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Oil shocks and equity markets: The case of GCC and BRICS economies

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  • Umar, Zaghum
  • Trabelsi, Nader
  • Zaremba, Adam

Abstract

This study analyzes the relationship between oil shocks and the equity markets of a group of world major oil producers and consumers encompassing both the GCC and BRICS economies. We employ a novel framework to decompose the oil shocks (demand, supply, and risk shocks) into their daily components. Subsequently, we also employ a network connectedness approach to investigate the static and time-varying connectedness of these shocks with equity markets. Our sample period ranges from January 6, 2005, to July 17, 2020. Empirical results show a medium connectedness between examined equity markets and oil shocks, in terms of returns and volatility, with an unpreceded level during the recent COVID-19 crisis. Furthermore, the volatility of oil-exporting countries contributes more to the volatility connectedness. Demand shock and risk shock are the main contributors to the connectedness.

Suggested Citation

  • Umar, Zaghum & Trabelsi, Nader & Zaremba, Adam, 2021. "Oil shocks and equity markets: The case of GCC and BRICS economies," Energy Economics, Elsevier, vol. 96(C).
    • Handle: RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000608
    DOI: 10.1016/j.eneco.2021.105155
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    More about this item

    Keywords

    Oil shocks; Equity markets; GCC; BRICS; Connectedness;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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