Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries: A Time-Varying Approach

40 Pages Posted: 4 Oct 2021

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Abdurrahman Nazif Catik

affiliation not provided to SSRN; Ege University Department of Economics

‪Gül Şerife Huyugüzel Kışla

Ege University; affiliation not provided to SSRN

Mohamad Husam Helmi

Durham University Business School

Coskun Akdeniz

Tekirdağ Namık Kemal University; Ege University - Department of Economics

Date Written: 2021

Abstract

This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron (2003) tests, and a state-space model with time-varying parameters is then estimated. The main findings can be summarised as follows. Both the sub-samples and the time-varying estimates indicate a greater role for exchange rate returns. Oil prices have a positive and significant impact on the energy sector in all countries except India; a negative and significant one on the financial sector of Brazil, Russia, India, and South Africa; no effect on the transportation sector of Brazil, China, and South Africa, a negative one on those of India and Turkey, and a positive one in the case of Russia. The vulnerability of energy-dependent sectors to global fluctuations implies that appropriate energy policies should be adopted to reduce risk.

Keywords: oil prices, exchange rates, sectoral stock returns, structural breaks, time-varying parameters

JEL Classification: G120, C500, C580

Suggested Citation

Caporale, Guglielmo Maria and Catik, Abdurrahman Nazif and Catik, Abdurrahman Nazif and Huyugüzel Kışla, ‪Gül Şerife and Huyugüzel Kışla, ‪Gül Şerife and Helmi, Mohamad Husam and Akdeniz, Coskun and Akdeniz, Coskun, Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries: A Time-Varying Approach (2021). CESifo Working Paper No. 9322, Available at SSRN: https://ssrn.com/abstract=3932030 or http://dx.doi.org/10.2139/ssrn.3932030

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

Kingston Lane
Marie Jahoda Building
Uxbridge, Middlesex UB8 3PH
United Kingdom
+44 1895 266713 (Phone)
+44 1895 269770 (Fax)

HOME PAGE: http://www.brunel.ac.uk/about/acad/bbs/bbsstaff/ef_staff/guglielmocaporale/

London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Abdurrahman Nazif Catik

affiliation not provided to SSRN

No Address Available

Ege University Department of Economics ( email )

Bornova, Izmir 35100
Turkey

HOME PAGE: http://akademik.ege.edu.tr/?q=en/bilgiler&id=3270

‪Gül Şerife Huyugüzel Kışla

Ege University ( email )

Bornova
Izmir, 3504
Turkey

affiliation not provided to SSRN

No Address Available

Mohamad Husam Helmi

Durham University Business School ( email )

Mill Hill Lane
Durham, DH1 3LB
United Kingdom

Coskun Akdeniz

Ege University - Department of Economics ( email )

Bornova, Izmir 35040
Turkey

Tekirdağ Namık Kemal University ( email )

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
43
Abstract Views
173
PlumX Metrics