The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models

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dc.contributor.authorHelmi, Mohamad Husam
dc.contributor.authorNazif Catik, A.
dc.contributor.authorKosedagli, Begüm Yurteri
dc.contributor.authorKisla, Gul Serife Huyuguzel
dc.contributor.authorAkdeniz, Coskun
dc.date.accessioned2024-10-29T17:43:35Z
dc.date.available2024-10-29T17:43:35Z
dc.date.issued2023
dc.departmentTekirdağ Namık Kemal Üniversitesi
dc.description.abstractThis 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.
dc.identifier.doi10.32479/ijeep.14801
dc.identifier.endpage440
dc.identifier.issn2146-4553
dc.identifier.issue6en_US
dc.identifier.scopus2-s2.0-85176740891
dc.identifier.scopusqualityQ2
dc.identifier.startpage430
dc.identifier.urihttps://doi.org/10.32479/ijeep.14801
dc.identifier.urihttps://hdl.handle.net/20.500.11776/12500
dc.identifier.volume13
dc.indekslendigikaynakScopus
dc.language.isoen
dc.publisherEconjournals
dc.relation.ispartofInternational Journal of Energy Economics and Policy
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectBRIC Countries
dc.subjectNatural Gas Prices
dc.subjectOil Prices
dc.subjectOil-gas Sectoral Returns
dc.subjectTime-varying Parameter Model
dc.titleThe Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models
dc.typeArticle

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