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Dynamical linkages between the Brent oil price and stock markets in BRICS using quantile connectedness approach

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  • Chang, Hao-Wen
  • Chang, Tsangyao
  • Ling, Yuan Hung
  • Yang, Yung-Lieh

Abstract

The Quantile connectedness approach, which allows for a detailed scrutinization of the connectedness, to analysis the connectedness for oil price and BRICS stock markets. Russia and South Africa plays the net transmitting roles, and similar evidence is obtained in Brazil after 2010. Brent oil, India, and Shanghai are net recipients for most time. The extent of the connectedness is further stronger when facing up the market slump such as the global financial crisis, European debt crisis, and Covid-19 periods. For investors, practitioners, and financial institutions, periodically changing the assets allocating can follow noted above evidence.

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  • Chang, Hao-Wen & Chang, Tsangyao & Ling, Yuan Hung & Yang, Yung-Lieh, 2023. "Dynamical linkages between the Brent oil price and stock markets in BRICS using quantile connectedness approach," Finance Research Letters, Elsevier, vol. 54(C).
    • Handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001216
    DOI: 10.1016/j.frl.2023.103748
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    4. Hanif, Waqas & Hadhri, Sinda & El Khoury, Rim, 2024. "Quantile spillovers and connectedness between oil shocks and stock markets of the largest oil producers and consumers," Journal of Commodity Markets, Elsevier, vol. 34(C).
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    6. Dhoha Mellouli Ellouz Siwar, 2023. "Dynamical Linkages and Frequency Spillovers between Crude Oil and Stock Markets in BRICS During Turbulent and Tranquil Times," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(3), pages 77-96.

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