Does oil price uncertainty matter for stock returns in South Africa?

Show simple item record Aye, Goodness Chioma 2016-04-18T09:43:56Z 2016-04-18T09:43:56Z 2015
dc.description.abstract This paper examines the impact of oil price uncertainty on South Africa’s stock returns using weekly data that cover the period 1995:07:01 to 2014:08:30. The measure of oil price uncertainty is the conditional standard deviation of the one-step-ahead forecast error for the change in the price of oil. A bivariate GARCH-in-mean vector autoregressive model was used for analysis. The results with oil price in US Dollars show that oil price uncertainty had negative but marginally significant effect on stock returns. However, when oil price is converted to Rands, the effect is still negative effect but significant at 5%. The study also finds that accounting for oil price uncertainty in an oil price-stock returns equation tends to amplify the negative dynamic response of stock returns to a positive oil shock, while diminishing the response of stock returns to a negative oil price shock compared to a model which excludes oil price uncertainty from entering the oil price-stock returns equation. Furthermore, the response of stock returns to negative and positive oil price uncertainty shocks is asymmetric. en_ZA
dc.description.department Economics en_ZA
dc.description.librarian am2016 en_ZA
dc.description.uri,com_journals/id,4 en_ZA
dc.identifier.citation Aye, GC 2015, 'Does oil price uncertainty matter for stock returns in South Africa?', Investment Management and Financial Innovations, vol. 12, no. 1, pp. 179-188. en_ZA
dc.identifier.issn 1810-4967 (print)
dc.identifier.issn 1812-9358 (online)
dc.identifier.issn 1813-4998 (cd-rom)
dc.language.iso en en_ZA
dc.publisher LLC “СPС “Business Perspectives” en_ZA
dc.rights © Goodness C. Aye, 2015 en_ZA
dc.subject Real oil price en_ZA
dc.subject Real stock returns en_ZA
dc.subject Volatility en_ZA
dc.subject Asymmetry en_ZA
dc.subject GARCH-in-mean VAR en_ZA
dc.subject Emerging market en_ZA
dc.title Does oil price uncertainty matter for stock returns in South Africa? en_ZA
dc.type Article en_ZA

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