Abstract
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The current study calculated the asymmetric effect of Oil Price on the Stocks Market of the USA from 1996 to 2009 by applying the asymmetric Autoregressive Distributed Lag (ARDL) co-integration technique. The generated results proved the long-term asymmetries between Oil price and Stock Market Index. Oil Price shocks affect the stock market of the USA significantly and positively. Both negative and positive Oil Price shocks have a positive effect on the stock market index of the USA. By applying the Phillips and Peron (PP) Unit root Test it is concluded that data is stationer at mixture which allowed to apply the ARDL technique. After applying the Bound test study move towards NARDL to verify the long-term relationship between Oil Price and Stock Market Index. The dependent variable is Stock Market Index, the Main independent variable is Oil Price and other related independent variables are the Exchange rate and Foreign Direct Investment. In this way, positive and negative prices of oil shock waves are advantageous for the oil exporters like the USA. The effect of FDINI is also favorable since once foreign investors finance in the host country then job opportunities, employment, income and purchasing power increase and then economic development and export also increase |
Keywords
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Asymmetric Non-Linear Auto Regressive Distributed Lag, Foreign Direct Investment, Oil Price, Real Effective Exchange Rate, Stock Market Index |
Article
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Article # 44
Volume # 3
Issue # 2
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DOI info
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DOI Number: 10.47205/jdss.2022(3-II)44
DOI Link: http://doi.org/10.47205/jdss.2022(3-II)44
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