The Effects of Energy Prices on Oil-Gas Sectoral Stock Returns for BRIC Countries: Evidence from Space State Models

Mohamad Husam Helmi, A. Nazif Catik, Begum Yurteri Kosedagli, Gul Serife Huyuguzel Kisla and Coskun Akdeniz
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A. Nazif Catik: Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, Ä°zmir, Turkey,
Begum Yurteri Kosedagli: Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, Ä°zmir, Turkey,
Gul Serife Huyuguzel Kisla: Ege University, Faculty of Economics and Administrative Sciences, Department of Economics, Ä°zmir, Turkey,
Coskun Akdeniz: Department of Economics, Tekirdağ Namık Kemal University, Faculty of Economics and Administrative Sciences, Tekirdağ, Turkey.

International Journal of Energy Economics and Policy, 2023, vol. 13, issue 6, 430-440

Abstract: This paper examines the effects of oil and natural gas prices on the oil and gas sectors of the BRIC countries (Brazil, Russia, India, and China) over the period over from 20013 to 2022. Unlike previous studies, it employs a time-varying capital asset pricing model based on the estimation of state-space mode. In brief, the findings highlight significant changes in the asset-pricing model parameters across all countries, indicating the limitations of using time-invariant estimates. Specifically, Brazil shows the highest volatility in oil price risk, followed by Russia, both being oil-exporting countries, while market beta values remain relatively stable. Time-varying estimates further suggest that natural gas parameters are relatively lower and less significant than those of oil prices. The Russian-Ukrainian conflict's energy crisis adversely affects the performance of oil and gas sectoral stock returns. This war has had a negative and significant impact on China's oil-gas stock return.

Keywords: Oil prices; Natural gas prices; Oil-gas sectoral returns; Time-varying parameter model; BRIC countries (search for similar items in EconPapers)
JEL-codes: C5 C58 G12 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ2:2023-06-45

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