

Dębski W., Świderski B., Kurek J.

Contemporary Economics

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2018

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12

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nr 3

315-336

Using the Granger methodology, this paper presents the causal relationship between scientific research activity, expressed as the number of significant publications, and gross domestic product (GDP). With causality tests, this relationship is investigated from two points of view: for each individual country (144 were selected) and for each specific academic field (28 were selected). Considering annual data from 1996 to 2012, two hypotheses are tested. The first suggests that scientific research activity in a given country has a significant effect on GDP; the second verifies how much each specific field of scientific research activity affects this growth. Our research confirmed the existence of this relationship for a relatively large number of countries, especially highly developed countries and those with a high potential both in the fields of scientific research activity and in GDP. Moreover, this study identifies the most significant fields of this activity that affect GDP. Additionally, the article includes an empirical study regarding how information related to the number of significant scientific publications influenced the quality of Polish GDP forecasts for 2011-2012. (original abstract)

9

Financial Development and Investment in Botswana: A Multivariate Causality Test

75%

Muyambiri B., Odhiambo N. M.

Folia Oeconomica Stetinensia

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2018

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vol. 18, iss. 2

72-89

The increasing use of the Internet as a commercial sales channel arouses interest in understanding key issues in building customer relationships. Confidence is considered the key to the success of building these relationships. Considering the differences between online and offline sales, the antecedents and consequences of trust deserve a reconsideration. This research identifies satisfaction and knowledge as key factors related to trust in the context of online sales. The findings from this study suggest that people buy online more often if they see a higher level of trust in e-commerce and have more experience in using the web. Customer satisfaction can be influenced by the level of trust as well as the user's experience and knowledge about the distribution channel as well as the e-seller. It seems that people with a higher level of satisfaction with shopping become loyal customers and more often participate in e-commerce. Positive experience and the ability to monitor purchases favors the development of the e-commerce market in Poland. These results complement earlier arrangements for e-commerce and shed light on how to establish a trust relationship on the World Wide Web.(original abstract)

10

External Debt, Domestic Debt and Inflation in Nigeria: A Multivariate Granger-Causality Test

75%

Aimola A. U., Odhiambo N. M.

Econometric Research in Finance

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2022

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7

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nr 2

143-169

Most recent studies have established a significant link between public debt and inflation. However, limited studies dealt with the direction of causality between these variables. Since external public debt relief in 2005, the Nigerian government has pursued public debt management strategy aimed at restoring macroeconomic stability. Yet, inflation rates remain high compared to the Central Bank's single digit policy target range of 6\% to 9\%. It is unclear whether the high inflation rate is related to the renewed contributions of external and domestic public debt in the funding of the budget deficit, and if it is, what could be the direction of the causality? Therefore, this study examines the dynamic Granger-causality between public external and domestic debt and inflation in Nigeria using annual data for the period between 1986 and 2019. The study introduces interest rate and economic growth as intermittent variables alongside key variables to create a multivariate Granger-causality model to account for omission-of-variable bias. Using the Autoregressive Distributed Lag (ARDL) bounds testing approach to cointegration and the error correction model (ECM)-based Granger-causality test, the results show a distinct unidirectional causal flow from inflation to external debt. The findings further show a feedback relationship between domestic debt and inflation in the short run, but causality runs from domestic debt to inflation in the long run. The findings of this study have important policy implications.(original abstract)

11

O wartości informacyjnej testów przyczynowości w sensie Grangera

75%

Maziarz M.

