Return and volatility connectedness among the BRICS stock and oil markets

Hao-Wen Chang, Tsangyao Chang and Chien-Chiang Lee ()

Resources Policy, 2023, vol. 86, issue PA

Abstract: This study revisits return and volatility contagion among the oil and the stock markets of BRICS over the period of September 14, 2001 to June 17, 2022 using connectedness approach. In terms of shock transmissions, empirical results indicate that the stock market in China and India are net receivers and that in Brazil, Russia and South Africa are net transmitters. In addition, the oil market is the net receiver as well. Both returns and volatility spillovers give us the same conclusions. This evidence provides important implications for the investors, practitioners and government.

Keywords: Oil markets; Connectedness approach; Stock markets; Spillovers; BRICS (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009522

DOI: 10.1016/j.resourpol.2023.104241

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