Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS

By Qiang Ji, Bing-Yue Liu, Wan-Li Zhao, Ying Fan. 2020

225 citations recorded by the source corpus.

Abstract This paper investigates the dynamic dependence and risk spillover between BRICS stock returns and different types of oil shocks, combining the Structural VAR model and time-varying copula-GARCH-based CoVaR approach. Our findings indicate that the dependence between BRICS stock returns and oil shocks is time-varying and exhibits different behaviours depending on the shock types in the oil market. In general, the shape of the CoVaRs in each country is comparatively different, depending on its special market situation and domestic policies. There is significant risk spillover from oil-specific demand shock to stock returns in all the BRICS countries. Finally, in Brazil, Russia and India, there is a significant asymmetric effect between upside and downside risk spillover based on oil aggregate demand shock and oil-specific demand shock.

Subfields: Economics and Econometrics, Renewable Energy, Sustainability and the Environment

View Paper: https://www.semanticscholar.org/paper/bede81cfd88cdb203118cc98826da3775617d121

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Sang Hoon Kang
2. X. Vo
3. Walid Mensi
4. Kaijian He
5. Dimitrios Stafylas
6. Abdel Razzaq Al Rababa'a
7. Rui Zha
8. Lean Yu

In Renewable Energy, Sustainability and the Environment

1. X. Vo
2. Walid Mensi
3. Kaijian He
4. Sang Hoon Kang
5. Lean Yu

Citations in the corpus

• Dependences and volatility spillovers between the oil and stock markets: New evidence from the copula and VAR-BEKK-GARCH models (2020, background): “…stock market is also important in its own right, partly because it may act as a surrogate for emerging economies (Liu et al., 2018), and partly because its increasing economic power is likely to exert a considerable influence over world markets in the not-too-distant future (Jiang et al., 2018).”
• Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets (2021, background): “Our finding here complements that of Ji et al. (2020) since they found that the variations in the BRICs stock returnsoil depend on the shock types in the oil market.”