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

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

Finance Research Letters, 2023, vol. 54, issue C

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.

Keywords: Oil price; Stock market; Quantile connectedness approach (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612323001216
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001216

DOI: 10.1016/j.frl.2023.103748

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().