Dependence structure between crude oil and BRICS bond markets prior to and during the COVID-19 pandemic

ABSTRACT

This study investigates the return and volatility spillovers between BRICS bonds and oil price volatility in the pre-COVID and during COVID periods by employing the bivariate EGARCH model, cross-quantilogram approach, and wavelet coherence framework. The findings are mixed when comparing the volatility transmissions with various nations and in two periods since variations in return and volatility spillovers between oil prices and bond market returns have co-moved through time. In particular, they increased during the COVID-19 outbreak, which supports the idea that financial market integration intensified during the crisis. Additionally, oil prices have a positive impact on bond markets in Russia and South Africa in both periods, while there are weak and negative relationships in China, India, and Brazil in pre-COVID and pandemic periods. This information has consequences for risk management and portfolio decisions for investors with a substantial position in the BRICS bonds market.

KEYWORDS:

• BRICS
• government bond markets
• volatility spillover
• cross-quatilogram
• oil prices

JEL CLASSIFICATION:

• C53
• F36
• G15

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

This research is funded by the University of Finance-Marketing, Ho Chi Minh City, Vietnam.