Research Paper on The Non-Linear ARDL Approach Provides Evidence for the Asymmetric Impact of Oil Price Shocks on Sectoral Returns in Pakistan.

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Title: The Non-Linear ARDL Approach Provides Evidence for the Asymmetric Impact of Oil Price Shocks on Sectoral Returns in Pakistan.

Abstract: The asymmetric effects of oil supply and demand shocks on Pakistan’s sectoral stock market returns are examined in this study. The non-linear autoregressive distributed lag (ARDL) approach is used in this study for this purpose. It is based on monthly time series data for four sectors of the Pakistan Stock Exchange from 2005 to 2018. All data series are stationary at first difference, according to the results of the unit root tests. The F-bound test also looked at the cointegration between oil supply and demand shocks and sectoral stock market returns. Thirdly, the study investigated the asymmetric effects of oil supply shocks (OSS) and oil-specific demand shocks (OSDS) as well as the symmetric effects of oil demand shocks (ODS) on the sectoral returns of commercial banking. Additionally, it was discovered that the sectoral returns of the power generation, chemical, and fertilizer sectors were affected in an asymmetric way by oil supply shocks (OSS) and oil demand shocks (ODS). Also investigated was the symmetric effect of oil-specific demand shocks (OSDS) on the sectoral returns of the chemical, fertilizer, and power generation industries. The study makes significant policy recommendations for investors and decision-makers.

Keywords: oil price shocks; sectoral returns; Pakistan stock market; NARDL model; Pakistan

Paper Quality: SCOPUS / Web of Science Level Research Paper

Subject: Economics

Writer Experience: 20+ Years

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