Yıldırım, Durmuş ÇağrıErdoğan, SeyfettinÇevik, Emrah İsmail2022-05-112022-05-1120181540-496X1558-0938https://doi.org/10.1080/1540496X.2018.1427062https://hdl.handle.net/20.500.11776/7776In 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.en10.1080/1540496X.2018.1427062info:eu-repo/semantics/closedAccessMS-VARoil pricestock returnsMarkov-Switching ModelBusiness-CycleEuropean CountriesFinancial-MarketsDynamic LinkagesEnergy ShocksReturnsUsInflationMacroeconomyRegime-Dependent Effect of Crude Oil Price on BRICS Stock MarketsArticle54817061719Q3WOS:0004330326000032-s2.0-85047467237Q1