Oil Price Shocks and Stock Markets in BRICs
This paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Ru...
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Università Carlo Cattaneo LIUC
2011-06-01
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| Series: | The European Journal of Comparative Economics |
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| Online Access: | http://eaces.liuc.it/18242979201101/182429792011080102.pdf |
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doaj-391c9cf6d6df409c97aec03c2d1153ac2020-11-24T20:43:21ZengUniversità Carlo Cattaneo LIUCThe European Journal of Comparative Economics1824-29792011-06-01812945Oil Price Shocks and Stock Markets in BRICsOno, ShigekiThis paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Russia, those of Brazil do not show any significant responses. In addition, statistically significant asymmetric effects of oil price increases and decreases are observed in India. The analysis of variance decomposition shows that the contribution of oil price shocks to volatility in real stock returns is relatively large and statistically significant for China and Russia.http://eaces.liuc.it/18242979201101/182429792011080102.pdfOil price shocksReal stock returnsBRICs |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Ono, Shigeki |
| spellingShingle |
Ono, Shigeki Oil Price Shocks and Stock Markets in BRICs The European Journal of Comparative Economics Oil price shocks Real stock returns BRICs |
| author_facet |
Ono, Shigeki |
| author_sort |
Ono, Shigeki |
| title |
Oil Price Shocks and Stock Markets in BRICs |
| title_short |
Oil Price Shocks and Stock Markets in BRICs |
| title_full |
Oil Price Shocks and Stock Markets in BRICs |
| title_fullStr |
Oil Price Shocks and Stock Markets in BRICs |
| title_full_unstemmed |
Oil Price Shocks and Stock Markets in BRICs |
| title_sort |
oil price shocks and stock markets in brics |
| publisher |
Università Carlo Cattaneo LIUC |
| series |
The European Journal of Comparative Economics |
| issn |
1824-2979 |
| publishDate |
2011-06-01 |
| description |
This paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Russia, those of Brazil do not show any significant responses. In addition, statistically significant asymmetric effects of oil price increases and decreases are observed in India. The analysis of variance decomposition shows that the contribution of oil price shocks to volatility in real stock returns is relatively large and statistically significant for China and Russia. |
| topic |
Oil price shocks Real stock returns BRICs |
| url |
http://eaces.liuc.it/18242979201101/182429792011080102.pdf |
| work_keys_str_mv |
AT onoshigeki oilpriceshocksandstockmarketsinbrics |
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1716820101116723200 |