 Analyzing time–frequency co-movements across gold and oil prices with BRICS stock markets: A VaR based on wavelet approachWalid Mensi, Besma Hkiri, Khamis H. Al-Yahyaee and Sang Hoon Kang International Review of Economics & Finance, 2018, vol. 54, issue C, 74-102 Abstract: This paper examines the co-movements between five of the most important emerging stock markets namely the BRICS (Brazil, Russia, India, China and South Africa) and both the crude oil prices [West Texas Intermediate (WTI) and Europe Brent] and gold prices which are relevant to those commodity exporters and voracious consumers. Our results based on the wavelet approach show that BRICS index returns co-move with the WTI crude oil price at low frequencies (long horizons). Moreover, the strong level of co-movement is particularly captured during the onset of the global financial crisis. On the other hand, we find no evidence of co-movement between the BRICS stock markets and the gold price, indicating that gold can act as a hedge or a safe haven asset for the BRICS against extreme market movements. The implications of these results for the BRICS-commodity portfolios show that the portfolio risk (measured by the Value at Risk) is affected by the co-movements between stock and oil markets. Keywords: BRICS; Commodity prices; Co-movement; Wavelet; Value at risk (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:54:y:2018:i:c:p:74-102 DOI: 10.1016/j.iref.2017.07.032 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
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