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Oil Prices and Equity Returns in the BRIC Countries

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  • Ramaprasad Bhar
  • Biljana Nikolova
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    Abstract

    ABSTRACT This paper measures the level by which global oil price returns influence the stock returns and volatility in the BRIC equity markets and observes the time-varying conditional correlation between BRIC equity returns and oil price returns. The study concludes that the level of impact of oil price returns on equity returns and volatility in the BRIC countries depends on the extent to which these countries are net importers or net exporters of oil. It also concludes that despite the aggressive economic growth of the BRIC countries in the past 25 years, the volatility of stock returns in these economies does not have a significant impact on the volatility of global oil price returns. Copyright 2009 The Authors. Journal compilation Blackwell Publishing Ltd.

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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal World Economy.

    Volume (Year): 32 (2009)
    Issue (Month): 7 (07)
    Pages: 1036-1054

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    Handle: RePEc:bla:worlde:v:32:y:2009:i:7:p:1036-1054

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    1. Syed A. Basher & Perry Sadorsky, 2004. "Oil price risk and emerging stock markets," International Finance, EconWPA 0410003, EconWPA.
    2. Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, Elsevier, vol. 21(5), pages 449-469, October.
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    7. Angelos Kanas, 1998. "Volatility spillovers across equity markets: European evidence," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 8(3), pages 245-256.
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    10. Kim, Suk Joong & Moshirian, Fariborz & Wu, Eliza, 2005. "Dynamic stock market integration driven by the European Monetary Union: An empirical analysis," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(10), pages 2475-2502, October.
    11. Bhar, Ramaprasad & Nikolova, Biljana, 2007. "Analysis of Mean and Volatility Spillovers Using BRIC Countries, Regional and World Equity Index Returns," Journal of Economic Integration, Center for Economic Integration, Sejong University, Center for Economic Integration, Sejong University, vol. 22, pages 369-381.
    12. James D. Hamilton, 1985. "Historical Causes of Postwar Oil Shocks and Recessions," The Energy Journal, International Association for Energy Economics, International Association for Energy Economics, vol. 0(Number 1), pages 97-116.
    13. Miyakoshi, Tatsuyoshi, 2003. "Spillovers of stock return volatility to Asian equity markets from Japan and the US," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(4), pages 383-399, October.
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    15. Angelos Kanas, 2000. "Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 27(3-4), pages 447-467.
    16. Abhyankar, A & Copeland, L S & Wong, W, 1995. "Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom," Economic Journal, Royal Economic Society, Royal Economic Society, vol. 105(431), pages 864-80, July.
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    Cited by:
    1. Giulio Cifarelli & Giovanna Paladino, 2009. "Is Oil A Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years," Working Papers - Economics wp2009_12.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    2. Fang, Chung-Rou & You, Shih-Yi, 2014. "The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia," International Review of Economics & Finance, Elsevier, Elsevier, vol. 29(C), pages 330-338.
    3. Syed Abul, Basher, 2014. "Stock markets and energy prices," MPRA Paper 53863, University Library of Munich, Germany.
    4. Morales, Lucía & Gassie, Esmeralda, 2011. "Structural breaks and financial volatility: Lessons from BRIC countries," IAMO Forum 2011: Will the "BRICs Decade" Continue? – Prospects for Trade and Growth 13, Leib­niz Institute of Agricultural Development in Central and Eastern Europe (IAMO).
    5. Saleem, Kashif & Vaihekoski, Mika, 2010. "Time-varying global and local sources of market and currency risks in Russian stock market," International Review of Economics & Finance, Elsevier, Elsevier, vol. 19(4), pages 686-697, October.
    6. Liu, Li & Chen, Ching-Cheng & Wan, Jieqiu, 2013. "Is world oil market “one great pool”?: An example from China's and international oil markets," Economic Modelling, Elsevier, Elsevier, vol. 35(C), pages 364-373.

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