OPEC Oil Price Research Articles

Stock price index analysis of four OPEC members: a Bayesian approach

This study examines the relationship between macroeconomic variables and stock price indices of four prominent OPEC oil-exporting members. Bayesian model averaging (BMA) and regularized linear regression (RLR) are employed to address uncertainties arising from different estimation models and variable selection. Jointness is utilized to determine the nature of relationships among variable pairs. The case study spans macroeconomic variables and stock prices from 1996 to 2018. BMA findings reveal a strong positive association between stock price indices and both consumer price index (CPI) and broad money growth in each analyzed OPEC country. Additionally, the study suggests a weak negative correlation between OPEC oil prices and the stock price index. RLR results align with BMA analysis, offering insights valuable for policymakers and international wealth managers.

Predicting long‐run risk factors of stock returns: Evidence from Australia

AbstractThis study utilises the stock market data provided by the Australian Equity Database to analyse the long‐run relationship between Australian stock returns and key macroeconomic variables over the period 1926–2017. To measure the diverse risk factors in the stock market, we examine the possible determinants in four main categories: real, financial, domestic and international. Our results reveal that historical stock returns are strongly connected to financial and international factors as compared to real and domestic factors. Both the 1973–1974 OPEC Oil Price Crisis and 2007–2008 Global Financial Crisis had dampening effects on stock returns. There is a positive association between the US and Australian stock markets in the long‐run. These findings on stock market dynamics and their linkages with domestic and international macroeconomic policy changes in the long‐run have important implications for traders and practitioners.

Examining the spillover effects of volatile oil prices on Iran’s stock market using wavelet-based multivariate GARCH model

Fluctuations in the oil market can significantly influence various sectors of the economy, such as the stock markets of countries that rely heavily on oil revenues. Oil prices are one of the key influential external factors affecting the stock exchange index of oil-dependent Iran. This paper investigates the spillover effects of oil prices on Iran’s stock exchange index weekly from March 2009 to March 2020. Using a time-series wavelet decomposition approach, a series of OPEC oil prices and Iran’s total stock market index were decomposed into various time scales (4 levels) to analyze oil market spillover into the stock market using the multivariate GARCH TBEKK model. The results confirmed that volatility spillover from the oil to the stock market occurred in all the time scales (short, medium, and long term). However, the spillover in the long term is more pronounced than over the short, demonstrating that stock market volatility is strongly influenced by long-term exogenous oil price fluctuations. Hence, oil market shocks are one of the influential factors affecting stock market turbulence in Iran.

The USA’s Shale Oil Revolution: OPEC Strategies and Oil Prices War in Global Economy

Background: At the beginning of 2020, the Covid-19 pandemic attacked the world and affected the continuity of the world economy. This condition also causes oil prices to decline further. OPEC plans a strategy to realize its role as a regulator of the world oil trade. Not only the global economy but the stock market is also affected by the decline in oil prices. Production of shale oil in the United States lowered OPEC oil prices, coupled with economic conditions during the Covid-19 pandemic which worsened the international economy. Aim: The authors examined changes in oil prices due to United States’ shale oil. Method: The qualitative method and literature review were employed in this study. The information was compiled from a variety of documents and other sources. Findings: The United States reduced its reliance on OPEC imports, which resulted in lower OPEC oil prices due to an oversupply and decreasing demand. Along with the Covid-19 epidemic, not only is the global economic collapse growing worse, but the decrease in oil prices in early 2020 is getting worse as well. Finally, the world economy suffered a downturn, which impacted the international capital market.

Greenfield Shipyards and Modernization in the British Shipbuilding Industry and Elsewhere, 1900–1977

This article considers the largely neglected topic of greenfield shipyards and modernization in British shipbuilding from 1900 to 1977. Post-1945, the end of the long-seller’s market for shipbuilders in 1958 ushered in a sustained period of intense international competition just as spatially limited British shipbuilding firms had begun, rather late in the day, to modernize their yards in an attempt to compete with more capital intensive-orientated and less spatially constrained shipyards in Japan and Sweden, and later, South Korea. Government then played an increasing role in modernizing the industry through grants and loans during the 1960s and early 1970s, but the industry continued to struggle, particularly three large firms engaged in VLCC construction before and after the OPEC oil price hikes in 1973-74 and thereafter to nationalization of the industry in 1977.

