Oil shocks and equity markets: The case of GCC and BRICS economies

Zaghum Umar, Nader Trabelsi and Adam Zaremba ()

Energy Economics, 2021, vol. 96, issue C

Abstract: This study analyzes the relationship between oil shocks and the equity markets of a group of world major oil producers and consumers encompassing both the GCC and BRICS economies. We employ a novel framework to decompose the oil shocks (demand, supply, and risk shocks) into their daily components. Subsequently, we also employ a network connectedness approach to investigate the static and time-varying connectedness of these shocks with equity markets. Our sample period ranges from January 6, 2005, to July 17, 2020. Empirical results show a medium connectedness between examined equity markets and oil shocks, in terms of returns and volatility, with an unpreceded level during the recent COVID-19 crisis. Furthermore, the volatility of oil-exporting countries contributes more to the volatility connectedness. Demand shock and risk shock are the main contributors to the connectedness.

Keywords: Oil shocks; Equity markets; GCC; BRICS; Connectedness (search for similar items in EconPapers)
JEL-codes: G10 Q02 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000608

DOI: 10.1016/j.eneco.2021.105155

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