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Oil, natural gas and BRICS stock markets: Evidence of systemic risks and co-movements in the time-frequency domain

Walid Mensi, Mobeen Ur Rehman, Debasish Maitra, Khamis Hamed Al-Yahyaee and Xuan Vinh Vo

Resources Policy, 2021, vol. 72, issue C

Abstract: This paper uses the wavelet method to investigate co-movements between the five emerging stock markets of Brazil, Russia, India, China, and South Africa (BRICS), and the oil and natural gas markets. The results show co-movements between oil price and stock market returns at the lower scale or in the long-term. Coherence between oil and stock markets reaches maximal levels during the period of the 2008 financial crisis and the ensuing slow economic recovery from 2009. The strong co-movements between crude oil price returns and BRICS stock market returns take place after the removal of the effects of natural gas price returns. Multivariate coherency shows strong contributions of stock market returns and natural gas price returns to crude oil price returns. Given the less co-movements between natural gas and stock markets, natural gas provides higher diversification benefits. The risk is highest in the short-run compared to the medium-and long-term.

Keywords: Energy; BRICS; Co-movements; Wavelet approach; CoVaR (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (10) Track citations by RSS feed

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jrpoli:v:72:y:2021:i:c:s0301420721000799

DOI: 10.1016/j.resourpol.2021.102062

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