Journal article
Analysing systemic risk and time-frequency quantile dependence between crude oil prices and BRICS equity markets indices: A new look
Energy economics, v 83, pp 445-466
01 Sep 2019
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This paper examines the dependence structure and the systemic risk between the return series of oil prices and the BRICS equity market indices, using the newly developed methods of the quantile coherency of Barunik and Kley (2015) and the nonparametric conditional value-at-risk causality (NCoVaR) and the NCoVaR Granger causality tests (NCoVaR-Gc) of Diks and Wolski (2018) for the period 2001-2018. Further, the traditional tests of Hiemstra and Jones (1994) and Diks & Panchenko (2005) are used for comparison purposes. The new methods have given rise to findings that are substantially different from those based on the two traditional approaches. From our frequency-dependence analysis, we find a significant long-term dependence coherency between the Russian, Brazilian and South African stock markets and oil shifts. However, the NCoVaR analysis demonstrates a robust instantaneous dependence in both directions between almost all of the BRICS stock markets (the exception is the Indian market) and the oil market. The NCoVaR-Gc analysis reveals a robust lagged dependence from the oil market onto the Chinese stock market only. These findings provide helpful insights for regulators and potential international investors. (C) 2019 Elsevier B.V. All rights reserved.
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Details
- Title
- Analysing systemic risk and time-frequency quantile dependence between crude oil prices and BRICS equity markets indices: A new look
- Creators
- Aviral Kumar Tiwari - South Ural State UniversityNader Trabelsi - Department of Finance and Investment, College of Economics and Administrative Sciences, Al-Imam Mohammad Ibn Saud Islamic University (IMSIU), Saudi ArabiaFaisal Alqahtani - Macro and Fiscal Policies Unit, Ministry of Finance, Saudi ArabiaShawkat Hammoudeh - Drexel University
- Publication Details
- Energy economics, v 83, pp 445-466
- Publisher
- Elsevier
- Number of pages
- 22
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000506727900033
- Scopus ID
- 2-s2.0-85070595743
- Other Identifier
- 991019167880704721
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- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics