1,395
Views
0
CrossRef citations to date
0
Altmetric
FINANCIAL ECONOMICS

Oil shocks and the volatility of BRICS and G7 markets: SVAR analysis

Article: 2068241 | Received 18 Oct 2021, Accepted 09 Apr 2022, Published online: 29 Apr 2022

References

  • Aloui, C., Nguyen, D. K., & Njeh, H. (2012). Assessing the impacts of oil price fluctuations on stock returns in emerging markets. Economic Modelling, 29(6), 2686–17. https://doi.org/10.1016/j.econmod.2012.08.010
  • Alqahtani, A., Bouri, E., & Vo, X. V. (2020). Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns. Journal Pre-proof, 68(C), 239–249. https://doi.org/10.1016/j.eap.2020.09.017
  • Antonakakis, N., Gupta, R., Kollias, C., & Papadamou, S. (2017). Geopolitical risks and the oil-stock nexus over 1899-2016. Finance Research Letters, 23(C), 165–173. https://doi.org/10.1016/j.frl.2017.07.017
  • Balcilar, M., Gabauer, D., & Umar, Z. (2021). Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach. Resources Policy, 73(C), 102219. https://doi.org/10.1016/j.resourpol.2021.102219
  • Bastianin, A., Francesca Conti, F., & Manera, M. (2016). The impacts of oil price shocks on stock market volatility: Evidence from the G7 countries. Energy Policy, 98(C), 160–169. https://doi.org/10.1016/j.enpol.2016.08.020
  • Bastianin, A., & Manera, M. (2017). How does stock market volatility react to oil price shocks? Macroeconomic Dynamics, 22(3), 1–17. Printed in the United States of America. https://doi.org/10.1017/S1365100516000353
  • Bernanke, B. S. (1983). Irreversibility, uncertainty, and cyclical investment. Quarterly Journal of Economics, 98(1), 85–106. https://doi.org/10.2307/1885568
  • Bouri, E., Demirer, R., Gupta, R., & Sun, X. (2020). The predictability of stock market volatility in emerging economies: relative roles of local. Regional and Global Business Cycles. Economics. Journal of Forecasting, 39(6), 957–965. https://doi.org/10.1002/FOR.2672
  • David, A., Dickey, W., & Fuller, A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057–1072. https://doi.org/10.2307/1912517
  • Degiannakis, S., Filis, G., & Kizys, R. (2014). The effects of oil price shocks on stock market volatility: evidence from European data. The Energy Journal, 35(1), 35–56. (22 pages) https://doi.org/10.5547/01956574.35.1.3
  • Ferrer, R., Shahzad, S., J, H., López, R., & Jareño, F. (2018). Time and frequency dynamics of connectedness between renewable energy stocks and crude oil prices. Energy Economics, 76(C), 1–20. https://doi.org/10.1016/j.eneco.2018.09.022
  • Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779–1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
  • Golam, M. M., & Monowar, M. (2015). The rise of the BRICS and their challenge to the G7. International Journal of Emerging Markets, 10(1), 156–170. https://doi.org/10.1108/IJOEM-07-2012-0063
  • Gonc¸, S., & Kilian, L. (2004). Bootstrapping autoregressions with conditional heteroskedasticity of unknown form. Journal of Econometrics, 123(1), 89–120. https://doi.org/10.1016/j.jeconom.2003.10.030
  • Gyedu, S., Heng, T., Ntarmah, A. H., He, Y., & Frimppong, E. (2021). Technological Forecasting and Social Change. https://doi.org/10.1016/j.techfore.2021.121169
  • Ji, Q., Liu, B. Y., & Fan, Y. (2019). Risk dependence of CoVaR and structural change between oil prices and exchange rates: A time-varying copula model. Energy Economics, 77(C), 80–92. https://doi.org/10.1016/j.eneco.2018.07.012
  • Jiang, Y., Lao, J., Mo, B., & Nie, H. (2018). Dynamic linkages among global oil market, agricultural raw material markets and metal markets: An application of wavelet and copula approaches. Physica A: Statistical Mechanics and Its Applications, 508(C), 265–279. https://doi.org/10.1016/j.physa.2018.05.092
