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Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case

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  • Khan, Salman

Abstract

In this paper we investigate the relationship between the crude oil and the stock market in terms of returns and volatility-spillover for the BRIC countries by using cointegration and the VECM-MGARCH technique. The results reveal that the oil and the market returns are cointegrated in all the markets. The results from VECM indicate stable, bidirectional, long-run relationship between oil prices and market returns while short-run linkages were found to be absent in all the cases except Russia where it significantly affects the BRENT prices. In terms of shock transmission and volatility spillover, the relationship is significant and bidirectional in all the cases. The analyses conclude that BRIC countries stock markets are highly integrated with the oil market.

Suggested Citation

  • Khan, Salman, 2010. "Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case," MPRA Paper 22978, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:22978
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    References listed on IDEAS

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    Cited by:

    1. Dogah, Kingsley E. & Premaratne, Gamini, 2018. "Sectoral exposure of financial markets to oil risk factors in BRICS countries," Energy Economics, Elsevier, vol. 76(C), pages 228-256.
    2. Muhammad Irfan Malik & Abdul Rashid, 2017. "Return And Volatility Spillover Between Sectoral Stock And Oil Price: Evidence From Pakistan Stock Exchange," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-22, June.
    3. Ibrahim Turhan & Erk Hacihasanoglu & Ugur Soytas, 2013. "Oil Prices and Emerging Market Exchange Rates," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 49(S1), pages 21-36, January.

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    More about this item

    Keywords

    Multivariate GARCH; Cointegration; Oil Price; Stock markets; VECM;
    All these keywords.

    JEL classification:

    • O16 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Financial Markets; Saving and Capital Investment; Corporate Finance and Governance
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q4 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy

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