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Oil Prices and Equity Returns in the BRIC Countries
Author(s) -
Bhar Ramaprasad,
Nikolova Biljana
Publication year - 2009
Publication title -
world economy
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.594
H-Index - 68
eISSN - 1467-9701
pISSN - 0378-5920
DOI - 10.1111/j.1467-9701.2009.01194.x
Subject(s) - bric , economics , equity (law) , volatility (finance) , oil price , stock (firearms) , monetary economics , financial economics , emerging markets , macroeconomics , mechanical engineering , political science , law , engineering
This paper measures the level by which global oil price returns influence the stock returns and volatility in the BRIC equity markets and observes the time‐varying conditional correlation between BRIC equity returns and oil price returns. The study concludes that the level of impact of oil price returns on equity returns and volatility in the BRIC countries depends on the extent to which these countries are net importers or net exporters of oil . It also concludes that despite the aggressive economic growth of the BRIC countries in the past 25 years, the volatility of stock returns in these economies does not have a significant impact on the volatility of global oil price returns.