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Oil Prices and Equity Returns in the BRIC Countries
16 references·4 citing·40 second hop
Oil Prices and Equity Returns in the BRIC Countries (2009)Oil Prices and Equity Returns in the BRIC…Oil price risk and emerging stock markets (2006)Oil price risk and emerging s…Dynamic stock market integration driven by the European Monetary Union: An empirical analysis (2005)Dynamic stock market integrat…Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Differences of Opinion, Short…Dating the integration of world equity markets (2002)Dating the integration of wor…Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices (2001)Forecasting crashes: trading …Volatility spillover effects from Japan and the US to the Pacific–Basin (2000)Volatility spillover effects …Volatility in Emerging Stock Markets (1999)Volatility in Emerging Stock …Price discovery and volatility spillovers in the DJIA index and futures markets (1999)Price discovery and volatilit…Oil price shocks and stock market activity (1999)Oil price shocks and stock ma…Volatility and cross correlation across major stock markets (1998)Volatility and cross correlat…Price and volatility spillovers in Scandinavian stock markets (1997)Price and volatility spillove…Energy shocks and financial markets (1996)Energy shocks and financial m…Asymmetric volatility transmission in international stock markets (1995)Asymmetric volatility transmi…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Studies of stock market volatility changes (1976)Studies of stock market volat…Analysing systemic risk and time-frequency quantile dependence between crude oil prices and BRICS equity markets indices: A new look (2019)Analysing systemic risk and t…Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets (2017)Dynamic correlations between …Stock Return Volatility Effect: Study of BRICS (2014)Stock Return Volatility Effec…Time-varying global and local sources of market and currency risks in Russian stock market (2010)Time-varying global and local…Noise Trader Risk in Financial Markets (1990)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Breadth of ownership and stock returns (2002)Market liquidity as a sentiment indicator (2004)Downside Risk (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Oil prices and the stock prices of alternative energy companies (2007)Oil prices, exchange rates and emerging stock markets (2011)Volatility spillovers between oil prices and stock sector returns: Implications for portfolio management (2011)Expected stock returns and volatility (1987)ARCH modeling in finance (1992)Correlations and volatility spillovers between oil prices and the stock prices of clean energy and technology companies (2011)Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers (2015)COVID-19 and stock market volatility: An industry level analysis (2020)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Oil price shocks and stock markets in the U.S. and 13 European countries (2008)THE IMPACT OF OIL PRICE SHOCKS ON THE U.S. STOCK MARKET* (2009)Oil prices, US stock return, and the dependence between their quantiles (2015)The Pricing of Options and Corporate Liabilities (1973)Asymmetric correlations of equity portfolios (2002)Chapter 18 A survey of behavioral finance (2003)Who Gambles in the Stock Market? (2009)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)MONEY, INCOME, AND CAUSALITY (1972)Oil and the Macroeconomy since World War II (1983)Oil price shocks, stock market, economic activity and employment in Greece (2001)Autoregressive conditional heteroskedasticity and changes in regime (1994)Time‐Varying World Market Integration (1995)Stock Market Openings: Experience of Emerging Economies (2000)Research in emerging markets finance: looking to the future (2002)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Stock market volatility and the business cycle (1996)A long memory property of stock market returns and a new model (1993)Introductory Econometrics for Finance (2008)
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References

  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,692 cited
  • 2001Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices1,918 cited
  • 1999Oil price shocks and stock market activity1,798 cited
  • 2003Differences of Opinion, Short-Sales Constraints, and Market Crashes1,356 cited
  • 1996Energy shocks and financial markets1,099 cited
  • 2006Oil price risk and emerging stock markets932 cited
  • 1976Studies of stock market volatility changes885 cited
  • 1999Volatility in Emerging Stock Markets735 cited
  • 1995Asymmetric volatility transmission in international stock markets728 cited
  • 2000Volatility spillover effects from Japan and the US to the Pacific–Basin670 cited
  • 2002Dating the integration of world equity markets561 cited
  • 1998Volatility and cross correlation across major stock markets525 cited
  • 2005Dynamic stock market integration driven by the European Monetary Union: An empirical analysis346 cited
  • 1997Price and volatility spillovers in Scandinavian stock markets304 cited

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  • 1999Price discovery and volatility spillovers in the DJIA index and futures markets284 cited
  • Cited by

    • 2019Analysing systemic risk and time-frequency quantile dependence between crude oil prices and BRICS equity markets indices: A new look65 cited
    • 2017Dynamic correlations between BRIC and U.S. stock markets: The asymmetric impact of volatility expectations in oil, gold and financial markets64 cited
    • 2010Time-varying global and local sources of market and currency risks in Russian stock market27 cited
    • 2014Stock Return Volatility Effect: Study of BRICS25 cited