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Oil Price Shocks and Stock Markets in BRICs

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  • Shigeki Ono

Abstract

This paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Russia, those of Brazil do not show any significant responses. In addition, statistically significant asymmetric effects of oil price increases and decreases are observed in India. The analysis of variance decomposition shows that the contribution of oil price shocks to volatility in real stock returns is relatively large and statistically significant for China and Russia.

Suggested Citation

  • Shigeki Ono, 2011. "Oil Price Shocks and Stock Markets in BRICs," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 8(1), pages 29-45, June.
    • Handle: RePEc:liu:liucej:v:8:y:2011:i:1:p:29-45
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    More about this item

    Keywords

    Oil price shocks; Real stock returns; BRICs;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • O57 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Comparative Studies of Countries
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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