Oil Price Shocks and Stock Markets in BRICs

Ono, Shigeki

The European Journal of Comparative Economics, 2011, 8(1), 29-45

Permalink : https://hdl.handle.net/2115/46781

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アクセス権	open access
URI	https://hdl.handle.net/2115/46781
タイトル	Oil Price Shocks and Stock Markets in BRICs
著者	著者名 Ono, Shigeki
言語	英語
キーワード	Oil price shocks
	Real stock returns
	BRICs
発行日	2011-06
出版者	European Association for Comparative Economic Studies and Universita Carlo Cattaneo
収録物名	The European Journal of Comparative Economics
巻(号)	8(1)
ページ	29-45
抄録	This paper examines the impact of oil prices on real stock returns for Brazil, China, India and Russia over 1999:1-2009:9 using VAR models. The results suggest that whereas real stock returns positively respond to some of the oil price indicators with statistical significance for China, India and Russia, those of Brazil do not show any significant responses. In addition, statistically significant asymmetric effects of oil price increases and decreases are observed in India. The analysis of variance decomposition shows that the contribution of oil price shocks to volatility in real stock returns is relatively large and statistically significant for China and Russia.
資源タイプ	学術雑誌論文
出版タイプ	Version of Record
PISSN	1722-4667