TY - JOUR
T1 - Dynamics of canadian oil price and its impact on exchange rate and stock market
AU - Alzyoud, Hussein
AU - Wang, Eric Zengxiang
AU - Basso, Michael Glenn
N1 - Publisher Copyright:
© 2018, Econjournals. All rights reserved.
PY - 2018
Y1 - 2018
N2 - The objective of this study is to analyse the impact of crude oil prices (COP) on exchange rate and stock market returns in Canada for the period of 1986–2015. The results of the study suggest that there was no cointegration among COP, exchange rate and stock market returns. Regression analysis shows that COP and exchange rate, and their variations have a positive and significant impact on the Canadian stock market returns. Policy implications are also discussed.
AB - The objective of this study is to analyse the impact of crude oil prices (COP) on exchange rate and stock market returns in Canada for the period of 1986–2015. The results of the study suggest that there was no cointegration among COP, exchange rate and stock market returns. Regression analysis shows that COP and exchange rate, and their variations have a positive and significant impact on the Canadian stock market returns. Policy implications are also discussed.
KW - Crude Oil
KW - Dynamic Ordinary Least Square
KW - Exchange Rate
KW - GARCH
KW - Ordinary Least Square
KW - Rolling
KW - Stock Market
UR - http://www.scopus.com/inward/record.url?scp=85046763988&partnerID=8YFLogxK
M3 - Journal Article
AN - SCOPUS:85046763988
VL - 8
SP - 107
EP - 114
JO - International Journal of Energy Economics and Policy
JF - International Journal of Energy Economics and Policy
IS - 3
ER -