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قياس و تحليل العلاقة بين تقلبات مؤشرات أسواق المال الأمريكية و تقلبات أسعار النفط الخام
Other Title(s)
Measuring and analyzing the relationship between the volatility of us stock market indices and the volatility of oil prices
Joint Authors
عباس كريم صدام
داغر، محمود محمد محمود
Source
مجلة العلوم الاقتصادية و الإدارية
Issue
Vol. 24, Issue 104 (30 Jun. 2018), pp.210-238, 29 p.
Publisher
University of Baghdad College of Administration and Economics
Publication Date
2018-06-30
Country of Publication
Iraq
No. of Pages
29
Main Subjects
Financial and Accounting Sciences
Topics
Abstract EN
The volatility of the financial markets and the oil market plays a major role in influencing macroeconomic activity, as well as the high interaction between the both markets and the remarkable sensitivity to their each other fluctuations which cause the undesirable impact on other economic sectors as an expected result due the mentioned interaction.
The study aimed to analyze the relationship between the volatility of the major US market indices represented by the DJIA index, S & P500, due to their comprehensiveness of the financial market, as they summarize the performance of the entire US market which is the largest economy in the world, as well as the difference in the calculation mechanism, and oil market benchmarks: West Intermediate Texas(WTI), Brent and Dubai, using a monthly data for the period 1990-2016.
The data were integrated at the first rank, which encouraged the researchers to run the Johansson and Juselius model in order to explore the Cointegration relationship between the variables, causality test, along with Vector Error Correction Model - VECM.
The study found an important relationship between The volatility of financial markets indices and volatility of crude oil prices.
in one part, it was characterized by the causal influence between the S & P 500 index and the Oil benchmarks.
Meanwhile, the volatility of the DJIA index has had an important impact on the formation of long-term volatility in crude oil prices.
American Psychological Association (APA)
داغر، محمود محمد محمود وعباس كريم صدام. 2018. قياس و تحليل العلاقة بين تقلبات مؤشرات أسواق المال الأمريكية و تقلبات أسعار النفط الخام. مجلة العلوم الاقتصادية و الإدارية،مج. 24، ع. 104، ص ص. 210-238.
https://search.emarefa.net/detail/BIM-837505
Modern Language Association (MLA)
داغر، محمود محمد محمود وعباس كريم صدام. قياس و تحليل العلاقة بين تقلبات مؤشرات أسواق المال الأمريكية و تقلبات أسعار النفط الخام. مجلة العلوم الاقتصادية و الإدارية مج. 24، ع. 104 (2018)، ص ص. 210-238.
https://search.emarefa.net/detail/BIM-837505
American Medical Association (AMA)
داغر، محمود محمد محمود وعباس كريم صدام. قياس و تحليل العلاقة بين تقلبات مؤشرات أسواق المال الأمريكية و تقلبات أسعار النفط الخام. مجلة العلوم الاقتصادية و الإدارية. 2018. مج. 24، ع. 104، ص ص. 210-238.
https://search.emarefa.net/detail/BIM-837505
Data Type
Journal Articles
Language
Arabic
Notes
يتضمن ملاحق : ص. 230-238
Record ID
BIM-837505