The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia
AbstractAlthough a lot of empirical research has studied the relationship between changes in oil prices and economic activity, it is surprising that little research has been conducted on the relationship between oil price shocks and the large Newly Industrialized Economies (NIEs). Therefore, this paper modifies the procedure of Kilian and Park (2009) and investigates how explicit structural shocks that characterize the endogenous character of changes in oil prices affect three large NIEs' stock-market returns, in order to fill this gap. From the empirical analysis, we find that the impact of oil price shocks on stock prices in these large NIEs is mixed, partly in contrast to the effects on the U.S. and developed countries' stock markets. This result is also consistent with the previous empirical findings that the NIEs' stock markets are “partially integrated” with the other stock markets and oil price shocks.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 29 (2014)
Issue (Month): C ()
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Web page: http://www.elsevier.com/locate/inca/620165
Oil price shock; Stock market; NIEs; BRIC; China;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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