Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/25308
Title: | Oil prices and sectoral stock returns in the BRICS-T countries: a time-varying approach |
Authors: | Caporale, GM Catik, AN Kisla, GSH Helmi, MH Akdeniz, C |
Keywords: | oil prices;exchange rates;sectoral stock returns;structural breaks;time-varying parameters |
Issue Date: | 8-Oct-2022 |
Publisher: | Elsevier |
Citation: | Caporale, G.M. et al. (2022) 'Oil prices and sectoral stock returns in the BRICS-T countries: a time-varying approach', Resources Policy, 79 103044, pp. 1-16. doi: 10.1016/j.resourpol.2022.103044. |
Abstract: | Copyright © 2022 The Authors. This paper investigates how exchange rates and oil prices have affected sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. Following the estimation of a benchmark linear model, Bai and Perron (2003) tests are carried out in each case to identify structural breaks, and then a state-space model with time-varying parameters is also estimated. The analysis shows that oil prices have a significant, positive effect on the energy sectors of all BRICS-T countries except India; a negative one on the industrial sectors of all countries except Turkey; a negative one on the financial sectors of Brazil, Russia, India, and South Africa; a negative one on the transportation sectors of India and Turkey and a positive one on that of Russia; finally, the most significant effect is on the chemicals sector, though it varies across countries. The subsamples and time-varying estimates indicate that exchange rate returns have a larger influence than oil price returns. Because energy-dependent sectors are vulnerable to global volatility, appropriate energy regulations should be implemented to reduce risk. |
URI: | https://bura.brunel.ac.uk/handle/2438/25308 |
ISSN: | 0301-4207 |
Other Identifiers: | ORCiD ID: Guglielmo Caporale - 0000-0002-0144-4135. 103044 |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
FullText.pdf | Copyright © 2022 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/). | 2.52 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License