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Asymmetric Effects of Commodity Prices on Stock Returns of BRICS Countries

Author

Listed:
  • Parminder KAUR

    (University School of Applied Management, Punjabi University, Patiala)

  • Ravi SINGLA

    (University School of Applied Management, Punjabi University, Patiala)

Abstract

In today’s economic era, as the commodity and stock classes are gradually becoming a part of asset portfolio allocations, it has become notable to observe the liaison among commodity prices and stock returns. The purpose of research in this article is to examine the asymmetric relationship amongst commodity prices and stock returns of BRICS countries over the period 2004M1 to 2020M12. To this aim, the study is using nonlinear Autoregressive Distributed Lag (NARDL) co-integration approach, which considers positive and negative changes in an independent variable. The bound test indicates long run co-integration between all the stock returns and commodity prices. Further, the evidence intends that in the short run, metal and oil prices have significant impact on all the BRICS stock markets but there is no such evidence of short run asymmetric association between gold prices and stock returns. The findings of the study also propose long-run asymmetric association between metal prices, oil prices, gold prices and stock returns of all the countries.

Suggested Citation

  • Parminder KAUR & Ravi SINGLA, 2023. "Asymmetric Effects of Commodity Prices on Stock Returns of BRICS Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 145-164, March.
    • Handle: RePEc:rjr:romjef:v::y:2023:i:1:p:145-164
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    References listed on IDEAS

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    More about this item

    Keywords

    export performance; exchange rate; interest rate; fdi; inflation rate; GDP; ARDL modeling; Granger casualty method;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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