Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach

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dc.authoridCaporale, Guglielmo Maria/0000-0002-0144-4135
dc.contributor.authorCaporale, Guglielmo Maria
dc.contributor.authorÇatık, Abdurrahman Nazif
dc.contributor.authorKışla, Gül Şerife Huyugüzel
dc.contributor.authorHelmi, NMohamed Husam
dc.contributor.authorAkdeniz, Coşkun
dc.date.accessioned2023-04-20T08:04:12Z
dc.date.available2023-04-20T08:04:12Z
dc.date.issued2022
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü
dc.description.abstractThis paper investigates how exchange rates and oil prices have affected sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. Following the estimation of a benchmark linear model, Bai and Perron (2003) tests are carried out in each case to identify structural breaks, and then a state-space model with time-varying parameters is also estimated. The analysis shows that oil prices have a significant, positive effect on the energy sectors of all BRICS-T countries except India; a negative one on the industrial sectors of all countries except Turkey; a negative one on the financial sectors of Brazil, Russia, India, and South Africa; a negative one on the transportation sectors of India and Turkey and a positive one on that of Russia; finally, the most significant effect is on the chemicals sector, though it varies across countries. The subsamples and time-varying estimates indicate that exchange rate returns have a larger influence than oil price returns. Because energy-dependent sectors are vulnerable to global volatility, appropriate energy regulations should be implemented to reduce risk.
dc.identifier.doi10.1016/j.resourpol.2022.103044
dc.identifier.issn0301-4207
dc.identifier.issn1873-7641
dc.identifier.scopus2-s2.0-85140743248
dc.identifier.scopusqualityQ1
dc.identifier.urihttps://doi.org/10.1016/j.resourpol.2022.103044
dc.identifier.urihttps://hdl.handle.net/20.500.11776/11015
dc.identifier.volume79
dc.identifier.wosWOS:000867665400002
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Science
dc.indekslendigikaynakScopus
dc.institutionauthorAkdeniz, Coşkun
dc.language.isoen
dc.publisherElsevier Sci Ltd
dc.relation.ispartofResources Policy
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectOil Prices
dc.subjectExchange Rates
dc.subjectSectoral Stock Returns
dc.subjectStructural Breaks
dc.subjectTime-Varying Parameters
dc.subjectCrude-Oil
dc.subjectCanadian Oil
dc.subjectGdp Growth
dc.subjectReal Gdp
dc.subjectShocks
dc.subjectMarket
dc.subjectImpact
dc.subjectRisk
dc.subjectUs
dc.subjectCointegration
dc.titleOil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach
dc.typeArticle

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