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Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case

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  • Khan, Salman

Abstract

In this paper we investigate the relationship between the crude oil and the stock market in terms of returns and volatility-spillover for the BRIC countries by using cointegration and the VECM-MGARCH technique. The results reveal that the oil and the market returns are cointegrated in all the markets. The results from VECM indicate stable, bidirectional, long-run relationship between oil prices and market returns while short-run linkages were found to be absent in all the cases except Russia where it significantly affects the BRENT prices. In terms of shock transmission and volatility spillover, the relationship is significant and bidirectional in all the cases. The analyses conclude that BRIC countries stock markets are highly integrated with the oil market.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 22978.

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Date of creation: 30 Apr 2010
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Handle: RePEc:pra:mprapa:22978

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Keywords: Multivariate GARCH; Cointegration; Oil Price; Stock markets; VECM;

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  1. Harvey, Campbell R, 1995. "Predictable Risk and Returns in Emerging Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(3), pages 773-816.
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Cited by:
  1. Hacihasanoglu, Erk & Turhan, Ibrahim M. & Soytas, Ugur, 2012. "Oil prices and emerging market exchange rates," MPRA Paper 36477, University Library of Munich, Germany.

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