dc.contributor.author | Caporale, Guglielmo Maria | |
dc.contributor.author | Çatık, Abdurrahman Nazif | |
dc.contributor.author | Kışla, Gül Şerife Huyugüzel | |
dc.contributor.author | Helmi, NMohamed Husam | |
dc.contributor.author | Akdeniz, Coşkun | |
dc.date.accessioned | 2023-04-20T08:04:12Z | |
dc.date.available | 2023-04-20T08:04:12Z | |
dc.date.issued | 2022 | |
dc.identifier.issn | 0301-4207 | |
dc.identifier.issn | 1873-7641 | |
dc.identifier.uri | https://doi.org/10.1016/j.resourpol.2022.103044 | |
dc.identifier.uri | https://hdl.handle.net/20.500.11776/11015 | |
dc.description.abstract | This 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. | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Elsevier Sci Ltd | en_US |
dc.identifier.doi | 10.1016/j.resourpol.2022.103044 | |
dc.rights | info:eu-repo/semantics/openAccess | en_US |
dc.subject | Oil Prices | en_US |
dc.subject | Exchange Rates | en_US |
dc.subject | Sectoral Stock Returns | en_US |
dc.subject | Structural Breaks | en_US |
dc.subject | Time-Varying Parameters | en_US |
dc.subject | Crude-Oil | en_US |
dc.subject | Canadian Oil | en_US |
dc.subject | Gdp Growth | en_US |
dc.subject | Real Gdp | en_US |
dc.subject | Shocks | en_US |
dc.subject | Market | en_US |
dc.subject | Impact | en_US |
dc.subject | Risk | en_US |
dc.subject | Us | en_US |
dc.subject | Cointegration | en_US |
dc.title | Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach | en_US |
dc.type | article | en_US |
dc.relation.ispartof | Resources Policy | en_US |
dc.department | Fakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümü | en_US |
dc.authorid | Caporale, Guglielmo Maria/0000-0002-0144-4135 | |
dc.identifier.volume | 79 | en_US |
dc.institutionauthor | Akdeniz, Coşkun | |
dc.relation.publicationcategory | Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
dc.identifier.wos | WOS:000867665400002 | en_US |