The Opec Oil Shock Crisis (1973): An Analysis

The OPEC Oil Embargo (1973) was precipitated by the Yom Kippur War. The United States was the first country to be sanctioned by Saudi Arabia, Libya, and other Arab countries on October 19, 1973 for its political and military support for Israel (particularly through the delivery of military equipment and arms, which played a key role in Israel's wars against neighboring countries). The 1973 Oil Embargo put a strain on a United States economy that had become increasingly reliant on foreign oil. The research is conducting to analyse the The Opec Oil Price Shock Crisis (1973) and Impact to United States of America. The objectivof this study is to examine the OPEC Oil Price Shock Crisis impact to United States of America. The concept of national interest is used to support the action of United States of America in solving the the crisis. The study is being carried out using a qualitative approach, including data gathered from secondary sources. The secondary data in this study also consists of printed and digital material gathered from articles and books. Findings of the study are several impacts that have a significant impact on the United States where it has already had an impact on the economy, politics and also the United States relationship with the OPEC organization. One of the obvious impacts is from an economic point of view. The U.S. economy undeniably experienced a downward trend during the oil crisis. It left no lasting impression, even more than a year on the United States. Not to forget the impact on U.S. politics. U.S. politics is seen as less stable and volatile after the oil crisis. But the United States Government is still able to work together to overcome this problem. Not to forget the impact on US relations and the OPEC Organization. The relationship between the two was seen to erode when the crisis began and in 1974 to 1975 witness their recovery phase but this crisis has taught the United States not to be too dependent on oil resources from foreign countries.

Impact of global oil and gold prices on the Iran stock market returns during the Covid-19 pandemic using the quantile regression approach

The main aim of this paper is to investigate the influence of global oil and gold prices on the Iran stock market during the Covid-19 pandemic. The approach used in this study is the quantile regression method and the effective parameters on the stock price index in the deciles of 0.1–0.9 were studied. The daily data from February 20, 2020 until January 30, 2021 were used in order to achieve the purposes aforementioned. The results showed that there is not a significant relationship between the global gold price and the stock price Iran stock exchange index. In addition, in all studied deciles, there is a negative and significant relationship between OPEC oil prices and the Tehran Stock Exchange index. Therefore, it is necessary for investors and policymakers to consider the impact of changes in these variables on stock returns.

Cheating behaviour among OPEC member-states and oil price fairness and stability: an empirical analysis

Cheating behaviour among OPEC member-states and oil price fairness and stability: an empirical analysis

Exploring shock and volatility transmission between oil and Chinese industrial raw materials

The main objective of this paper is to investigate the volatility spillover between oil prices and the Chinese industrial raw materials stock indices including oil, coal, iron and non-ferrous metals. In order to achieve this task, OPEC and WTI oil prices were used as oil benchmarks and several multivariate GARCH models were applied on daily closing prices of stock indices for the period from 2004 through 2014. Among the models, VAR-GARCH model fits the data best. The findings show significant volatility spillover between oil and the Chinese raw materials stock returns. However, the spillover is unidirectional and it is more apparent from past oil shocks to the Chinese raw materials stock returns. This unidirectional spillover can be attributed to the structure of the Chinese stock market, which is slightly integrating into the global stock markets and yet is detached from its own real economy. Moreover, the findings suggest that the conditional correlations of OPEC oil and the Chinese raw materials stock indices are higher than those of WTI oil and stock indices. Overall, the findings have important implications for both portfolio managers and policy makers in terms of risk management.

Exchange Rate Movements and Monetary Policies: Which Has Greater Influence on Petroleum

The primary purpose of this study is twofold: Firstly, using the Markov Regime Switching model throughout December 2008 to February 2020, it investigates and compares the nonlinear impacts of exchange rate movements and monetary policies on Petroleum Stock Index, PSI, in Iran. Accordingly, some control variables, such as OPEC oil price, inflation rate, and international sanctions, have also been used to model these relationships more accurately. Secondly, it is an empirical attempt to trace the historical changes in the PSI behavior through distinguishing the precise regime numbers, and the relationships between the exogenous variables and the PSI. Our results confirm that the effects of both exchange rate movements and monetary policies on the petroleum stock market return are direct and significant. More interestingly, the more we move from regime one to regime three, the greater the effects of the research variables on the index, except for the impact of OPEC oil prices. Our empirical findings further suggest as the effects of sanctions intensify, the influences of monetary policy and exchange rate movements would have a more significant impact on the petroleum stock index returns.

