The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models
Küçük Resim Yok
Tarih
2023
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Econjournals
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
This paper examines the effects of oil and natural gas prices on the oil and gas sectors of the BRIC countries (Brazil, Russia, India, and China) over the period over from 2013 to 2022. Unlike previous studies, it employs a time-varying capital asset pricing model based on the estimation of state-space mode. In brief, the findings highlight significant changes in the asset-pricing model parameters across all countries, indicating the limitations of using time-invariant estimates. Specifically, Brazil shows the highest volatility in oil price risk, followed by Russia, both being oil-exporting countries, while market beta values remain relatively stable. Time-varying estimates further suggest that natural gas parameters are relatively lower and less significant than those of oil prices. The Russian-Ukrainian conflict’s energy crisis adversely affects the performance of oil and gas sectoral stock returns. This war has had a negative and significant impact on China’s oil-gas stock return. © 2023, Econjournals. All rights reserved.
Açıklama
Anahtar Kelimeler
BRIC Countries, Natural Gas Prices, Oil Prices, Oil-gas Sectoral Returns, Time-varying Parameter Model
Kaynak
International Journal of Energy Economics and Policy
WoS Q Değeri
Scopus Q Değeri
Q2
Cilt
13
Sayı
6
