Oil Shocks and BRIC Markets: Evidence from Extreme Quantile Approach

35 Pages Posted: 5 Nov 2021

See all articles by Muhammad Abubakr Naeem

Muhammad Abubakr Naeem

United Arab Emirates University; South Ural State University

Linh Pham

University of Central Oklahoma - Department of Economics

Arunachalam Senthilkumar

Amrita School of Business, Amrita Vishwa Vidyapeetham, Coimbatore, India; affiliation not provided to SSRN

Sitara Karim

ILMA University

Date Written: 2021

Abstract

The present study aims to configure the extreme quantile dependence between oil shocks and BRIC markets from January 2, 1995 to July 27, 2021. Using the cross-quantilogram technique, the current study first decomposed oil shocks pertaining to demand and supply and analyzed their asymmetric impact on BRIC markets. Our findings manifest positive and persistent dependencies between oil demand shocks and BRIC markets. Meanwhile, substantial cross-quantile dependence is demonstrated among shocks in oil supply and the stock returns of Russia. The recursive cross-quantilogram analysis indicates time-varying characteristics reiterating that oil demand shocks are positively and significantly correlated with BRIC stock returns, particularly after the Global Financial Crisis and COVID-19 pandemic. However, weaker dependencies are observed in the normal market conditions in the absence of financial contagion. Finally, after controlling the impact of idiosyncratic risk shocks, our results remain robust. Our findings are of particular prominence for policymakers, investors, and financial market constituents to restructure their current policies and strategies for avoiding uncertainty in the stock returns.

Keywords: Oil Shocks, BRIC markets, Cross-quantilogram, Extreme Quantiles

Suggested Citation

Naeem, Muhammad Abubakr and Pham, Linh and Senthilkumar, Arunachalam and Karim, Sitara, Oil Shocks and BRIC Markets: Evidence from Extreme Quantile Approach (2021). Available at SSRN: https://ssrn.com/abstract=3957368 or http://dx.doi.org/10.2139/ssrn.3957368

Muhammad Abubakr Naeem

United Arab Emirates University ( email )

P.O. Box 15551
Al-Ain, 00000
United Arab Emirates

South Ural State University ( email )

78 Lenina prospect Chelyabinsk Russia
Chelyabinsk, 454080
Russia

Linh Pham

University of Central Oklahoma - Department of Economics ( email )

Edmond, OK 73034
United States

Arunachalam Senthilkumar (Contact Author)

Amrita School of Business, Amrita Vishwa Vidyapeetham, Coimbatore, India ( email )

Coimbatore, Tamil Nadu 641112
India

HOME PAGE: http://https://www.amrita.edu/faculty/a-senthilkumar

affiliation not provided to SSRN

Sitara Karim

ILMA University ( email )

Main Ibrahim dydri Road
Korangi Creek Karachi.
Karachi, Sindh 75400
Pakistan

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