Nonlinear Relationships between Oil Price and Stock Index – Evidence from Brazil, Russia, India and China

Liang-Chun Ho () and Chia-Hsing Huang ()
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Liang-Chun Ho: Sanming University, Sanming City, Fujian, China.
Chia-Hsing Huang: SolBridge International School of Business,Dong-gu, Daejeon, South Korea.

Journal for Economic Forecasting, 2016, issue 3, 116-126

Abstract: Threshold Autoregressive (TAR)/ Momentum-Threshold Autoregressive (MTAR) nonlinear models are used to study the cointegration and causality relationships between WTI crude oil prices and stock indexes of Brazil, Russia, India, and China (BRIC) during January 1996 to June 2015. The Chow breakpoint test and the Quandt-Andrews unknown breakpoint test are used to examine structural changes. The results show that the causality is from WTI spot price to stock indexes in India and Russia before and after the structural breaks, and from stock index to WTI spot price in China after the structural break. There is no causality relationship between stock index and WTI spot price in Brazil. There are long-running cointegration relationships between stock indexes of BRIC and WTI spot prices.

Keywords: oil price; stock index; BRIC (search for similar items in EconPapers)
JEL-codes: F10 F30 G10 G20 Q40 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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