Oil Prices and Equity Returns in the BRIC Countries
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.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 32 (2009)
Issue (Month): 7 (07)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0378-5920|
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0378-5920|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Chen, Joseph & Hong, Harrison & Stein, Jeremy C., 2001.
"Forecasting crashes: trading volume, past returns, and conditional skewness in stock prices,"
Journal of Financial Economics,
Elsevier, vol. 61(3), pages 345-381, September.
- Joseph Chen & Harrison Hong & Jeremy C. Stein, 2000. "Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices," NBER Working Papers 7687, National Bureau of Economic Research, Inc.
- Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
- Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc.
- 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, vol. 29(10), pages 2475-2502, October.
- Konstantinos Kassimatis, 2002. "Financial liberalization and stock market volatility in selected developing countries," Applied Financial Economics, Taylor & Francis Journals, vol. 12(6), pages 389-394.
- 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, vol. 22, pages 369-381.
- Ramchand, Latha & Susmel, Raul, 1998. "Volatility and cross correlation across major stock markets," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 397-416, October.
- Geert Bekaert & Campbell Harvey & Christian T. Lundblad, 2003. "Equity market liberalization in emerging markets," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 53-74.
- Geert Bekaert & Campbell R. Harvey & Christian T. Lundblad, 2003. "Equity Market Liberalization in Emerging Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 26(3), pages 275-299.
- Basher, Syed A. & Sadorsky, Perry, 2006. "Oil price risk and emerging stock markets," Global Finance Journal, Elsevier, vol. 17(2), pages 224-251, December.
- Syed A. Basher & Perry Sadorsky, 2004. "Oil price risk and emerging stock markets," International Finance 0410003, EconWPA.
- Koutmos, Gregory & Booth, G Geoffrey, 1995. "Asymmetric volatility transmission in international stock markets," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 747-762, December.
- 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, vol. 13(4), pages 383-399, October.
- Angelos Kanas, 1998. "Volatility spillovers across equity markets: European evidence," Applied Financial Economics, Taylor & Francis Journals, vol. 8(3), pages 245-256.
- Angelos Kanas, 2000. "Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(3-4), pages 447-467.
- Angelos Kanas, 2000. "Volatility Spillovers Between Stock Returns and Exchange Rate Changes: International Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(3&4), pages 447-467.
- Sadorsky, Perry, 1999. "Oil price shocks and stock market activity," Energy Economics, Elsevier, vol. 21(5), pages 449-469, October.
- James D. Hamilton, 1985. "Historical Causes of Postwar Oil Shocks and Recessions," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 97-116.
- Booth, G. Geoffrey & Martikainen, Teppo & Tse, Yiuman, 1997. "Price and volatility spillovers in Scandinavian stock markets," Journal of Banking & Finance, Elsevier, vol. 21(6), pages 811-823, June.
- Roger D. Huang & Ronald W. Masulis & Hans R. Stoll, 1996. "Energy shocks and financial markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(1), pages 1-27, 02.
- 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, vol. 105(431), pages 864-880, July. Full references (including those not matched with items on IDEAS)