The Impact of International Oil Price Shocks on Pakistan Stock Market

Authors

  • Zabiullah MS Scholar, Institute of Management Sciences University of Balochistan, Quetta, Balochistan, Pakistan
  • Dr. Kaneez Fatima Assistant Professor, Institute of Management Sciences University of Balochistan, Quetta, Balochistan, Pakistan
  • Muhammad Hassan Ph.D Scholar Management Sciences, (BUITEMS) Quetta, Balochistan, Pakistan

DOI:

https://doi.org/10.35484/ahss.2022(3-II)31

Keywords:

International Oil Price, Pakistan Stock Market, Stock Price

Abstract

The aim of the study is to investigate the dynamic relationship between oil price and four highly capitalized sector of Pakistan stock market. Namely Oil and Gas Marketing Companies, Oil and Gas Exploration Companies, Commercial Banks, and Textile Companies, including Pakistan Stock Index. We retrieve daily data on stock prices from Pakistan stock Market and the oil price from Energy Information Administration covering the period 1st, January 2005 to 31st, December 2014. To end this, we apply the Vector Auto Regressive (VAR) Model to find out the relationship between oil price and stock price. In order to provide more effective and credible conclusions the Granger Causality and Impulse Response Functions are implemented. Within the VAR Model the results indicates that there are both Short run and long run relationship between the oil price and Pakistan Stock Market sectors. The Granger Causality test determines a unidirectional, Granger Causality relationship running from oil price to stock prices. In contrast, the Impulse Response Function suggests that oil price have both positive and negative responses to the stock prices. Thus, our main finding from overall results we conclude there is strong impact of oil price shocks on Pakistan Stock Market. This study provide the evidence for a complete understanding on the relationship between oil price and Pakistan Stock Market. This study likely to offer some valuable insights for policymakers and financial regulators for developing financial and economic policies.

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Published

2022-08-20

Details

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    PDF Downloads: 120

How to Cite

Zabiullah, Fatima, K., & Hassan, M. (2022). The Impact of International Oil Price Shocks on Pakistan Stock Market. Annals of Human and Social Sciences, 3(2), 327–339. https://doi.org/10.35484/ahss.2022(3-II)31