Oil Prices and Sectoral Stock Returns in the Brics-T Countries a Time-Varying Approach

44 Pages Posted: 2 Apr 2022

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

affiliation not provided to SSRN

Mohamad Husam Helmi

Durham University Business School

Coskun Akdeniz

Tekirdağ Namık Kemal University; Ege University - Department of Economics

Abstract

This paper examines 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. Following the estimation of a benchmark linear model, Bai and Perron (2003) tests are carried out to detect possible structural breaks and a state-space model with time-varying parameters is estimated. The results can be summarised as follows. 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 sectors of Brazil, Russia, India, and South Africa; a negative one on the transportation sector in India and Turkey, a positive one in Russia, and none elsewhere. The chemicals sector appears to be one of the most heavily affected by oil price fluctuations. The subsamples and time-varying estimates imply that exchange rate returns have a larger influence than oil price returns. Finally, with the exception of Turkey, oil prices have a negative impact on the industrial sector. Because energy-dependent sectors are vulnerable to global volatility, appropriate energy regulations should be implemented to reduce risk.

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

Suggested Citation

Caporale, Guglielmo Maria and Catik, Abdurrahman Nazif and Catik, Abdurrahman Nazif and Kışla, Gül Şerife Huyugüzel and Helmi, Mohamad Husam and Akdeniz, Coskun and Akdeniz, Coskun, Oil Prices and Sectoral Stock Returns in the Brics-T Countries a Time-Varying Approach. Available at SSRN: https://ssrn.com/abstract=4073563 or http://dx.doi.org/10.2139/ssrn.4073563

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

affiliation not provided to SSRN ( email )

No Address Available

Mohamad Husam Helmi

Durham University Business School ( email )

Mill Hill Lane
Durham, DH1 3LB
United Kingdom

Coskun Akdeniz

Tekirdağ Namık Kemal University ( email )

Ege University - Department of Economics ( email )

Bornova, Izmir 35040
Turkey

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

Paper statistics

Downloads
9
Abstract Views
44
PlumX Metrics