Khan, Salman (2010): Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case.
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In this paper we investigate the relationship between the crude oil and the stock market in terms of returns and volatility-spillover for the BRIC countries by using cointegration and the VECM-MGARCH technique. The results reveal that the oil and the market returns are cointegrated in all the markets. The results from VECM indicate stable, bidirectional, long-run relationship between oil prices and market returns while short-run linkages were found to be absent in all the cases except Russia where it significantly affects the BRENT prices. In terms of shock transmission and volatility spillover, the relationship is significant and bidirectional in all the cases. The analyses conclude that BRIC countries stock markets are highly integrated with the oil market.
|Item Type:||MPRA Paper|
|Original Title:||Crude Oil Price shocks to Emerging Markets: Evaluating the BRICs Case|
|Keywords:||Multivariate GARCH, Cointegration, Oil Price, Stock markets, VECM|
|Subjects:||O - Economic Development, Innovation, Technological Change, and Growth > O1 - Economic Development > O16 - Financial Markets ; Saving and Capital Investment ; Corporate Finance and Governance
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes
Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q4 - Energy
|Depositing User:||Salman Khan|
|Date Deposited:||31. May 2010 01:00|
|Last Modified:||13. Feb 2013 02:54|
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