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Oil Price Shocks and Stock Markets in BRICs

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  • Shigeki Ono
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    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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    Bibliographic Info

    Article provided by Cattaneo University (LIUC) in its journal The European Journal of Comparative Economics.

    Volume (Year): 8 (2011)
    Issue (Month): 1 (June)
    Pages: 29-45

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    Handle: RePEc:liu:liucej:v:8:y:2011:i:1:p:29-45

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    Keywords: Oil price shocks; Real stock returns; BRICs;

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    Cited by:
    1. Ercio Muñoz S. & Mariel C. Siravegna, 2013. "¿Tiene un Impacto el Precio de las Materias Primas Sobre las Bolsas de América Latina?," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 16(3), pages 102-118, December.
    2. Ono, Shigeki, 2013. "The effects of foreign exchange and monetary policies in Russia," Economic Systems, Elsevier, Elsevier, vol. 37(4), pages 522-541.
    3. Rangan Gupta & Mampho P. Modise, 2013. "Does the Source of Oil Price Shocks Matter for South African Stock Returns? A Structural VAR Approach," Working Papers 201318, University of Pretoria, Department of Economics.
    4. Liu, Tengdong & Hammoudeh, Shawkat & Thompson, Mark A., 2013. "A momentum threshold model of stock prices and country risk ratings: Evidence from BRICS countries," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 27(C), pages 99-112.
    5. Rania Jammazi & Duc Khuong Nguyen, 2014. "Responses of international stock markets to oil price surges: a regimeswitching perspective," Working Papers, Department of Research, Ipag Business School 2014-080, Department of Research, Ipag Business School.
    6. Ahdi Noomen Ajmi & Ghassen El Montasser & Shawkat Hammoudeh & Duc Khuong Nguyen, 2014. "Oil prices and MENA stock markets:New evidence from nonlinear and asymmetric causalities during and after the crisis period," Working Papers, Department of Research, Ipag Business School 2014-079, Department of Research, Ipag Business School.
    7. Aloui, Riadh & Hammoudeh, Shawkat & Nguyen, Duc Khuong, 2013. "A time-varying copula approach to oil and stock market dependence: The case of transition economies," Energy Economics, Elsevier, Elsevier, vol. 39(C), pages 208-221.
    8. Moez Khalfallah & Bruno-Laurent Moschetto & Frédéric Teulon, 2014. "Evaluation of the profitability of companies financed by venture capital (CVC) listed on the French market," Working Papers, Department of Research, Ipag Business School 2014-085, Department of Research, Ipag Business School.

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