Relationship between Oil Prices and Stock Prices in BRICS-T Countries: Symmetric and Asymmetric Causality Analysis
Lyazzat Kudabayeva and
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Aktolkin Abubakirova: Department of Tourism, Khoja Akhmet Yassawi International Kazakh, Turkish University, Turkestan, Kazakhstan,
Aziza Syzdykova: Department of Finance and Accounting, Khoja Akhmet Yassawi International Kazakh, Turkish University, Turkestan, Kazakhstan,
Assan Dosmakhanbet: Department of Tourism, Khoja Akhmet Yassawi International Kazakh, Turkish University, Turkestan, Kazakhstan,
Lyazzat Kudabayeva: M.Kh.Dulaty Taraz Regional University, Taraz, Kazakhstan,
Gulnar Abdulina: Narxoz University, Almaty, Kazakhstan.
International Journal of Energy Economics and Policy, 2021, vol. 11, issue 3, 140-148
In this study, by considering the period between January 2010 and December 2019 of BRICS-T countries, the relationship between oil prices and stock prices was examined through the Hatemi-J asymmetric causality test (2012). The stationarity levels of the series were determined by Augmented Dickey-Fuller (ADF) and Phillips-Perron (PP) unit root tests. Hatemi-J (2012) asymmetric causality test, which takes into account the presence of asymmetric information in financial markets by distinguishing positive and negative shocks, was used. Accordingly, hidden relationships that could not be detected using the symmetric causality test were revealed with the help of the asymmetric causality test.
Keywords: BRICS-T; oil prices; stock prices; asymmetric causality (search for similar items in EconPapers)
JEL-codes: C23 G15 Q40 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2021-03-17
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