Guglielmo Maria Caporale
Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach
Caporale, Guglielmo Maria; Çatık, Abdurrahman Nazif; Huyuguzel Kısla, Gul Serife; Helmi, Mohamad Husam; Akdeniz, Coşkun
Authors
Abdurrahman Nazif Çatık
Gul Serife Huyuguzel Kısla
Mohamad Husam Helmi
Coşkun Akdeniz
Abstract
This paper investigates how exchange rates and oil prices have affected sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. Following the estimation of a benchmark linear model, Bai and Perron (2003) tests are carried out in each case to identify structural breaks, and then a state-space model with time-varying parameters is also estimated. The analysis shows that oil prices have a significant, positive effect on the energy sectors of all BRICS-T countries except India; a negative one on the industrial sectors of all countries except Turkey; a negative one on the financial sectors of Brazil, Russia, India, and South Africa; a negative one on the transportation sectors of India and Turkey and a positive one on that of Russia; finally, the most significant effect is on the chemicals sector, though it varies across countries. The subsamples and time-varying estimates indicate that exchange rate returns have a larger influence than oil price returns. Because energy-dependent sectors are vulnerable to global volatility, appropriate energy regulations should be implemented to reduce risk.
Citation
Caporale, G. M., Çatık, A. N., Huyuguzel Kısla, G. S., Helmi, M. H., & Akdeniz, C. (2022). Oil prices and sectoral stock returns in the BRICS-T countries: A time-varying approach. Resources Policy, 79, Article 103044. https://doi.org/10.1016/j.resourpol.2022.103044
Journal Article Type | Article |
---|---|
Acceptance Date | Sep 28, 2022 |
Online Publication Date | Oct 8, 2022 |
Publication Date | 2022-12 |
Deposit Date | Jan 20, 2023 |
Publicly Available Date | Jan 20, 2023 |
Journal | Resources Policy |
Print ISSN | 0301-4207 |
Electronic ISSN | 1873-7641 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 79 |
Article Number | 103044 |
DOI | https://doi.org/10.1016/j.resourpol.2022.103044 |
Public URL | https://durham-repository.worktribe.com/output/1184984 |
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Publisher Licence URL
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Copyright Statement
© 2022 The Authors. Published by Elsevier Ltd. This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/)
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