Return and volatility connectedness among the BRICS stock and oil markets

被引：9

作者：

Chang, Hao-Wen ^{[1
]}

Chang, Tsangyao ^{[2
]}

Lee, Chien-Chiang ^{[3
,4
,5
]}

机构：

[1] Natl Yang Ming Chiao Tung Univ, Dept Informat Management & Finance, Hsinchu 300093, Taiwan

[2] Feng Chia Univ, Dept Finance, Taichung, Taiwan

[3] Nanchang Univ, Sch Econ & Management, Nanchang, Peoples R China

[4] Lebanese Amer Univ, Adnan Kassar Sch Business, Beirut, Lebanon

[5] Nanchang Univ, Sch Econ & Management, Nanchang, Jiangxi, Peoples R China

来源：

RESOURCES POLICY | 2023年 / 86卷

关键词：

Oil markets; Connectedness approach; Stock markets; Spillovers; BRICS; IMPULSE-RESPONSE ANALYSIS; CRUDE-OIL; SPILLOVERS; PRICE; SHOCKS; IMPACT; CHINA; NEXUS;

D O I：

10.1016/j.resourpol.2023.104241

中图分类号：

X [环境科学、安全科学];

学科分类号：

08 ; 0830 ;

摘要：

This study revisits return and volatility contagion among the oil and the stock markets of BRICS over the period of September 14, 2001 to June 17, 2022 using connectedness approach. In terms of shock transmissions, empirical results indicate that the stock market in China and India are net receivers and that in Brazil, Russia and South Africa are net transmitters. In addition, the oil market is the net receiver as well. Both returns and volatility spillovers give us the same conclusions. This evidence provides important implications for the investors, practitioners and government.

引用

页数：17

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