Oil prices and sectoral stock returns in the BRICS-T countries: a time-varying approach
Makaleler > Tam Makale · 2022
Yazarlar: Guglielmo Maria Caporale, Abdurrahman Nazif ÇATIK, Gül Şerife HUYUGÜZEL KIŞLA, Mohamad Husam Helmi, Coşkun Akdeniz
RESOURCES POLICY, SCI Expanded İndekslerine Giren Dergi, Uluslararası, Social Sciences Citation Index, 2022, cilt 79, ss 1-1
Özet
<p>This paper investigates how exchange rates and oil prices have affected sectoral stock</p><p>returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021.</p><p>Following the estimation of a benchmark linear model, Bai and Perron (2003) test is</p><p>carried out to identify structural breaks, and then a state-space model with time-varying</p><p>parameters is also estimated. The analysis shows that oil prices have a significant, positive</p><p>effect on the energy sectors of all BRICS-T countries except India; a negative one on the</p><p>industrial sectors of all countries except Turkey; a negative one on the financial sectors of</p><p>Brazil, Russia, India, and South Africa; a negative one on the transportation sectors of</p><p>India and Turkey and a positive one on that of Russia; finally, the most significant effect is</p><p>on the chemicals sector, though it varies across countries. The subsamples and time-</p><p>varying estimates indicate that exchange rate returns have a larger influence than oil price</p><p>returns. Because energy-dependent sectors are vulnerable to global volatility, appropriate</p><p>energy regulations should be implemented to reduce risk.</p>