The linkage between oil price, stock market indices, and exchange rate before, during, and after COVID-19: Empirical insights of Pakistan

Mosab I. Tabash, Zaheeruddin Babar, Umaid A Sheikh, Ather Khan and Suhaib Anagreh

Cogent Economics & Finance, 2022, vol. 10, issue 1, 2129366

Abstract: This study analyzes the trilateral relationship between macroeconomic variables of oil prices, stock market index, and exchange rate to demonstrate their behavior and inter-relationship in the economic setup of Pakistan. The investigated period includes daily time series data ranging from 4 January 2016 to 30 April 2021. The study consists of three sub-periods: the pre-COVID-19 period ranging from 4 January 2016 to 31 December 2019, COVID-19 period ranging from 1 January 2020 to 30 April 2021, and overall period ranging from 4 January 2016 to 30 April 2021 by using a Vector Autoregressive (VAR) model. The results illustrate that oil prices changes, and stock index have an insignificant direct relationship both in pre-COVID-19 and overall sub-periods of study while a positive and statistically significant relationship during the COVID-19 period. This research also suggests that stock index has a direct and statistically significant but negative impact on the exchange rate in all sub-periods of study. This research also gives practical implications for forex investors and traders to analyze the inflating and deflating stock market patterns for future investment opportunities. However, most of the previous studies emphasized on the direct influence of exchange rate on the stock market and no effort is made on vice versa association. Furthermore, this research presents a practical relevance for the stock market investors that health uncertainty regime affected the insignificant association between oil price and stock market indices and this relation turns out to be significant during the crisis regime.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/23322039.2022.2129366 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:oaefxx:v:10:y:2022:i:1:p:2129366

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/OAEF20

DOI: 10.1080/23322039.2022.2129366

Access Statistics for this article

Cogent Economics & Finance is currently edited by Steve Cook, Caroline Elliott, David McMillan, Duncan Watson and Xibin Zhang

More articles in Cogent Economics & Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().