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

ABSTRACT

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.

KEYWORDS:

• Oil
• BRICS
• stock price
• wavelet
• MGARCH-DCC
• COVID-19

Disclosure statement

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

Notes

1. http://time.com/4923837/brics-summit-xiamen-mixed-fortunes.

2. How Differently Does Oil Price Influence BRICS Stock Markets? (Bouoiyour and Selmi 2016).

Additional information

Notes on contributors

Muhammad Mahmudul Karim

Mr. Muhammad Mahmudul Karim is a Ph.D. scholar at INCEIF. Prior to joining INCEIF as a Ph.D. student, He has completed BBA (Finance and Banking), Chartered Islamic Finance Professional (CIFP), and MSc in Islamic finance from INCEIF. He has published in leading SSCI indexed finance journal and some are under review. His main research interests are bond and Sukuk pricing, Islamic finance, financial derivatives, commodity and equity markets, etc.

Mohammad Ashraful Ferdous Chowdhury

Mohammad Ashraful Ferdous Chowdhury is the Associate Professor of the Department of Business Administration, Shahjalal University of Science & Technology (SUST), Bangladesh. He holds PhD. and MSc. degree in Islamic finance from INCEIF, Malaysia. Prior to that, he obtained MBA in Finance and Banking and BBA in Finance from SUST. His research interest includes financial economics, Institutional economics, banking and finance, Islamic finance etc. Dr. Chowdhury published more than 30 articles in ISI/SSCI/SCI/SCOPUS indexed journals.

Mansur Masih

Mansur Masih is educated at Manchester (MA Econ) and Leeds (PhD) Universities; Currently working at UniKL Business School, Malaysia as a Senior Professor, Finance/Islamic Finance; previously held the Chair Professorship of Finance at the UKM, UUM and KFUPM and taught at the Australian (New South Wales and Edith Cowan) and British (Leeds) Universities for a total of 27 years. Out of 155 refereed published ‘applied’ papers, 120 papers are in the top four publishers’ journals (including 92 ISI/SSCI journals); Holding 8,046 citations (Googles), REPEC Global rank 1 (top authors in Islamic Finance), REPEC Global rank 11 (top authors by field, South East Asia); REPEC ASEAN rank 4 (top authors by region); REPEC country rank 1 (top authors by country, Malaysia); associated with SSCI/ISI journals as the ‘subject editor’ of JIFMIM, Guest Editor of EMFT and Associate Editor of IJMEFM; h-index is 41 and i10-index is 103 (Googles).