Cheating behaviour among OPEC member-states and oil price fairness and stability: an empirical analysis

Cheating behaviour among OPEC member-states and oil price fairness and stability: an empirical analysis

Real Exchange Rate Shocks and Export-Oriented Businesses in Iran: An Empirical Analysis Using NARDL Model

In this paper, the asymmetric and nonlinear effects of the real exchange rate shocks on different export-oriented businesses, i.e. Petrochemical, Basic Metal, and Mining industries stock indexes, in Tehran Stock Exchange is examined. From the policymakers’ perspective, this idea is theoretically interpreted as a of hypothesis that refers to the intervention of central banks in foreign exchange markets to restrict currency appreciation rather than depreciation to defend export competitiveness. To this aim, in addition to the main variables, the monthly time series data of the control variables, i.e. inflation, OPEC oil price, and international sanctions, from 2012:01 to 2020:01 are used. Our findings based on the NARDL approach illustrate that not only have exchange rate shocks significant effects on different stock indexes, but these relationships are asymmetric and nonlinear. Moreover, the results have confirmed the fear of depreciations hypothesis in the export-oriented industries, that means the central bank of Iran tends to pursue the “leaning-against-the-depreciation-wind” policy rather than “leaning-against-the-appreciation-wind” one.

THE EFFECTS OF EXTERNAL UNCERTAINTIES AGAINST MONETARY POLICY UNCERTAINTY ON IRANIAN STOCK RETURN VOLATILITY USING GARCH-MIDAS APPROACH

This study investigates the effect of two external uncertainties of US Economic Policy Uncertainty (EPU) and OPEC oil price uncertainty against domestic monetary policy uncertainty on Iran's stock return volatility. Reaching this goal, GARCH-MIDAS approach is employed that makes it possible using different variables with different frequencies during the period from January 2009 to September 2017. The research uses Iran's stock return with high frequency and other variables with low frequencies. The results of the GARCH-MIDAS model show that the increase in the US EPU, the OPEC's oil price uncertainty and Iran's monetary policy uncertainty increase volatility of Iranian stock returns. US EPU significantly impact on Iran's stock return volatility, which implies that the Iranian stock market has gradually merged into the global economy. However, oil price uncertainty has stronger effect on the stock return volatility than US EPU. In addition, monetary policy uncertainty is the strongest in affecting stock return uncertainty. Iranian policymakers can reduce the volatility of stock return by decreasing domestic monetary policy uncertainty.Keywords: US Economic Policy Uncertainty, Monetary policy, Oil Price, Iran's stock volatility, GARCH-MIDASJEL Classification: G12DOI: https://doi.org/10.32479/ijeep.9176

ANTECEDENTS OF SOCIAL FUNDS’ PRODUCTIVITY OF ISLAMIC BANKS IN INDONESIA

Purpose: The study aims to analyse the social funds’ productivity of Islamic banks in Indonesia and the antecedents of it. The study will measure the social fund productivity followed by the investigation about the variable which can determine the Islamic bank productivity.
 Methodology: The study conducted at nine Islamic banks Indonesia. Two stages of the Malmquist productivity index were applied to annual data from 2012-2018. The variables which are tested its effect on social funds’ productivity return on asset, operational efficiency, inflation, OPEC oil price, and economic growth.
 Main Findings: social funds’ productivity of Islamic banks in Indonesia has experienced progress during the observation period. It is supported by the progress on technological change and efficiency change. The antecedents of social funds’ productivity return on asset and operational efficiency, while macroeconomics conditions have no significant effect on social funds’ productivity.
 Applications of this study: This study enriches the research on Islamic banks and gives the recommendation for policymakers to supervise better and for banks’ managers to improve the social funds’ productivity.
 Novelty/Originality of this study: This research is the preliminary study on the determinant of social funds’ productivity in Islamic banks.

World Bank and Keynesian Economics

The World Bank is an international development and financial institution, which was founded with the name of International Reconstruction and Development Bank and based within the United Nations, offers customized resources, development prescriptions, consultancies and loans to countries in various parts of the world. The largest part of the World Bank group is the World Bank which is the largest organization working on private sector initiatives and projects in developing countries; providing technical assistance and development proposals to businesses and governments. The adopted development approaches of this organization and its policy prescriptions to countries have evolved parallel to the periodic charecteristics of capitalism and the change in the economic theory corresponding to these periods since its foundation. It is possible to state that, roughly in the first 30 years, the Keynesian economic policies has affected development discourse and policies of the Bank. However, in the mid-1970s the Keynesian impulse went into reverse and replaced by neoliberalism under the effects of Vietnam War and the OPEC oil price shocks. After that, neoliberalism was on the stage until the 2008 financial crisis started in America and brought the whole world under its impact. This crisis has led the bank to change rhetoric and adopt Keynesian development policies. The main objective of this study sheds light on what Keynesian economics is, its main aims Keynesian development period of the World Bank and its reflections on Bank’s development policies.

