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Relationship between Oil Prices and Stock Prices in BRICS-T Countries: Symmetric and Asymmetric Causality Analysis

Author

Listed:
  • Aktolkin Abubakirova

    (Department of Tourism, Khoja Akhmet Yassawi International Kazakh, Turkish University, Turkestan, Kazakhstan,)

  • Aziza Syzdykova

    (Department of Finance and Accounting, Khoja Akhmet Yassawi International Kazakh, Turkish University, Turkestan, Kazakhstan,)

  • Assan Dosmakhanbet

    (Department of Tourism, Khoja Akhmet Yassawi International Kazakh, Turkish University, Turkestan, Kazakhstan,)

  • Lyazzat Kudabayeva

    (M.Kh.Dulaty Taraz Regional University, Taraz, Kazakhstan,)

  • Gulnar Abdulina

    (Narxoz University, Almaty, Kazakhstan.)

Abstract

In this study, by considering the period between January 2010 and December 2019 of BRICS-T countries, the relationship between oil prices and stock prices was examined through the Hatemi-J asymmetric causality test (2012). The stationarity levels of the series were determined by Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests. Hatemi-J (2012) asymmetric causality test, which takes into account the presence of asymmetric information in financial markets by distinguishing positive and negative shocks, was used. Accordingly, hidden relationships that could not be detected using the symmetric causality test were revealed with the help of the asymmetric causality test.

Suggested Citation

  • Aktolkin Abubakirova & Aziza Syzdykova & Assan Dosmakhanbet & Lyazzat Kudabayeva & Gulnar Abdulina, 2021. "Relationship between Oil Prices and Stock Prices in BRICS-T Countries: Symmetric and Asymmetric Causality Analysis," International Journal of Energy Economics and Policy, Econjournals, vol. 11(3), pages 140-148.
    • Handle: RePEc:eco:journ2:2021-03-17
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    More about this item

    Keywords

    BRICS-T; oil prices; stock prices; asymmetric causality;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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