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Nonlinear Relationships between Oil Price and Stock Index – Evidence from Brazil, Russia, India and China

Author

Listed:
  • Liang-Chun HO

    (Sanming University, Sanming City, Fujian, China.)

  • Chia-Hsing HUANG

    (SolBridge International School of Business,Dong-gu, Daejeon, South Korea.)

Abstract

Threshold Autoregressive (TAR)/ Momentum-Threshold Autoregressive (MTAR) nonlinear models are used to study the cointegration and causality relationships between WTI crude oil prices and stock indexes of Brazil, Russia, India, and China (BRIC) during January 1996 to June 2015. The Chow breakpoint test and the Quandt-Andrews unknown breakpoint test are used to examine structural changes. The results show that the causality is from WTI spot price to stock indexes in India and Russia before and after the structural breaks, and from stock index to WTI spot price in China after the structural break. There is no causality relationship between stock index and WTI spot price in Brazil. There are long-running cointegration relationships between stock indexes of BRIC and WTI spot prices.

Suggested Citation

  • Liang-Chun HO & Chia-Hsing HUANG, 2016. "Nonlinear Relationships between Oil Price and Stock Index – Evidence from Brazil, Russia, India and China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 116-126, September.
    • Handle: RePEc:rjr:romjef:v::y:2016:i:3:p:116-126
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    Cited by:

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    2. Yufeng Chen & Wenqi Li & Xi Jin, 2018. "Volatility Spillovers between Crude Oil Prices and New Energy Stock Price in China," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 43-62, December.
    3. Dejan Živkov & Jovan Njegiæ & Mirela Momèiloviæ, 2018. "Bidirectional spillover effect between Russian stock index and the selected commodities," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 36(1), pages 29-53.
    4. Wang, Yilei & Cheng, Sheng & Cao, Yan, 2022. "How does economic policy uncertainty respond to the global oil price fluctuations? Evidence from BRICS countries," Resources Policy, Elsevier, vol. 79(C).
    5. Muzammil KURSHID & Berna Kirkulak ULUDAG, 2017. "Shock And Volatility Spillovers Between Oil And Some Balkan Stock Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 47-59, December.

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    More about this item

    Keywords

    oil price; stock index; BRIC;
    All these keywords.

    JEL classification:

    • F10 - International Economics - - Trade - - - General
    • F30 - International Economics - - International Finance - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General

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