The interactions between OPEC oil price and sectoral stock returns: Evidence from China

This paper examines the volatility spillover between OPEC oil price and the Chinese sectoral stock returns from December 31, 2004 through October 17, 2014. In order to achieve this task, we used the VAR-GARCH model for the daily closing prices of six sectoral stock indices including: Construction, Machinery, Automobile, Military, Agriculture, and Financial indices. In addition, we analyzed the optimal weights and hedge ratios for oil–stock portfolio holdings. The findings show significant volatility spillover between OPEC oil prices and the Chinese sectoral stock returns. The volatility spillover is unidirectional from oil to stock returns. The spillover effects mainly come from past shocks. The past oil shocks have negative and significant impact on the conditional volatility of Construction, Machinery, Automobile, Military and Agriculture stock indices. On the contrary, with the exception of the Military stock index, there is no significant impact of the past stock return shocks on the volatility of oil returns. Moreover, our findings for optimal weights and hedge ratios suggest that oil can improve the risk-adjusted performance of a well-diversified portfolio of stocks.

Does OPEC act as a cartel? Empirical investigation of coordination behavior

In this paper I use quarterly and monthly data from 1994 to 2014 to test if OPEC acts as a cartel, and therefore, it affects oil prices through members' coordination. I use Engle and Granger two-step approach, Johansen cointegration test and Autoregressive Distributed Lag (ARDL) bounds testing approach of cointegration to examine the long-run relation between OPEC production and each member's production as an evidence of coordination. Besides, I apply Granger causality and Toda and Yamamoto tests to check the direction of causality between the OPEC production and oil prices (U.K. Brent and Dubai Fateh). The findings show no evidence of cointegration between the production of the members and that of OPEC, indicating no cartel behavior exists. Moreover, the results show that OPEC production does not cause oil prices; rather it is the other way around.

شیكردنەوەی قەیرانی نرخی نەوتی ئۆپیك لە نێوان ساڵانی (1961-2019)