Optimum : studia ekonomiczne

|

2015

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nr 2 (74)

152-170

Celem artykułu jest wykazanie na podstawie przeglądu badań, że zastosowanie testów Granger-przyczynowości nie dostarcza wiarygodnych informacji o zależności pomiędzy badanymi szeregami czasowymi, jeżeli nie dysponuje się wiedzą teoretyczną na ich temat. Dotychczasowa krytyka testowania przyczynowości w sensie Grangera skupiała się przede wszystkim na wskazywaniu różnic pomiędzy tradycyjnie rozumianą przyczynowością a definicją zaproponowaną przez Grangera. Autor wykazuje, że analizowana definicja przyczynowości ma uzasadnienie filozoficzne, jednak stosowanie testów Granger-przyczynowości prowadzi do błędnych wniosków, co jest wynikiem m.in.: nieliniowości szeregów czasowych, zbyt rzadkiego próbkowania szeregów czasowych, skointegrowania zmiennych, zdeterminowania szeregów czasowych przez trzecią zmienną, istnienia zależności nieliniowej oraz racjonalnych oczekiwań podmiotów ekonomicznych. Analiza opisanych w literaturze przypadków zawodności wyników testów przyczynowości w sensie Grangera pozwala stwierdzić, że wyciągnięcie wniosków o istnieniu i kierunku zależności przyczynowej na podstawie testu Granger-przyczynowości jest możliwe tylko wtedy, gdy posiada się wiedzę o mechanizmie łączącym dwa szeregi czasowe. (abstrakt oryginalny)

12

The Structure - Conduct - Performance Paradigm in the European Union Banking

75%

Gavurova B., Kocisova K., Kotaskova A.

Economics & Sociology

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2017

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10

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nr 4

99-112

In this study we investigate the structure and performance at the European Union (EU) banking market as a whole between 2008 and 2015. The structure of this banking market was measured by two main concentration indices: the Herfindahl-Hirschman Index (HHI) and the Concentration Ratio for 5 largest banks (CR5). The results show a stable development in concentration until 2012, and a significant decrease in 2012. Since 2013, the level of concentration increased, reaching its historical maximum at the end of 2014, when the increase in market concentration was reflecting primarily the decline in the number of credit institutions. The performance was measured by means of profitability indicators: the Return on Assets (ROA) and the Return on Equity (ROE). Since 2008, the development of the market in question was affected by the financial crisis, which resulted in low profitability till the end of 2013. In more recent years the profitability in European banking market slightly increased. The purpose of this paper was to examine the relations between structure and performance. We tried to test the presence of structure-conduct- performance (SCP) paradigm in the EU conditions. The presence of this paradigm was verified using the Granger causality test for panel data. The results of our analysis show that under the studied conditions only the one-way relationship running from banking sector performance to banking market concentration was approved. The findings do not confirm the presence of the SCP paradigm, but are in line with the quiet life hypothesis, thus indicating there is a negative relationship between concentration and performance at European banking market. (original abstract)

13

Study on the influence of foreign direct investment on innovations in enterprises in Poland using the ECM model

75%

Salamaga M.

Argumenta Oeconomica

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2023

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nr 1 (50)

119-136

In many theories of economics and empirical research, foreign direct investment (FDI) is perceived as a potential technology transfer channel bringing tangible benefits to FDI exporting countries and host countries. In light of some theories, such as Vernon's product life cycle theory or Dunning's pull factor theory, and the results of empirical research, the impact of inward FDI flows inhibits the development of innovation or has a neutral effect on innovation in the host country. In the era of the growing internationalisation of enterprises, and the search for opportunities for enterprises to compete on the domestic and foreign markets, innovation is becoming one of the most important elements of building a competitive advantage. Innovation and new technologies are also of fundamental importance for Polish enterprises that want to compete effectively. The question is, to what extent FDI in Poland favours this process, and to what extent limits it? In the empirical studies conducted so far for the Polish economy in the field of the relationship between the inflow of FDI and innovation, there are not many models that would allow to describe the cause-effect relationship between the discussed categories. The authors of this article attempt to fill this research gap. The main goal was to examine the directions and intensity of the impact of foreign direct investment on the level of innovation of enterprises in the main sectors of the economy in Poland. The study used, among others, panel data models with error correction mechanism (ECM) and the Granger causality test. The results confirmed the positive impact of foreign direct investment on the innovativeness of enterprises both in the industrial sector and in the service sector. Moreover, the impact of FDI on the innovativeness of enterprises in the industrial sector turned out to be stronger than the impact on the innovativeness of companies from the service sector.(original abstract)

14

On the Interpretation of Causality in Granger's Sense

75%

Osińska M.

