Asymmetric Effects of Commodity Prices on Stock Returns of BRICS Countries

In today’s economic era, as the commodity and stock classes are gradually becoming a part of asset portfolio allocations, it has become notable to observe the liaison among commodity prices and stock returns. The purpose of research in this article is to examine the asymmetric relationship amongst commodity prices and stock returns of BRICS countries over the period 2004M1 to 2020M12. To this aim, the study is using nonlinear Autoregressive Distributed Lag (NARDL) co-integration approach, which considers positive and negative changes in an independent variable. The bound test indicates long run co-integration between all the stock returns and commodity prices. Further, the evidence intends that in the short run, metal and oil prices have significant impact on all the BRICS stock markets but there is no such evidence of short run asymmetric association between gold prices and stock returns. The findings of the study also propose long-run asymmetric association between metal prices, oil prices, gold prices and stock returns of all the countries.