  • Kilian, L. (2009). Not all oil price shocks are alike: Disentangling demand and supply shocks in the crude oil market. American Economic Review, 99(3), 1053–1069. https://doi.org/10.1257/aer.99.3.1053
  • Kilian, L., & Park, C. (2009). The impact of oil price shocks on the U.S. stock market. International Economic Review, 50(4), 1267–1287. https://doi.org/10.1111/j.1468-2354.2009.00568.x
  • Kilian, L., & Vega, C. (2011, May). Do energy prices respond to u.s. macroeconomic news? A test of the hypothesis of predetermined energy prices. The Review of Economics and Statistics, MIT Press, 93(2), 660–671. https://doi.org/10.1162/REST_a_00086
  • Malik, F., & Umar, Z. (2019). Dynamic connectedness of oil price shocks and exchange rates. Energy Economics, 84(C), 104501. https://doi.org/10.1016/j.eneco.2019.104501
  • Mensi, W., Hammoudeh, S., Reboredo, J. C., & Nguyen, D. K. (2014). Do global factors impact BRICS stock markets? A quantile regression approach. Emerging Markets Review, 19(C), 1–17. https://doi.org/10.1016/j.ememar.2014.04.002
  • Naeem, M., Umar, Z., Ahmed, S., & Ferrouhi, E. M. (2020). Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach. Physica A: Statistical Mechanics and Its Applications, 557, 124885. https://doi.org/10.1016/j.physa.2020.124885
  • Naik, P. K., Gupta, R., & Padhi, P. (2018). The relationship between stock market volatility and trading volume: Evidence from South Africa. Journal of Developing Areas, 52(1), 99–114. https://doi.org/10.1353/jda.2018.0007
  • O’Neill, J., & Stupnytska, A. 2009. The long term outlook for the BRICs and N-11 post crisis, Goldman Sachs Global Economic Paper No. 192, Goldman Sachs, New York, NY, December 4.
  • Peter, C., B, P., & Pierre, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335–346. https://doi.org/10.2307/2336182
  • Pindyck, R. H. 1990. Irreversibility, uncertainty, and investment. WORKING PAPER 3307. National Bureau of Economic Research. https://doi.org/10.3386/w3307
  • Plakandaras, V., Gupta, R., Gil-Alana, L., Wohar, A., & M, E. (2019). Are brics exchange rates chaotic? Applied Economics Letters, 26(13), 1104–1110. https://doi.org/10.1080/13504851.2018.1537473
  • Ruzima, M., & Boachie, M. K. (2018). Exchange rate uncertainty and private investment in brics economies. Asia-Pacific Journal of Regional Science, 2(1), 65–77. https://doi.org/10.1007/s41685-017-0062-0
  • Salisu, A. A., & Gupta, R. (2021). Oil shocks and stock market volatility of the BRICS: A GARCHMIDAS approach. Global Finance Journal, Elsevier, 48(C). https://doi.org/10.1016/j.gfj.2020.100546
  • Tchatoka, F. D., Masson, V., & Parry, S. (2018). Linkage between oil price shocks and stock returns revisited. Energy Economics, 82(C), 42–61. https://doi.org/10.1016/j.eneco.2018.02.016
  • Umar, Z., Jareño, F., & Escribano, A. (2021a). Oil price shocks and the return and volatility spillover between industrial and precious metals. Energy Economics, 99(C), 105291. https://doi.org/10.1016/j.eneco.2021.105291
  • Umar, Z., Jareño, F., & Escribano, A. (2021b). Agricultural commodity markets and oil prices: An analysis of the dynamic return and volatility connectedness. Resources Policy, 73(C), 102147. https://doi.org/10.1016/j.resourpol.2021.102147
  • Wang, Y., Wu, C., & Yang, L. (2013a). Oil price shocks and stock market activities: Evidence from oil-importing and oil exporting countries. Journal of Comparative Economics, 41(4), 1220–1239. https://doi.org/10.1016/j.jce.2012.12.004
  • Wen, X., Bouri, E., & Cheng, H. (2019). The crude oil–stock market dependence and its determinants: evidence from emerging economies. Emerging Markets Finance and Trade, 55(10), 2254–2274. https://doi.org/10.1080/1540496X.2018.1522247
  • Zhu, Z., Ji, Q., Sun, L., & Zhai, P. (2020). Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry. International Review of Financial Analysis, Elsevier, 70(C), 101516. https://doi.org/10.1016/j.irfa.2020.101516