Oil and BRIC Stock Markets before and after COVID-19: A Local Gaussian Correlation Approach

Di Yuan, Feipeng Zhang, Fenghui Cui and Shuo Wang

Emerging Markets Finance and Trade, 2021, vol. 57, issue 6, 1592-1602

Abstract: This paper investigates interdependence and contagion between oil and BRIC stock markets before and after COVID-19. We used a local Gaussian correlation approach to identify the asymmetric relationship and a bootstrap method to test contagion. The empirical results show that, except for China, the linkages between the crude oil markets and BRIC stock markets significantly increased in crashing markets during the COVID-19 pandemic. Contagion is identified from crude oil markets to the Indian stock market, and from West Texas Intermediate (WTI) futures to the Russian stock market.

Date: 2021
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DOI: 10.1080/1540496X.2021.1904886

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