Oil and Stock Prices: New Evidence From a Time Varying Homogenous Panel Smooth Transitionvecmfor Seven Developing Countries

dc.authorscopusid 57189379499
dc.authorscopusid 35487536700
dc.authorscopusid 57218886081
dc.authorscopusid 23978235900
dc.authorwosid ceylan, reşat/GWM-5533-2022
dc.contributor.author Ceylan, Resat
dc.contributor.author Ivrendi, Mehmet
dc.contributor.author Shahbaz, Muhammed
dc.contributor.author Omay, Tolga
dc.contributor.other Economics
dc.date.accessioned 2024-07-05T15:39:07Z
dc.date.available 2024-07-05T15:39:07Z
dc.date.issued 2022
dc.department Atılım University en_US
dc.department-temp [Ceylan, Resat; Ivrendi, Mehmet] Pamukkale Univ, Dept Econ, Fac Econ & Adm Sci, Kinikli Campus, Denizli, Turkey; [Shahbaz, Muhammed] Montpellier Univ, Montpellier, France; [Omay, Tolga] Atilim Univ, Dept Econ, TR-06836 Ankara, Turkey en_US
dc.description.abstract This paper investigates the relationship between international oil price and stock prices applying the time varying causality testing over the period of 2000(M1)-2017(M3). The panel unit root and panel cointegration tests considering cross-section dependence are also employed. A time varying panel smooth transition vector error correction (TV-PSTRVEC) model is a developed and estimated for testing the presence of non-linear short-run and long-run causality, and cointegrating relationship between stock and oil prices. The empirical findings indicate that short and long-run causalities between oil price and stock prices are time-dependent. Moreover, oil price cause stock prices in the long-run. In the short-run, neutral effect exists between oil price and stock prices. These two findings are evidence of a strong exogeneity of oil price in time-dependent regimes which is also supporting the recent arguments and empirical findings. en_US
dc.identifier.citationcount 4
dc.identifier.doi 10.1002/ijfe.2202
dc.identifier.endpage 1100 en_US
dc.identifier.issn 1076-9307
dc.identifier.issn 1099-1158
dc.identifier.issue 1 en_US
dc.identifier.scopus 2-s2.0-85092104823
dc.identifier.scopusquality Q1
dc.identifier.startpage 1085 en_US
dc.identifier.uri https://doi.org/10.1002/ijfe.2202
dc.identifier.uri https://hdl.handle.net/20.500.14411/3179
dc.identifier.volume 27 en_US
dc.identifier.wos WOS:000574948700001
dc.identifier.wosquality Q2
dc.institutionauthor Omay, Tolga
dc.language.iso en en_US
dc.publisher Wiley en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/closedAccess en_US
dc.scopus.citedbyCount 5
dc.subject causality en_US
dc.subject oil price en_US
dc.subject stock prices en_US
dc.subject time-varying nonlinearity en_US
dc.title Oil and Stock Prices: New Evidence From a Time Varying Homogenous Panel Smooth Transitionvecmfor Seven Developing Countries en_US
dc.type Article en_US
dc.wos.citedbyCount 6
dspace.entity.type Publication
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