Oil Price Shocks and Stock Markets in BRICs

Shigeki Ono

117 citations0/0 files storedRePEc: Research Papers in Economics

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Market Dynamics and Volatility Economics of Agriculture and Food Markets Financial Risk and Volatility Modeling

Abstract

This paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Russia, those of Brazil do not show any significant responses. In addition, statistically significant asymmetric effects of oil price increases and decreases are observed in India. The analysis of variance decomposition shows that the contribution of oil price shocks to volatility in real stock returns is relatively large and statistically significant for China and Russia.

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1983Oil and the Macroeconomy since World War II 1996Residual-based tests for cointegration in models with regime shifts 1999Oil price shocks and stock market activity 1996This is what happened to the oil price-macroeconomy relationship 1996Oil and the Stock Markets 1989Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results 2008Oil price shocks and stock markets in the U.S. and 13 European countries

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2020Environmental and economic effectiveness of the Kyoto Protocol 2016The effect of oil prices on stock prices: fresh evidence from asymmetric causality tests 2014Oil prices and MENA stock markets: new evidence from nonlinear and asymmetric causalities during and after the crisis period 2019Crude oil and BRICS stock markets under extreme shocks: New evidence 2013A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries

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