Regime-Dependent Effect of Crude Oil Price on BRICS Stock Markets
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Dosyalar
Tarih
2018
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Routledge Journals, Taylor & Francis Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In this study, the dynamic relation between global crude oil prices and stock prices is investigated in terms of crude oil-exporting and -importing countries. The relationship between crude oil prices and stock prices is examined for BRICS countries (Brazil, Russia, India, China, and South Africa) for the periods of January 1995 to December 2016 by means of the Markov Switching Vector Autoregression (MS-VAR) model. The impulse-response analysis results suggest that the responses of the stock market to an oil price shock vary over the regimes for all countries. Specifically, we find that the responses of the stock market to an unexpected oil price shock are positive and statistically significant in the high-volatility regime in all countries except for China, and these results suggest that the increase in oil prices may be evaluated by demand-side shock in these countries.
Açıklama
Anahtar Kelimeler
MS-VAR, oil price, stock returns, Markov-Switching Model, Business-Cycle, European Countries, Financial-Markets, Dynamic Linkages, Energy Shocks, Returns, Us, Inflation, Macroeconomy
Kaynak
Emerging Markets Finance and Trade
WoS Q Değeri
Q3
Scopus Q Değeri
Q1
Cilt
54
Sayı
8
