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Directional predictability from energy markets to exchange rates and stock markets in the Emerging market countries (E7+1): New evidence from cross-quantilogram approach

Tiwari, Aviral Kumar, Shahbaz, Muhammad, Khalfaoui, Rabeh, Ahmed, R., Hammoudeh, Shawkat (2022) Directional predictability from energy markets to exchange rates and stock markets in the Emerging market countries (E7+1): New evidence from cross-quantilogram approach. International Journal of Finance and Economics, . ISSN 1076-9307. (KAR id:96257)

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Abstract

We examine the directional predictability of energy stock returns on exchange rates and stock market in the E7+1 emerging market economies, which include India, China, Indonesia, South Korea, Turkey, Brazil, Mexico, and Russia, over the period 4 January 2000 to 31 May 2018. To achieve this, we carried out a cross-quantile analysis in the static and dynamic frameworks, using the bi-variate cross-quantilogram (CQ) and the partial cross-quantilogram (PCQ) approaches and a dynamic variant of such approaches. The predictability of the stock returns on the energy prices for WTI, Brent, OPEC, heating oil and natural gas is examined. Further relationships are also conditioned by using two measures of geopolitical risk, including the general geopolitical risk (GPRD), and the geopolitical risk threats (GPRD_Threat). The overall results highlight the importance of employing the partial cross-quantilogram approach in examining the predictability of different pairs of the energy prices, exchange rates and stock markets. They also indicate that controlling for GPRD and GPRD_Threat significantly improves the predictability of these variables. Policy implications of the empirical findings have been elaborated and discussed.

Item Type: Article
Uncontrolled keywords: Oil, Exchange rates; Emerging stock markets; Directional predictability; Cross-quantilogram.
Subjects: H Social Sciences > HF Commerce > HF5351 Business
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Funders: University of Kent (https://ror.org/00xkeyj56)
Depositing User: Rizwan Ahmed
Date Deposited: 17 Aug 2022 09:02 UTC
Last Modified: 20 Dec 2022 12:47 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/96257 (The current URI for this page, for reference purposes)
Ahmed, R.: https://orcid.org/0000-0002-1457-4115
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