Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS |
| |
| Institution: | 1. Center for Energy and Environmental Policy Research, Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;2. School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China;3. School of Economics & Management, Beihang University, Beijing 100191, China;1. Bournemouth University, Department of Accounting, Finance and Economics, Executive Business Centre, 89 Holdenhurst Road, BH8 8EB Bournemouth, United Kingdom;2. Department of Economics and Regional Development, Panteion University of Social and Political Sciences, 136 Syggrou Avenue, 17671, Greece;3. Postgraduate Department of Business Administration, Hellenic Open University, Aristotelous 18, 26 335, Greece;1. Center for Energy and Environmental Policy Research, Institutes of Science and Development, Chinese Academy of Sciences, Beijing 100190, China;2. School of Public Policy and Management, University of Chinese Academy of Sciences, Beijing 100049, China;3. School of Economics & Management, Beihang University, Beijing 100191, China;4. Department of Management and Engineering, Linköping University, 581 83 Linköping, Sweden |
| |
| Abstract: | This paper investigates the dynamic dependence and risk spillover between BRICS stock returns and different types of oil shocks, combining the Structural VAR model and time-varying copula-GARCH-based CoVaR approach. Our findings indicate that the dependence between BRICS stock returns and oil shocks is time-varying and exhibits different behaviours depending on the shock types in the oil market. In general, the shape of the CoVaRs in each country is comparatively different, depending on its special market situation and domestic policies. There is significant risk spillover from oil-specific demand shock to stock returns in all the BRICS countries. Finally, in Brazil, Russia and India, there is a significant asymmetric effect between upside and downside risk spillover based on oil aggregate demand shock and oil-specific demand shock. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
