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Analyzing the Divergent Effects of Oil Price Changes on BRICS Stock Markets

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  • Neha Gupta

    (Amity University Noida)

  • Namita Sahay

    (Amity University Noida)

  • Miklesh Prasad Yadav

    (Indian Institute of Foreign Trade)

Abstract

We analyse the asymmetric impact of oil prices on the stock markets of the BRICS nations. Employing the Nonlinear Autoregressive Distributed Lag (NARDL) model, we examine the weekly data spanning from October 29, 2010, to May 28, 2021 for West Texas Intermediate (WTI) spot prices in USD per barrel, alongside stock price data from official stock market indices websites. The findings reveal a substantial long-run association of oil prices with stock markets of BRICS nations except South Africa with significant asymmetry observed in both short and long-term impacts. Specifically, fluctuations in oil prices exhibit divergent effects on stock markets within these nations necessitating nuanced policy responses. Investors and portfolio managers are encouraged to adopt nonlinear models for forecasting and portfolio management leveraging asymmetric effects for risk mitigation strategies. These suggestions underscore the importance of recognizing the nonlinear and asymmetric nature of oil price dynamics in shaping investment decisions and formulating effective policy measures to mitigate associated risks in BRICS stock markets.

Suggested Citation

  • Neha Gupta & Namita Sahay & Miklesh Prasad Yadav, 2025. "Analyzing the Divergent Effects of Oil Price Changes on BRICS Stock Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 32(4), pages 1551-1569, December.
    • Handle: RePEc:kap:apfinm:v:32:y:2025:i:4:d:10.1007_s10690-024-09497-0
    DOI: 10.1007/s10690-024-09497-0
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