The Asymmetric Impact of Oil Price Shocks on Sectoral Returns in Pakistan: Evidence from the Non-Linear ARDL Approach

Economies

Dilawar Khan¹  Basit Ali¹  Judit Oláh²  Róbert Magda³  Muhammad Shafiq⁴ 

[1] Department of Economics, Kohat University of Science & Technology, Kohat 26000, Pakistan;Faculty of Economics and Business, University of Debrecen, 4032 Debrecen, Hungary;Institute of Agricultural and Food Economics, Hungarian University of Agriculture and Life Sciences, 2100 Gödöllő, Hungary;Institute of Numerical Sciences, Kohat University of Science & Technology, Kohat 26000, Pakistan;

关键词: oil price shocks;    sectoral returns;    Pakistan stock market;    NARDL model;    Pakistan;   

DOI  :  10.3390/economies10020046

来源: DOAJ

【 摘 要 】

This study explores the asymmetric impact of oil supply and demand shocks on the sectoral stock market returns of Pakistan. For this purpose, the study uses the non-linear autoregressive distributed lag (ARDL) approach based on monthly time series data for four sectors in the Pakistan Stock Exchange over the period 2005–2018. First, the findings of the unit root tests identified that all data series are stationary at first difference. Second, the F-bound test explored that oil supply and demand shocks have a cointegration relationship with sectoral stock market returns. Third, the study explored the asymmetric impact of oil supply shocks (OSS) and oil-specific demand shocks (OSDS) on sectoral returns of commercial banking and the symmetric impact of oil demand shocks (ODS) on sectoral returns of commercial banking. In addition, the asymmetric impact of oil supply shocks (OSS) and oil demand shocks (ODS) on sectoral returns of the power generation, chemical and fertilizer sectors was found. Moreover, the symmetric impact of oil-specific demand shocks (OSDS) on sectoral returns of the power generation, chemical and fertilizer sectors was explored. The study suggests important policy implications for policymakers and investors.

【 授权许可】

Unknown