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Oil and BRIC Stock Markets before and after COVID-19: A Local Gaussian Correlation Approach

Author

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  • Di Yuan
  • Feipeng Zhang
  • Fenghui Cui
  • Shuo Wang

Abstract

This paper investigates interdependence and contagion between oil and BRIC stock markets before and after COVID-19. We used a local Gaussian correlation approach to identify the asymmetric relationship and a bootstrap method to test contagion. The empirical results show that, except for China, the linkages between the crude oil markets and BRIC stock markets significantly increased in crashing markets during the COVID-19 pandemic. Contagion is identified from crude oil markets to the Indian stock market, and from West Texas Intermediate (WTI) futures to the Russian stock market.

Suggested Citation

  • Di Yuan & Feipeng Zhang & Fenghui Cui & Shuo Wang, 2021. "Oil and BRIC Stock Markets before and after COVID-19: A Local Gaussian Correlation Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(6), pages 1592-1602, May.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:6:p:1592-1602
    DOI: 10.1080/1540496X.2021.1904886
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    File URL: http://hdl.handle.net/10.1080/1540496X.2021.1904886
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    Cited by:

    1. Chancharat, Surachai & Sinlapates, Parichat, 2023. "Dependences and dynamic spillovers across the crude oil and stock markets throughout the COVID-19 pandemic and Russia-Ukraine conflict: Evidence from the ASEAN+6," Finance Research Letters, Elsevier, vol. 57(C).
    2. Caporale, Guglielmo Maria & Çatık, Abdurrahman Nazif & Huyuguzel Kısla, Gul Serife & Helmi, Mohamad Husam & Akdeniz, Coşkun, 2022. "Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach," Resources Policy, Elsevier, vol. 79(C).

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