Brent Crude

About: Brent Crude is a research topic. Over the lifetime, 548 publications have been published within this topic receiving 9879 citations.

The Impact of Oil Price Fluctuations on the Sudanese Stock Market Performance

Abstract: This paper investigates the impact of crude oil price shocks on the returns and volatility of the Sudanese stock market, Khartoum stock exchange(KSE). A bivaraite VAR-GARCH model is employed for the daily observations of Brent crude oil price and the closing value of the KSE index over the period January 2, 2008 to October 20, 2014. The dataset is divided into two sub-periods, before and after the secession of South Sudan in July 9, 2011. The empirical findings document that the returns on KSE index are significantly affected by their own past values suggesting some evidence of short-term predictability in KSE index changes. Regarding the impact of oil price fluctuations on the stock market returns, the results indicate a significant effect of a one-period lagged oil returns for the first sub-period. Additionally, the results show that KSE returns volatility is significantly affected not only by the volatility surprises of the stock market, but also by those originated in crude oil market. The paper concludes that the market has experienced higher volatility in the aftermath of the secession of South Sudan, a result that is completely consistent with the turbulent macroeconomic environment in Sudan over the last few years. These results are of great interest and have important implications for investors, portfolio managers and policymakers. For example, policymakers can use such results to adjust their actions to prevent contagion risks in the event of market crashes or crises. It is left to future empirical research, when appropriate data will be available, to study in more detail the impact of oil price shocks from a sector perspective to shed more light on industry-specific characteristics, dynamics and responses to external shocks.

Crude Volatility - Investigation of the HAR-RV model and Implied volatility in Brent Crude Futures

Abstract: This thesis investigates the relationship between the quantitative volatility model HAR-RV and the qualitative volatility implied in the option pricing formula. Using OLS regression with Newey-West to estimate the HAR model, strong predictive characteristics where obtained, as well as observing a very high informational relationship between the two model. The relationship is however still, due to the risk premium, ineffiecient and biased. We conclude that our good results comes from the horizon of estimation optimal due to macroeconomic powers, we also believe that the model in itself can gain further strenght with a revision of the lag structure in the components.

Volatility transmission in energy futures markets

Abstract: This study is novel in the application of a multivariate HAR-GARCH model for studying volatility transmission patterns in energy futures markets. In particular, the nature of volatility spillovers between futures on crude oil, natural gas and gas-oil is examined using range-based volatility proxies and splitting volatility in components defined over different time horizons. The results provide evidence that crude oil futures carry significant information for the volatility evolution of other energy futures traded on the ICE and reveal interesting insights in the sources of the documented volatility interrelations. Short-term shocks in Brent oil volatility significantly affect the volatility of gas-oil futures, while the impact of oil and gas-oil on natural gas is driven by the long-term volatility component. Additionally, Brent oil and gas-oil ICE futures volatilities exhibit strong positive dynamic correlation, whereas the remaining pairwise correlation curves are fluctuating around zero.

Revisiting the Dynamic Response of Chinese Price Level to Crude Oil Price Shocks Based on a Network Analysis Method

Abstract: Crude oil price shocks have led to a fluctuation in commodity prices through the industrial chain and supply–demand relationships, which can substantially influence a country’s economy. In this paper, we propose a transmission model of oil price shocks to Chinese price levels and explore the direct and indirect impacts of crude oil price shocks on various Chinese price indices, combining the Granger causality test, impulse response function, and network analysis method. The empirical data are the Brent, WTI, Dubai, and Daqing spot crude oil prices and eight categories of Chinese price indices from January 2011 to March 2020. We found the following results: (1) Consumer price index (CPI) and the price index for means of agricultural production (MAPPI) cannot be directly impacted by crude oil price fluctuations, while they could be indirectly affected. (2) The duration and degree of the impacts of oil prices on each price index vary, and the export price index (EPI) is the most significantly affected. (3) The proportion of the indirect impact in the total impact of crude oil price shocks ranges from 0.03% to 100.00%. Thus, indirect influence cannot be ignored when analyzing the influence of crude oil price fluctuation on Chinese price level.