Oil Price Shock and Effects on Stock Markets of Emerging Economies

Susmita Chatterjee, Bhaskar Bagchi and Dhruba Ranjan Dandapat

MPRA Paper from University Library of Munich, Germany

Abstract: The present study investigates the effect of sharp continuous falling crude oil prices on stock market indices of emerging economies like Brazil, Russia, India, China, South Africa and South Korea and also the relationship between crude oil prices and stock indices of these countries. The period of the study spans from July 2009 to January 2016. Multivariate cointegration techniques along with vector error correction mechanism, impulse response functions and multivariate CCC-GARCH model have been employed in the study. The long-run relationship has been empirically established between the variables only in Brazil and Russia, but, no such relationship has been found in case of other emerging economies. Except South Africa, stock indices of the other emerging economies adjust to changes in crude oil prices to correct short-run disequilibrium although, with varied speed of adjustment. CCC-GARCH estimation reveals the existence of volatility spillovers between crude oil prices and stock indices and convergence have been achieved for all the emerging economies.

Keywords: emerging economies, new oil price shock; stock indices (search for similar items in EconPapers)
JEL-codes: F4 F6 (search for similar items in EconPapers)
Date: 2016-12-29
New Economics Papers: this item is included in nep-cis and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/75883/1/MPRA_paper_75883.pdf original version (application/pdf)

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:pra:mprapa:75883

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().