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Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain

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  • Mensi, Walid
  • Rehman, Mobeen Ur
  • Maitra, Debasish
  • Al-Yahyaee, Khamis Hamed
  • Vo, Xuan Vinh

Abstract

This paper uses the wavelet method to investigate co-movements between the five emerging stock markets of Brazil, Russia, India, China, and South Africa (BRICS), and the oil and natural gas markets. The results show co-movements between oil price and stock market returns at the lower scale or in the long-term. Coherence between oil and stock markets reaches maximal levels during the period of the 2008 financial crisis and the ensuing slow economic recovery from 2009. The strong co-movements between crude oil price returns and BRICS stock market returns take place after the removal of the effects of natural gas price returns. Multivariate coherency shows strong contributions of stock market returns and natural gas price returns to crude oil price returns. Given the less co-movements between natural gas and stock markets, natural gas provides higher diversification benefits. The risk is highest in the short-run compared to the medium-and long-term.

Suggested Citation

  • Mensi, Walid & Rehman, Mobeen Ur & Maitra, Debasish & Al-Yahyaee, Khamis Hamed & Vo, Xuan Vinh, 2021. "Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain," Resources Policy, Elsevier, vol. 72(C).
    • Handle: RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000799
    DOI: 10.1016/j.resourpol.2021.102062
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    More about this item

    Keywords

    Energy; BRICS; Co-movements; Wavelet approach; CoVaR;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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    Access and download statistics

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