Dynamic Econometric Models

|

2011

|

11

129-140

Koncepcja przyczynowości sformułowana w 1969 roku przez C.W.J. Grangera jest najbardziej popularna w literaturze ekonometrycznej. Centralnym założeniem tej koncepcji jest fakt, że przyczyna poprzedza skutek i jest pomocna w prognozowaniu skutku w przyszłości. Lata stosowania koncepcji przyczynowości w sensie Grangera zaowocowały wieloma nieporozumieniami związanymi z interpretacją wyników empirycznych. Artykuł dotyczy systematyzacji definicji przyczynowości w sensie Grangera i ich właściwej interpretacji. (abstrakt oryginalny)

15

Powiązania bezrobocia na lokalnych rynkach pracy - przykład Szczecina i gmin sąsiadujących

75%

Radlińska K.

Studia i Prace WNEiZ US

|

2017

|

nr 50 T. 2. Metody ilościowe w ekonomii

141-152

Rynek pracy jest obszarem wielu rozważań teoretycznych i empirycznych. Szczególnie ważne wydaje się poznanie mechanizmu powiązań, jakie zachodzą na rynkach pracy. Celem artykułu jest próba określenia powiązań bezrobocia w mieście Szczecin z bezrobociem w gminach bezpośrednio z nim sąsiadujących. W ramach badań starano się określić rodzaj powiązań łączących analizowane rynki oraz kierunek tej zależności. Badaniami objęto rynki pracy miasta Szczecina oraz gmin bezpośrednio z nim sąsiadujących. Analizę powiązań przeprowadzono na podstawie miesięcznych danych dotyczących liczby bezrobotnych w latach 2001-2015. Do badań wykorzystano test Johansena oraz test przyczynowości Grangera. Uzyskane wyniki wskazują na długookresowy związek liczby bezrobotnych w mieście Szczecin z liczbą bezrobotnych w gminach sąsiadujących.(abstrakt oryginalny)

16

Foreign Direct Investment Outflow as a Determinant of Exports from Central and Eastern Europe - Evidence from Poland

75%

Adamczyk P.

Journal of International Studies

|

2021

|

14

|

nr 4

23-38

For Poland, as well as for other Central and Eastern European countries, export is an important factor for economic development. Particular importance of exports in these countries is attributed to FDI inflows. However, both theory and empirical research indicate that FDI outflows (even though their values are smaller than the values of inflows) may also affect exports from these countries. After 2004 there was a sharp increase in Polish investments in Europe, which was also the main destination of Polish exports, raising the question of how this would affect exports. The purpose of this paper is to prove that FDI outflow affects exports more than its inflow. Granger causality test was used to examine the causality between the accumulated FDI flows and exports in selected manufacturing industries. The study showed that FDI outflow was determining exports in three industries, whereas FDI inflow was dictating exports in two industries. Additionally, there was causality from FDI outflow to exports at the macroeconomic level and from exports to FDI inflow at the sector level (manufacturing). The conclusion is that more emphasis should be put on examining the consequences of FDI outflow from the countries of Central and Eastern Europe. (original abstract)

17

Comparing Links between Topic Trends and Economic Indicators in the German and Polish Academic Literature

75%

Bystrov V., Naboka-Krell V., Staszewska-Bystrova A., Winker P.

Comparative Economic Research

|

2024

|

27

|

nr 2

7-28

W ostatnim czasie obserwować można gwałtowny wzrost popularności metod analizy ekonomicznej wykorzystującej zmienne pozyskane z tekstów. Jednym z najczęściej stosowanych podejść jest modelowanie tematów, które pozwala na oszacowanie, jak waga poszczególnych tematów zmieniała się w czasie. Celem artykułu jest zbadanie, czy mierzona za pomocą wag popularność tematów była powiązana z wybranymi zmiennymi ekonomicznymi. W badaniu wykorzystano artykuły naukowe z obszaru ekonomii, opublikowane w Polsce i Niemczech w latach 1984-2020. Jednym z celów analizy było stwierdzenie, czy zależności pomiędzy popularnością wybranych tematów w Polsce i w Niemczech i powiązanymi z nimi wskaźnikami ekonomicznymi były podobne. Badanie przeprowadzono za pomocą modeli wektorowej autoregresji i testów przyczynowości Grangera. (abstrakt oryginalny)

