Oil Price Shocks and Stock Markets in BRICs
Oil Price Shocks and Stock Markets in BRICs
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发表时间：
2011
影响因子：
1.6
通讯作者：
Shigeki Ono
中科院分区：
文献类型：
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作者：
Shigeki Ono
本文使用 VAR 模型研究了 1999:1-2009:9 期间石油价格对巴西、中国、印度和俄罗斯实际股票回报的影响。结果表明，虽然中国、印度和俄罗斯的实际股票回报率对一些具有统计显着性的石油价格指标做出了积极的反应，但巴西的股票回报率却没有表现出任何显着的反应。此外，在印度观察到石油价格上涨和下跌的统计显着的不对称效应。方差分解分析表明，石油价格冲击对中国和俄罗斯实际股票收益率波动的贡献较大，且具有统计显着性。
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.