Re-examining oil and BRICS' stock markets: new evidence from wavelet and MGARCH-DCC

被引：14

作者：

Karim, Muhammad Mahmudul ^{[1
]}

Chowdhury, Mohammad Ashraful Ferdous ^{[2
]}

Masih, Mansur ^{[3
]}

机构：

[1] Lorong Univ A, INCEIF, Kuala Lumpur, Malaysia

[2] Shahjalal Univ Sci & Technol, Dept Business Adm, Sylhet, Bangladesh

[3] UniKL Business Sch, Finance Islamic Finance, Kuala Lumpur, Malaysia

来源：

MACROECONOMICS AND FINANCE IN EMERGING MARKET ECONOMIES | 2022年 / 15卷 / 02期

关键词：

Oil; BRICS; stock price; wavelet; MGARCH-DCC; COVID-19; DYNAMIC CONDITIONAL CORRELATION; PRICE SHOCKS; CRUDE-OIL; EQUITY MARKETS; ASYMMETRIC IMPACT; CO-MOVEMENT; VOLATILITY; FLUCTUATIONS; CAUSALITY; INTERDEPENDENCE;

D O I：

10.1080/17520843.2020.1861047

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This study examines how the relationship between oil and stock market return of BRICS behaves at different investment horizons. Using data ranging from 2006 to 2020, the wavelet and MGARCH-DCC found that the stock markets' return of Russia, Brazil, and South Africa are comparatively more correlated with oil price return across the investment horizons and more volatile particularly during the Covid-19 period. However, the stock markets' return of China and India is less correlated with oil price return and less volatile. It is also revealed that oil price return leads the BRICS' stock markets' return and both are positively correlated.

引用

收藏

页码：196 / 214

页数：19

相关论文

共 45 条

[21] Long-term global market correlations [J].

Goetzmann, WN ;

Li, LF ;

Rouwenhorst, KG .

JOURNAL OF BUSINESS, 2005, 78 (01) :1-38

[22]

Gomes M., 2014, Journal of Applied Business Research, V30, DOI [10.19030/jabr.v30i2.8421, DOI 10.19030/jabr.v30i2.8421]

[23] Who drives whom - sukuk or bond? A new evidence from granger causality and wavelet approach [J].

Haque, Md. Mahmudul ;

Chowdhury, Mohammad Ashraful Ferdous ;

Buriev, Abdul Aziz ;

Bacha, Obiyathulla Ismath ;

Masih, Mansur .

REVIEW OF FINANCIAL ECONOMICS, 2018, 36 (02) :117-132

[24] Time-frequency featured co-movement between the stock and prices of crude oil and gold [J].

Huang, Shupei ;

An, Haizhong ;

Gao, Xiangyun ;

Huang, Xuan .

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2016, 444 :985-995

[25]

In F, 2013, INTRODUCTION TO WAVELET THEORY IN FINANCE: A WAVELET MULTISCALE APPROACH, P1

[26] Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective? [J].

Jammazi, Rania ;

Ferrer, Roman ;

Jareno, Francisco ;

Shahzad, Syed Jawad Hussain .

INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2017, 49 :453-483

[27] Oil price shocks, policy uncertainty, and stock returns of oil and gas corporations [J].

Kang, Wensheng ;

Perez de Gracia, Fernando ;

Ratti, Ronald A. .

JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2017, 70 :344-359

[28] Do the Islamic Stock Market Returns Respond Differently to the Realized and Implied Volatility of Oil Prices? Evidence from the Time-Frequency Analysis [J].

Karim, Muhammad Mahmudul ;

Masih, Mansur .

EMERGING MARKETS FINANCE AND TRADE, 2021, 57 (09) :2616-2631

[29] THE IMPACT OF OIL PRICE SHOCKS ON THE US STOCK MARKET [J].

Kilian, Lutz ;

Park, Cheolbeom .

INTERNATIONAL ECONOMIC REVIEW, 2009, 50 (04) :1267-1287

[30] Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model - an empirical study on foreign exchange rates [J].

Ku, Yuan-Hung Hsu ;

Wang, Jai Jen .

APPLIED ECONOMICS LETTERS, 2008, 15 (07) :533-538

← 1 2 3 4 5 →