18

Test przyczynowości w sensie Grangera między stopami zwrotu z akcji, zmianami koniunktury gospodarczej i wskaźnikami sentymentu ekonomicznego - badania na rynku polskim

75%

Sekuła P.

Annales Universitatis Mariae Curie-Skłodowska. Sectio H. Oeconomia

|

2019

|

53

|

nr 4

129-139

Cel artykułu: W opracowaniu przedstawiono empiryczne badanie zależności między stopami zwrotu na rynku akcji, zmianami koniunktury gospodarczej i wskaźnikami sentymentu ekonomicznego. Metody badawcze: W badaniu wykorzystano dwuwymiarowy model VAR i przeprowadzono testy przyczynowości Grangera. Wykorzystano dane kwartalne obejmujące okres od września 2001 r. do grudnia 2018 r. Główne wnioski: Wyniki empiryczne wskazały na jednokierunkową przyczynowość od wahań koniunktury gospodarczej do wskaźników sentymentu ekonomicznego oraz od zwrotów na rynku akcji do wskaźników sentymentu ekonomicznego. Testy nie potwierdziły związku przyczynowego między wahaniami koniunktury gospodarczej a zwrotami na rynku akcji.(abstrakt oryginalny)

19

Nonlinear Granger Causality between Natural Gas and Heating Oil Prices and Selected Exchange Rates

75%

Zeug-Żebro K.

Zeszyty Naukowe. Organizacja i Zarządzanie / Politechnika Śląska

|

2023

|

z. 186 W kierunku przyszłości zarządzania

759-769

Purpose: The currently observed uncertainty in financial markets related to changes taking place in the modern world requires investors to look for tools that allow for good forecasting of the price of financial instruments. The detection of causal relationships may contribute to improving the quality of forecasts by reducing the variance of the prediction error. The aim of the research is to detect nonlinear Granger causality in both directions between selected financial instruments and to check whether the identified relationships are stable over time. Design/methodology/approach: The study of causal relationships between selected financial instruments was carried out using the nonparametric Diks-Panchenko test. This test identifies all types of relationships: linear and nonlinear. Findings: In the first phase of the study, nonlinear Granger causality was tested using the nonparametric Diks-Panchenko test. Six values of lags and two distance measures were used. It is then shown that the significance of the detected relationships has changed in recent years. For this purpose, two directions of causality and three sub-periods were analyzed. Research limitations/implications: Due to the short-term character of the detected relationships, they should be taken into consideration primarily by market participants, to create effective investment portfolios and risk-hedging strategies. Practical implications: Application in making investment decisions on the capital market. Originality/value: The use of information on causal relationships to improve the quality of forecasts related to the energy and currency markets. (original abstract)

20

Sectoral Sensitivity of Oman Stock Market to Oil Price Movements

75%

Anasweh M.

Journal of International Studies

|

2021

|

14

|

nr 1

216-226

This study investigates Omani stock market responses to the decline in oil prices. It examines the effects at both market and sectoral levels, specifically to distinguish the sector reaction from the market reaction as a whole. The period of the study, covering 10 years from 2010-2019, experienced huge swings in oil prices. Using Granger causality and regression analysis, the results support the asymmetric sensitivity of stock market returns to oil price fluctuations. This study also concludes that the Omani stock market and its heterogeneous sectors differ in their responses to oil price fluctuations. Oman stock market is dealing with the drop in oil prices by reducing the dependence of certain sectors on oil revenues which would make them less susceptible to the decline in oil prices. Further studies, employing different methodologies to investigate other GCC stock markets, will increase our understanding of the dynamics between oil price fluctuations and GCC sectoral returns. (original abstract)