Artikel
The asymmetric impact of oil price shocks on sectoral returns in Pakistan: Evidence from the non-linear ARDL approach
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Economies ; ISSN: 2227-7099 ; Volume: 10 ; Year: 2022 ; Issue: 2 ; Pages: 1-15 ; Basel: MDPI
- Classification
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Wirtschaft
- Subject
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NARDL model
oil price shocks
Pakistan
Pakistan stock market
sectoral returns
- Event
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Geistige Schöpfung
- (who)
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Ali, Basit
Khan, Dilawar
Shafiq, Muhammad
Magda, Róbert
Oláh, Judit
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2022
- DOI
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doi:10.3390/economies10020046
- Handle
- Last update
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10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Ali, Basit
- Khan, Dilawar
- Shafiq, Muhammad
- Magda, Róbert
- Oláh, Judit
- MDPI
Time of origin
- 2022
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