ملخص(تذبذب اسعار نفط ئوبك خلال فترة ممتدة بين السنوات 1961 – 2019 )منذ اكتشاف النفط بشكل تجاري وحتى وقتنا الحاظر، لم يفقد النفط اهميته الاقتصادية على المستوى الدولي بشكل خاص والمستوى العالمي بشكل عام، وذلك لانالنفط له علاقة وطيدة باقتصاد الدول المستهلكة والمنتجة اضافة الى عدم قدرة العالم على ايجاد مصدر من مصادر الطاقة سواء المتجددة والغير المتجددة ليحل محل النفط .ونظرا لاهميته الكبيرة في الاقتصاد العالمي الذي جعل من سوق النفط غير مقيد او ملزم بقواعد السوق ولكنها متاثرة بمجموعة عوامل سياسية وستراتيجية متناقضة بين الدول الصناعية الكبيرة والمستهلكة والدول المتخلفة والمنتجة ، ولاشك فية ان هذا العامل كان المؤثر الرئيسي في اسعار النفط. وعليه راينا من الاجدر التطرق الى هذا الموضوع من خلال البحث الموسوم ب(تذبذب اسعار نفط ئوثك خلال فترة ممتدة بين السنوات 1961 – 2019 ) بهدف معرفة وتيرة اسعار النفط خلال الفترة المذكورة ولاجل تحقيق ذلك لابد من التحدث عن اسلوب تحديد سعر النفط مع تسليط الضوء على اسعاره قبل تاسيس منظمة ئوبيك ، ومن خلالالفترة الزمنية قسمنا الدراسة الى عدة مراحل زمنية مع تحليل سعر النفط خلال كل مرحلة ، وفي ختام توصل البحث الى مجموعة من الاستنتاجات التي قد تفيد الباحثين في تحديد تذبذب اسعار النفط خلال الفترة الزمنية المحددة .
 پوختەی لێكۆڵینەوەله‌ سه‌رده‌می دۆزینه‌وه‌ی نەوەت به‌ شێوه‌یه‌کی بازرگانیانه تاکوو ئه‌مڕۆشی له‌ گه‌ڵدابێت نه‌وت گرنگی ئابوری له‌ سه‌ر ئاستی جیهانی و هه‌رێمی دا هه‌یه‌ و هه‌روه‌ها په‌یوه‌نده‌کی به‌تینی به‌ ئابوری ده‌وڵه‌تانی به‌کاربه‌ر و به‌رهه‌مهێنه‌ر‌ هه‌یه و تا ئێستاش هیچ سه‌رچاوه‌یه‌کی وزه‌ جا نوێ بووه‌وه‌ بن یا خود نوێ نه‌بووه‌وه‌ نه‌یانتوانیوه‌ کێبڕکێی بکه‌ن.ئه‌و گرنگیه‌ گه‌وره‌یه‌ی که‌وا نه‌وت له ابوری جیهانی دا هه‌یه‌تی وایکردوه‌ که‌ بازاڕی نه‌وت ئازاد نه‌بێت و ته‌نها وابه‌سته‌ی یاساکانی بازاڕ نه‌بێت به‌ڵکو کاریگه‌ره‌ به‌ کۆمه‌ڵه‌ فاکته‌رێکی سیاسی و ستراتیژی دژ به‌یه‌ک له‌ نێوان ده‌وڵه‌تانی پیشه‌سازی گه‌وره‌ی به‌کاربه‌ری نه‌وت و هه‌روه‌ها ده‌وڵه‌تانی دواکه‌وتووی به‌رهه‌مهێنه‌ری که‌ بێگومان ئه‌مه‌ کاری کردوه‌ته‌ سه‌ر نرخی نه‌وت.ئه‌م توێژینه‌وه‌مان که‌ به‌ ناونیشانی (هه‌ڵکشان و داکشانی نرخی نه‌وتی ئۆپیک له‌ ماوه‌ی نێوان ساڵانی(1961-2019)یه‌ ئامانجستنه‌ڕووی نرخی نه‌وته‌ له‌و ماوه‌یه‌دا. لە رێگای بەکارهێنانی هەردوو میتودی وەسفی و شیکردنەوە داتا وزانیارییەکان .له‌ سه‌ره‌تا دا باس له‌ شێوازی دیاریکردنی نرخی نه‌وت ده‌که‌ین له‌ گه‌ڵ تیشک خستنه‌ سه‌ر نرخی نه‌وت پێش دامه‌زراندنی ڕێکخراوی ئۆپیک دواتر ماوه‌ی نێوان ساڵانی لێکۆڵینه‌وه‌مان دابه‌ش کردوه‌ بۆ چه‌ند قۆناغێک له‌ گه‌ڵ شیکردنه‌وه‌ی

Long run dynamic volatilities between OPEC and non-OPEC crude oil prices

Understanding the long-run dynamics of OPEC and non-OPEC crude oil prices is important in an era of increased financialization of petroleum markets. Utilizing an ECM within a threshold cointegration and CGARCH errors framework, we provide evidence on the cointegrating relationship and estimate how and to what extent the respective prices adjust to eliminate disequilibrium. Our findings suggest that the adjustment process of OPEC prices to the positive discrepancies is slow which implies that OPEC producers do not prefer moderate oil prices; however, the reverse holds for non-OPEC producers. These results reflect distinct competitive behaviors between OPEC and non-OPEC producers.

The Existence of Long Memory Property in OPEC Oil Prices

The global oil market is considered as the most important energy market of the world. Oil price volatilities can have considerable effects on the structure of oil market and the economy of petroleum exporting and importing countries, especially OPEC member countries as the largest entity that is consisted of 12 oil exporting developing nations. Therefore, the predictability of the oil prices is of great importance for OPEC member countries. One of the appropriate methods that can be used in forecasting the oil price volatilities is to investigate the existence of long memory property in the oil price time series. The purpose of current study was to investigate and interpret the long memory property in OPEC daily oil prices time series for the period from 2011/03/15 to 2014/04/22 using R/S, MRS and GPH tests to estimate fractional differencing parameter. The results of study confirmed the existence of long memory property in time series of OPEC oil prices. Therefore, the long memory property can be utilized in modelling and forecasting the volatilities of OPEC oil prices.