EJCE Year: 2011, June. Volume: 8 - Issue: 1
Oil Price Shocks and Stock Markets in BRICs
by Shigeki Ono
Start page: 29 - End page: 45
Keywords: Oil price shocks; Real stock returns; BRICs
Jel code: G12; O57; Q43
DOI:
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.
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