Crises, crude oil and BRIC stock markets

Valeri Natanelov, Manoj Dora, Xavier Gellynck and Guido Van Huylenbroeck

International Journal of Business and Emerging Markets, 2013, vol. 5, issue 4, 304-321

Abstract: This study complements the debate on the linkages between crude oil and BRIC stock markets. The usage of the most recent data with daily frequency within a period of two economic crises makes this study very timely and its results valuable both for researchers and investors. The main focus of this study is the impact of crude oil price on dissimilar BRIC economies. The main results indicate linear cointegration of Chinese and Brazilian stock markets with crude oil prices, whereas in case of India and Russia threshold cointegration is present. The study also shows that India's BSE30 precedes crude oil futures, whereas China, Russia and Brazil have a bi-directional causality between the stock markets and crude oil prices.

Keywords: BRIC stock markets; crude oil; cointegration; oil prices; dissimilar economies; Brazil; Russia; India; China; emerging markets. (search for similar items in EconPapers)
Date: 2013
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