Revisiting the relationship between oil prices, exchange rate, and stock prices: An application of quantile ARDL model

Shabir Mohsin Hashmi, Bisharat Hussain Chang, Liangfang Huang and Emmanuel Uche

Resources Policy, 2022, vol. 75, issue C

Abstract: This study examines the interaction between oil prices, exchange rate, and stock returns in Pakistan by using quarterly data from January 2000 to December 2019. We extend the existing literature by using quantile ARDL model which helps to examine the short-run and long-run relationship across different (bullish, bearish, and normal) states of oil, currency, and stock markets. Findings indicate that the impact of oil prices and exchange rate on stock prices varies across bullish, bearish, and normal states of the stock market. On the contrary, the impact of oil prices and stock prices on exchange rate does not vary across different states of the currency market. These findings provide important policy implications for Governments and other stakeholders in the context of Pakistan.

Keywords: Quantile ARDL model; Oil prices; Stock market; Exchange rate; Pakistan (search for similar items in EconPapers)
JEL-codes: E30 E31 E58 F30 F31 F41 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:75:y:2022:i:c:s030142072100550x

DOI: 10.1016/j.resourpol.2021.102543

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