Regime-Dependent Effect of Crude Oil Price on BRICS Stock Markets

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dc.authorid0000-0002-8155-1597
dc.authorid0000-0002-8155-1597
dc.authorid0000-0003-4168-2792
dc.authorscopusid56127310200
dc.authorscopusid56625634400
dc.authorscopusid26653963900
dc.authorwosidCevik, Emrah/AAE-7169-2022
dc.authorwosidCevik, Emrah/K-1967-2019
dc.authorwosidYILDIRIM, Durmuş Çağrı/V-8841-2019
dc.contributor.authorYıldırım, Durmuş Çağrı
dc.contributor.authorErdoğan, Seyfettin
dc.contributor.authorÇevik, Emrah İsmail
dc.date.accessioned2022-05-11T14:33:30Z
dc.date.available2022-05-11T14:33:30Z
dc.date.issued2018
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractIn 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.
dc.identifier.doi10.1080/1540496X.2018.1427062
dc.identifier.endpage1719
dc.identifier.issn1540-496X
dc.identifier.issn1558-0938
dc.identifier.issue8en_US
dc.identifier.scopus2-s2.0-85047467237
dc.identifier.scopusqualityQ1
dc.identifier.startpage1706
dc.identifier.urihttps://doi.org/10.1080/1540496X.2018.1427062
dc.identifier.urihttps://hdl.handle.net/20.500.11776/7776
dc.identifier.volume54
dc.identifier.wosWOS:000433032600003
dc.identifier.wosqualityQ3
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorYıldırım, Durmuş Çağrı
dc.institutionauthorÇevik, Emrah İsmail
dc.language.isoen
dc.publisherRoutledge Journals, Taylor & Francis Ltd
dc.relation.ispartofEmerging Markets Finance and Trade
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccess
dc.subjectMS-VAR
dc.subjectoil price
dc.subjectstock returns
dc.subjectMarkov-Switching Model
dc.subjectBusiness-Cycle
dc.subjectEuropean Countries
dc.subjectFinancial-Markets
dc.subjectDynamic Linkages
dc.subjectEnergy Shocks
dc.subjectReturns
dc.subjectUs
dc.subjectInflation
dc.subjectMacroeconomy
dc.titleRegime-Dependent Effect of Crude Oil Price on BRICS Stock Markets
dc.typeArticle

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