The Effect of Financial and Macroeconomic Factors on the Oil Market

Nikolaos Sariannidis, Georgios Galyfianakis and Evangelos Drimbetas
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Nikolaos Sariannidis: Department of Financial Applications, Technological Education Institute of West Macedonia, Kila, 50100 Kozani, Greece,
Georgios Galyfianakis: Department of Accounting and Finance, School of Management and Economics, Technological Education Institute of Crete, Estavromenos, Iraklio, 71004, Crete, Greece, Department of Economics, University of Thrace, 69100, Komotini, Greece,

International Journal of Energy Economics and Policy, 2015, vol. 5, issue 4, 1084-1091

Abstract: Our objective in this paper is to contribute to the discussion and identify, in the short-run, the effects of basic financial indicators (equity, bonds, exchange rates, Baltic exchange dry index) and widely traded commodities (Gold, Wheat) on the crude oil market. A generalized autoregressive conditional heteroskedasticity model is employed to test the above hypothesis for the period of almost 10 years using daily data from June 1st, 2004 to May 30th, 2014. The results coming out of our investigation suggest that wheat and bonds markets have negative impact to the oil market. Also, the results indicate that the volatility of US $/Yen exchange rate and the volatility of Baltic exchange dry index influence significantly negatively the oil market. Lastly, our findings indicate that both, gold market as well as stock market, positively influence the oil market, confirming the relevant literature which was reviewed and summarized

Keywords: Glosten Jagannathan Runkle-Generalized Autoregressive Conditional Heteroskedasticity Model; Crude Oil West Texas Intermediate; Gold; Equity Market; Exchange Rates; Bonds Market; Commodities; Baltic Exchange Index (search for similar items in EconPapers)
JEL-codes: G10 Q40 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2015-04-21

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