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Oil Prices and Equity Returns in the BRIC Countries


  • Ramaprasad Bhar
  • Biljana Nikolova


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.

Suggested Citation

  • Ramaprasad Bhar & Biljana Nikolova, 2009. "Oil Prices and Equity Returns in the BRIC Countries," The World Economy, Wiley Blackwell, vol. 32(7), pages 1036-1054, July.
  • Handle: RePEc:bla:worlde:v:32:y:2009:i:7:p:1036-1054

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    References listed on IDEAS

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    Cited by:

    1. Singhal, Shelly & Ghosh, Sajal, 2016. "Returns and volatility linkages between international crude oil price, metal and other stock indices in India: Evidence from VAR-DCC-GARCH models," Resources Policy, Elsevier, vol. 50(C), pages 276-288.
    2. repec:mes:emfitr:v:52:y:2016:i:5:p:1210-1225 is not listed on IDEAS
    3. Saleem, Kashif & Vaihekoski, Mika, 2010. "Time-varying global and local sources of market and currency risks in Russian stock market," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 686-697, October.
    4. Giulio Cifarelli & Giovanna Paladino, 2009. "Is Oil A Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years," Working Papers - Economics wp2009_12.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    5. Fang, Chung-Rou & You, Shih-Yi, 2014. "The impact of oil price shocks on the large emerging countries' stock prices: Evidence from China, India and Russia," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 330-338.
    6. Syed Abul, Basher, 2014. "Stock markets and energy prices," MPRA Paper 53863, University Library of Munich, Germany.
    7. Ciner, Cetin, 2013. "Oil and stock returns: Frequency domain evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 1-11.
    8. Morales, Lucía & Gassie, Esmeralda, 2011. "Structural breaks and financial volatility: Lessons from BRIC countries," IAMO Forum 2011: Will the "BRICs Decade" Continue? – Prospects for Trade and Growth 13, Leibniz Institute of Agricultural Development in Central and Eastern Europe (IAMO).
    9. Syriopoulos, Theodore & Makram, Beljid & Boubaker, Adel, 2015. "Stock market volatility spillovers and portfolio hedging: BRICS and the financial crisis," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 7-18.
    10. Zhu, Huiming & Guo, Yawei & You, Wanhai & Xu, Yaqin, 2016. "The heterogeneity dependence between crude oil price changes and industry stock market returns in China: Evidence from a quantile regression approach," Energy Economics, Elsevier, vol. 55(C), pages 30-41.
    11. repec:eee:jrpoli:v:52:y:2017:i:c:p:389-392 is not listed on IDEAS
    12. Liu, Li & Chen, Ching-Cheng & Wan, Jieqiu, 2013. "Is world oil market “one great pool”?: An example from China's and international oil markets," Economic Modelling, Elsevier, vol. 35(C), pages 364-373.
    13. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2015. "Modelling Asymmetry in Oil, Gold and Stock Markets by a Hidden Cointegration Technique. - Modelli di asimmetria nel mercato del petrolio, dell’oro e nei mercati azionari attraverso una tecnica di coin," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 68(2), pages 213-228.
    14. Iikka Korhonen & Anatoly Peresetsky, 2016. "What Influences Stock Market Behavior in Russia and Other Emerging Countries?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(5), pages 1210-1225, May.
    15. Zhu, Huiming & Huang, Hui & Peng, Cheng & Yang, Yan, 2016. "Extreme dependence between crude oil and stock markets in Asia-Pacific regions: Evidence from quantile regression," Economics Discussion Papers 2016-46, Kiel Institute for the World Economy (IfW).

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