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Return and volatility connectedness among the BRICS stock and oil markets

Author

Listed:
  • Chang, Hao-Wen
  • Chang, Tsangyao
  • Lee, Chien-Chiang

Abstract

This study revisits return and volatility contagion among the oil and the stock markets of BRICS over the period of September 14, 2001 to June 17, 2022 using connectedness approach. In terms of shock transmissions, empirical results indicate that the stock market in China and India are net receivers and that in Brazil, Russia and South Africa are net transmitters. In addition, the oil market is the net receiver as well. Both returns and volatility spillovers give us the same conclusions. This evidence provides important implications for the investors, practitioners and government.

Suggested Citation

  • Chang, Hao-Wen & Chang, Tsangyao & Lee, Chien-Chiang, 2023. "Return and volatility connectedness among the BRICS stock and oil markets," Resources Policy, Elsevier, vol. 86(PA).
    • Handle: RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009522
    DOI: 10.1016/j.resourpol.2023.104241
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