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Journal Articles Journal of Economic Integration Year : 2016

How Differently Does Oil Price Influences BRICS Stock Markets?

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Abstract

This article explores the strength and extent of causal relationship between BRICS (Brazil, Russia, India, China and South Africa) stock returns and real oil price using frequency domain approach of Breitung and Candelon (2006). This technique offers an appropriate alternative tool by investigating the causality in frequency domain, while standard causality tests focus only on the time domain. Using 1998-2015 quarterly data, we show that the impact of oil price on stock returns is not uniform across the investigated countries. Even though the slowly (quickly) fluctuating components of oil price exert a significant influence on real stock returns in Brazil and Russia (India and South Africa), medium and long term hidden factors were found as potential contributors of Chinese share market. The oil dependence profile, the distribution of market share between companies, the financial system efficiency and the effectiveness of regulation in securities markets have been offered to explain the heterogeneous responses of BRICS equities.

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hal-01879674 , version 1 (24-09-2018)

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Jamal Bouoiyour, Refk Selmi. How Differently Does Oil Price Influences BRICS Stock Markets?. Journal of Economic Integration, 2016, 31 (3), pp.547-568. ⟨10.11130/jei.2016.31.3.547⟩. ⟨hal-01879674⟩

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